Qihe Tang

Professor

I joined the UNSW Business School under the Strategic Hires and Retention Pathways (SHARP) scheme in July 2017.

After earning my PhD in statistics from the University of Science and Technology of China in 2001, I have worked at different places around the world including the University of Hong Kong (2001), the University of Amsterdam (2002-2004), the Concordia University (2004-2005), and the University of Iowa (2006-2019). At the University of Iowa, I was promoted to Full Professor in 2012 and was conferred an Endowed Chair in 2014 in honour of my scholarly work and professional contributions.

My expertise centers on extreme value theory for insurance, finance, and quantitative risk management. Recently, I have been working on various topics from the interdisciplinary field of insurance, finance, probability, and operations research. These topics include: (1) modeling, measuring, and managing catastrophe risks, (2) systemic risk and financial networks, (3) pricing in incomplete markets, and (4) portfolio theory under model uncertainty. His research has been constantly supported by external grants.

Currently, I am an Editor of the journal Insurance: Mathematics and Economics, and an Associate Editor of several journals including TEST, Applied Stochastic Models in Business and Industry, Statistics & Probability Letters, and Science China Mathematics.  I am an Elected Member of the International Statistical Institute.

Journal articles
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Lo A; Tang Q; Tang Z, 2021, 'Universally Marketable Insurance under Multivariate Mixtures', ASTIN Bulletin, vol. 51, pp. 221 - 243, http://dx.doi.org/10.1017/asb.2020.41
2021
Tang Q; Tong Z; Yang Y, 2021, 'Large portfolio losses in a turbulent market', European Journal of Operational Research, vol. 292, pp. 755 - 769, http://dx.doi.org/10.1016/j.ejor.2020.10.043
2021
Liu H; Tang Q; Yuan Z, 2021, 'Indifference pricing of insurance-linked securities in a multi-period model', European Journal of Operational Research, vol. 289, pp. 793 - 805, http://dx.doi.org/10.1016/j.ejor.2020.07.028
2021
Li H; Tang Q, 2020, 'Joint Extremes in Temperature and Mortality: A Bivariate POT Approach', North American Actuarial Journal, http://dx.doi.org/10.1080/10920277.2020.1823236
2020
Li X; Liu H; Tang Q; Zhu J, 2020, 'Liquidation risk in insurance under contemporary regulatory frameworks', Insurance: Mathematics and Economics, vol. 93, pp. 36 - 49, http://dx.doi.org/10.1016/j.insmatheco.2020.04.005
2020
Tang Q; Tang Z; Yang Y, 2019, 'Sharp asymptotics for large portfolio losses under extreme risks', European Journal of Operational Research, vol. 276, pp. 710 - 722, http://dx.doi.org/10.1016/j.ejor.2019.01.025
2019
Blanchet J; Lam H; Tang Q; Yuan Z, 2019, 'Robust Actuarial Risk Analysis', North American Actuarial Journal, vol. 23, pp. 33 - 63, http://dx.doi.org/10.1080/10920277.2018.1504686
2019
Tang Q; Yang Y, 2019, 'Interplay of insurance and financial risks in a stochastic environment', Scandinavian Actuarial Journal, vol. 2019, pp. 432 - 451, http://dx.doi.org/10.1080/03461238.2019.1573753
2019
Tang Q; Yuan Z, 2019, 'CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION', ASTIN Bulletin, vol. 49, pp. 457 - 490, http://dx.doi.org/10.1017/asb.2019.11
2019
Cheung KC; Ling HK; Tang Q; Yam SCP; Yuen FL, 2019, 'On additivity of tail comonotonic risks', Scandinavian Actuarial Journal, vol. 2019, pp. 837 - 866, http://dx.doi.org/10.1080/03461238.2019.1626762
2019
Li H; Tang Q, 2019, 'Analyzing mortality bond indexes via hierarchical forecast reconciliation', ASTIN Bulletin, vol. 49, pp. 823 - 846, http://dx.doi.org/10.1017/asb.2019.19
2019
Shi X; Tang Q; Yuan Z, 2017, 'A limit distribution of credit portfolio losses with low default probabilities', Insurance: Mathematics and Economics, vol. 73, pp. 156 - 167, http://dx.doi.org/10.1016/j.insmatheco.2017.02.003
