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Zhongyi Yuan, Ph.D.

Affiliations: 
2013 Statistics University of Iowa, Iowa City, IA 
Area:
Statistics, Finance
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Qihe Tang grad student 2013 University of Iowa
 (Quantitative analysis of extreme risks in insurance and finance.)

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Publications

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Li H, Liu H, Tang Q, et al. (2022) Pricing extreme mortality risk in the wake of the COVID-19 pandemic. Insurance, Mathematics & Economics. 108: 84-106
Blanchet J, Lam H, Tang Q, et al. (2019) Robust Actuarial Risk Analysis The North American Actuarial Journal. 23: 33-63
Tang Q, Yuan Z. (2019) Cat Bond Pricing Under A Product Probability Measure With Pot Risk Characterization Astin Bulletin. 49: 457-490
Shi X, Tang Q, Yuan Z. (2017) A limit distribution of credit portfolio losses with low default probabilities Insurance Mathematics & Economics. 73: 156-167
Chen Y, Yuan Z. (2017) A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks Insurance Mathematics & Economics. 73: 75-81
Yuan Z. (2017) An asymptotic characterization of hidden tail credit risk with actuarial applications European Actuarial Journal. 7: 165-192
Wei L, Yuan Z. (2016) The loss given default of a low-default portfolio with weak contagion Insurance: Mathematics and Economics. 66: 113-123
Tang Q, Yuan Z. (2014) Randomly weighted sums of subexponential random variables with application to capital allocation Extremes. 17: 467-493
Tang Q, Yuan Z. (2013) Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation The North American Actuarial Journal. 17: 253-271
Tang Q, Yuan Z. (2012) A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization The North American Actuarial Journal. 16: 378-397
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