2017
He J; Tang Q; Zhang H, 2016, 'Risk reducers in convex order', Insurance: Mathematics and Economics, vol. 70, pp. 80 - 88, http://dx.doi.org/10.1016/j.insmatheco.2016.05.009
2016
Li J; Tang Q, 2015, 'Interplay of insurance and financial risks in a discrete-time model with strongly regular variation', Bernoulli, vol. 21, pp. 1800 - 1823, http://dx.doi.org/10.3150/14-BEJ625
2015
Li B; Tang Q; Wang L; Zhou X, 2014, 'Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code', INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, vol. 1, http://dx.doi.org/10.1142/S2345768614500238
2014
Tang Q; Yang F, 2014, 'Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function', Insurance: Mathematics and Economics, vol. 59, pp. 311 - 320, http://dx.doi.org/10.1016/j.insmatheco.2014.10.004
2014
Tang Q; Yuan Z, 2014, 'Randomly weighted sums of subexponential random variables with application to capital allocation', Extremes, vol. 17, pp. 467 - 493, http://dx.doi.org/10.1007/s10687-014-0191-z
2014
Cheung KC; Dhaene J; Lo A; Tang Q, 2014, 'Reducing risk by merging counter-monotonic risks', Insurance: Mathematics and Economics, vol. 54, pp. 58 - 65, http://dx.doi.org/10.1016/j.insmatheco.2013.10.014
2014
Li B; Tang Q; Zhou X, 2013, 'A Time-Homogeneous Diffusion Model with Tax', Journal of Applied Probability, vol. 50, pp. 195 - 207, http://dx.doi.org/10.1017/s0021900200013206
2013
Li B; Tang Q; Zhou X, 2013, 'A time-homogeneous diffusion model with tax', Journal of Applied Probability, vol. 50, pp. 195 - 207, http://dx.doi.org/10.1239/jap/1363784433
2013
Tang Q; Yuan Z, 2013, 'Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation', North American Actuarial Journal, vol. 17, pp. 253 - 271, http://dx.doi.org/10.1080/10920277.2013.830557
2013
Hao X; Tang Q, 2012, 'Asymptotic ruin probabilities for a bivariate lévy-driven risk model with heavy-tailed claims and risky investments', Journal of Applied Probability, vol. 49, pp. 939 - 953, http://dx.doi.org/10.1239/jap/1354716649
2012
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', North American Actuarial Journal, vol. 16, pp. 378 - 397, http://dx.doi.org/10.1080/10920277.2012.10590648
2012
Hao X; Tang Q, 2012, 'Asymptotic Ruin Probabilities for a Bivariate Lévy-Driven Risk Model with Heavy-Tailed Claims and Risky Investments', Journal of Applied Probability, vol. 49, pp. 939 - 953, http://dx.doi.org/10.1017/s0021900200012791
2012
Tang Q; Yang F, 2012, 'On the Haezendonck-Goovaerts risk measure for extreme risks', Insurance: Mathematics and Economics, vol. 50, pp. 217 - 227, http://dx.doi.org/10.1016/j.insmatheco.2011.11.007
2012
Nam HS; Tang Q; Yang F, 2011, 'Characterization of upper comonotonicity via tail convex order', Insurance: Mathematics and Economics, vol. 48, pp. 368 - 373, http://dx.doi.org/10.1016/j.insmatheco.2011.01.003
2011
Asimit AV; Furman E; Tang Q; Vernic R, 2011, 'Asymptotics for risk capital allocations based on Conditional Tail Expectation', Insurance: Mathematics and Economics, vol. 49, pp. 310 - 324, http://dx.doi.org/10.1016/j.insmatheco.2011.05.002
2011
Konstantinides DG; Ng KW; Tang Q, 2010, 'The probabilities of absolute ruin in the renewal risk model with constant force of interest', Journal of Applied Probability, vol. 47, pp. 323 - 334, http://dx.doi.org/10.1017/s0021900200006665
2010
Hashorva E; Pakes AG; Tang Q, 2010, 'Asymptotics of random contractions', Insurance: Mathematics and Economics, vol. 47, pp. 405 - 414, http://dx.doi.org/10.1016/j.insmatheco.2010.08.006
2010
Li J; Tang Q; Wu R, 2010, 'Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model', Advances in Applied Probability, vol. 42, pp. 1126 - 1146, http://dx.doi.org/10.1017/s0001867800004559
2010
Li J; Tang Q; Wu R, 2010, 'Subexponential tails of discounted aggregate claims in a time-dependent renewal risk model', Advances in Applied Probability, vol. 42, pp. 1126 - 1146, http://dx.doi.org/10.1239/aap/1293113154
2010
Konstantinides DG; Ng KW; Tang Q, 2010, 'The probabilities of absolute ruin in the renewal risk model with constant force of interest', Journal of Applied Probability, vol. 47, pp. 323 - 334, http://dx.doi.org/10.1239/jap/1276784894
2010
Tang Q; Wang G; Yuen KC, 2010, 'Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model', Insurance: Mathematics and Economics, vol. 46, pp. 362 - 370, http://dx.doi.org/10.1016/j.insmatheco.2009.12.002
2010
Tang Q; Wei L, 2010, 'Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence', Insurance: Mathematics and Economics, vol. 46, pp. 19 - 31, http://dx.doi.org/10.1016/j.insmatheco.2009.08.007
2010
Hao X; Tang Q; Wei L, 2009, 'On the maximum exceedance of a sequence of random variables over a renewal threshold', Journal of Applied Probability, vol. 46, pp. 559 - 570, http://dx.doi.org/10.1239/jap/1245676106
2009
Ha X; Tang Q; Wei L, 2009, 'On the Maximum Exceedance of a Sequence of Random Variables Over a Renewal Threshold', Journal of Applied Probability, vol. 46, pp. 559 - 570, http://dx.doi.org/10.1017/s0021900200005647
2009
Hao X; Tang Q, 2009, 'Asymptotic ruin probabilities of the lévy insurance model under periodic taxation', ASTIN Bulletin, vol. 39, pp. 479 - 494, http://dx.doi.org/10.2143/AST.39.2.2044644
2009
Geluk J; Tang Q, 2009, 'Asymptotic tail probabilities of sums of dependent subexponential random variables', Journal of Theoretical Probability, vol. 22, pp. 871 - 882, http://dx.doi.org/10.1007/s10959-008-0159-5
2009
Ko B; Tang Q, 2008, 'Sums of Dependent Nonnegative Random Variables with Subexponential Tails', Journal of Applied Probability, vol. 45, pp. 85 - 94, http://dx.doi.org/10.1017/s0021900200003971
2008
Hao X; Tang Q, 2008, 'A uniform asymptotic estimate for discounted aggregate claims with subexponential tails', Insurance: Mathematics and Economics, vol. 43, pp. 116 - 120, http://dx.doi.org/10.1016/j.insmatheco.2008.03.009
2008
Jiang J; Tang Q, 2008, 'Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims', Insurance: Mathematics and Economics, vol. 43, pp. 431 - 436, http://dx.doi.org/10.1016/j.insmatheco.2008.08.005
2008
Tang Q, 2008, 'From light tails to heavy tails through multiplier', Extremes, vol. 11, pp. 379 - 391, http://dx.doi.org/10.1007/s10687-008-0063-5
2008
Ko B; Tang Q, 2008, 'Sums of dependent nonnegative random variables with subexponential tails', Journal of Applied Probability, vol. 45, pp. 85 - 94, http://dx.doi.org/10.1239/jap/1208358953
2008
Tang Q, 2007, 'Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model', Journal of Applied Probability, vol. 44, pp. 285 - 294, http://dx.doi.org/10.1017/s0021900200002965
2007
Tang Q, 2007, 'Heavy tails of discounted aggregate claims in the continuous-time renewal model', Journal of Applied Probability, vol. 44, pp. 285 - 294, http://dx.doi.org/10.1239/jap/1183667401
2007
Li J; Liu Z; Tang Q, 2007, 'On the ruin probabilities of a bidimensional perturbed risk model', Insurance: Mathematics and Economics, vol. 41, pp. 185 - 195, http://dx.doi.org/10.1016/j.insmatheco.2006.10.012
2007
Tang Q, 2007, 'Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model', Journal of Applied Probability, vol. 44, pp. 285 - 294, http://dx.doi.org/10.1017/s0021900200117826
2007
Tang Q, 2006, 'The subexponentiality of products revisited', Extremes, vol. 9, pp. 231 - 241, http://dx.doi.org/10.1007/s10687-006-0029-4
2006
Tang Q, 2006, 'Insensitivity to negative dependence of the asymptotic behavior of precise large deviations', Electronic Journal of Probability, vol. 11, pp. 107 - 120, http://dx.doi.org/10.1214/EJP.v11-304
2006
Dhaene J; Vanduffel S; Goovaerts MJ; Kaas R; Tang Q; Vyncke D, 2006, 'Risk measures and comonotonicity: A review', Stochastic Models, vol. 22, pp. 573 - 606, http://dx.doi.org/10.1080/15326340600878016
2006
Tang Q, 2006, 'On convolution equivalence with applications', Bernoulli, vol. 12, pp. 535 - 549, http://dx.doi.org/10.3150/bj/1151525135
2006
Kaas R; Tang Q, 2005, 'A large deviation result for aggregate claims with dependent claim occurrences', Insurance: Mathematics and Economics, vol. 36, pp. 251 - 259, http://dx.doi.org/10.1016/j.insmatheco.2005.01.004
2005
Tang Q, 2005, 'The finite-time ruin probability of the compound Poisson model with constant interest force', Journal of Applied Probability, vol. 42, pp. 608 - 619, http://dx.doi.org/10.1017/s0021900200000656
2005
Chen Y; Ng KW; Tang Q, 2005, 'Weighted sums of subexponential random variables and their maxima', Advances in Applied Probability, vol. 37, pp. 510 - 522, http://dx.doi.org/10.1017/s0001867800000288
2005
Goovaerts MJ; Kaas R; Laeven RJA; Tang Q; Vernic R; Tang Q, 2005, 'The tail probability of discounted sums of pareto-like losses in insurance', Scandinavian Actuarial Journal, vol. 2005, pp. 446 - 461, http://dx.doi.org/10.1080/03461230500361943
2005
Chen Y; Ng KW; Tang Q, 2005, 'Weighted sums of subexponential random variables and their maxima', Advances in Applied Probability, vol. 37, pp. 510 - 522, http://dx.doi.org/10.1239/aap/1118858636
2005
Tang Q, 2005, 'The finite-time ruin probability of the compound poisson model with constant interest force', Journal of Applied Probability, vol. 42, pp. 608 - 619, http://dx.doi.org/10.1239/jap/1127322015
2005
Tang Q, 2005, 'Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation', Scandinavian Actuarial Journal, vol. 2005, pp. 1 - 5, http://dx.doi.org/10.1080/03461230510006982
2005
Tang Q, 2004, 'The ruin probability of a discrete time risk model under constant interest rate with heavy tails', Scandinavian Actuarial Journal, vol. 2004, pp. 229 - 240, http://dx.doi.org/10.1080/03461230310017531
2004
Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2004, 'Some new classes of consistent risk measures', Insurance: Mathematics and Economics, vol. 34, pp. 505 - 516, http://dx.doi.org/10.1016/j.insmatheco.2004.03.003
2004
Ng KW; Tang Q; Yan J-A; Yang H, 2004, 'Precise large deviations for sums of random variables with consistently varying tails', Journal of Applied Probability, vol. 41, pp. 93 - 107, http://dx.doi.org/10.1017/s0021900200014066
2004
Ng KW; Tang Q; Yan JA; Yang H, 2004, 'Precise large deviations for sums of random variables with consistently varying tails', Journal of Applied Probability, vol. 41, pp. 93 - 107, http://dx.doi.org/10.1239/jap/1077134670
2004
Ng KW; Tang Q, 2004, 'Asymptotic behavior of tail and local probabilities for sums of subexponential random variables', Journal of Applied Probability, vol. 41, pp. 108 - 116, http://dx.doi.org/10.1017/s0021900200014078
2004
Ng KW; Tang Q, 2004, 'Asymptotic behavior of tail and local probabilities for sums of subexponential random variables', Journal of Applied Probability, vol. 41, pp. 108 - 116, http://dx.doi.org/10.1239/jap/1077134671
2004
Goovaerts MJ; Kaas R; Laeven RJA; Tang Q, 2004, 'A comonotonic image of independence for additive risk measures', Insurance: Mathematics and Economics, vol. 35, pp. 581 - 594, http://dx.doi.org/10.1016/j.insmatheco.2004.07.005
2004
Cai J; Tang Q, 2004, 'On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications', Journal of Applied Probability, vol. 41, pp. 117 - 130, http://dx.doi.org/10.1017/s002190020001408x
2004
Tang Q; Tsitsiashvili G, 2004, 'Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments', Advances in Applied Probability, vol. 36, pp. 1278 - 1299, http://dx.doi.org/10.1239/aap/1103662967
2004
Cai J; Tang Q, 2004, 'On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications', Journal of Applied Probability, vol. 41, pp. 117 - 130, http://dx.doi.org/10.1239/jap/1077134672
2004
Tang Q; Tsitsiashvili G, 2004, 'Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments', Advances in Applied Probability, vol. 36, pp. 1278 - 1299, http://dx.doi.org/10.1017/s0001867800013409
2004
Ng KW; Tang Q; Yan J; Yang H, 2003, 'Precise large deviations for the prospective-loss process', Journal of Applied Probability, vol. 40, pp. 391 - 400, http://dx.doi.org/10.1239/jap/1053003551
2003
Kaas R; Tang Q, 2003, 'Note on the Tail Behavior of Random Walk Maxima with Heavy Tails and Negative Drift', North American Actuarial Journal, vol. 7, pp. 57 - 61, http://dx.doi.org/10.1080/10920277.2003.10596103
2003
Cheng Y; Tang Q, 2003, 'Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process', North American Actuarial Journal, vol. 7, pp. 1 - 12, http://dx.doi.org/10.1080/10920277.2003.10596073
2003
Tang Q; Tsitsiashvili G, 2003, 'Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks', Stochastic Processes and their Applications, vol. 108, pp. 299 - 325, http://dx.doi.org/10.1016/j.spa.2003.07.001
2003
Tang Q; Tsitsiashvili G, 2003, 'Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory', Extremes, vol. 6, pp. 171 - 188, http://dx.doi.org/10.1023/b:extr.0000031178.19509.57
2003
Ng KW; Tang Q; Yan J; Yang H, 2003, 'Precise large deviations for the prospective-loss process', Journal of Applied Probability, vol. 40, pp. 391 - 400, http://dx.doi.org/10.1017/s0021900200019379
2003
Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2003, 'A Unified Approach to Generate Risk Measures', ASTIN Bulletin, vol. 33, pp. 173 - 191, http://dx.doi.org/10.2143/ast.33.2.503689
2003
Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2003, 'A Unified Approach to Generate Risk Measures', ASTIN Bulletin, vol. 33, pp. 173 - 191, http://dx.doi.org/10.1017/S0515036100013428
2003
Konstantinides D; Tang Q; Tsitsiashvili G, 2002, 'Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails', Insurance: Mathematics and Economics, vol. 31, pp. 447 - 460, http://dx.doi.org/10.1016/S0167-6687(02)00189-0
2002
ng KW; Tang QH; Yang H, 2002, 'Maxima of Sums of Heavy-Tailed Random Variables', ASTIN Bulletin, vol. 32, pp. 43 - 55, http://dx.doi.org/10.2143/AST.32.1.1013
2002
Tang Q; Yan JAA, 2002, 'A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails', Science in China, Series A: Mathematics, Physics, Astronomy, vol. 45, pp. 1006 - 1011, http://dx.doi.org/10.1007/BF02879983
2002
Book Chapters
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Tang Q; Yuan Z, 2016, 'Interplay of insurance and financial risks with bivariate regular variation', in Extreme Value Modeling and Risk Analysis: Methods and Applications, pp. 419 - 438
2016
Tang Q, 2010, 'Cramér's Theorem', in , John Wiley & Sons, Ltd, http://dx.doi.org/10.1002/9780470061602.eqf21012
2010

09/2018: Elected Member of the International Statistical Institute (ISI)
07/2014: F. Wendell Miller Professor, University of Iowa
2014--2015: Career Development Award, University of Iowa

  • 2020-2023: Australian Research Council (ARC), Lead Chief Investigator (with Chief Investigators Benjamin Avanzi and Bernard Wong and Partner Investigator Jose Blanchet), AUD 310,000
  • 2019-2020: Individual Grant Competition, Committee on Knowledge Extension Research (CKER), the Society of Actuaries (SOA), Co-Principal Investigator (with Principal Investigator Han Li), USD 10,160
  • 2018-2021: Centers of Actuarial Excellence (CAE) Research Grant, the Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Kung-Sik Chan, Yiqing Chen, Ambrose Lo, and Elias Shiu), USD 228,000
  • 2014-2017: The National Science Foundation (NSF), Principal Investigator for the subcontract of the University of Iowa (with other Principal Investigators Jose Blanchet of Columbia University and Henry Lam of the University of Michigan), USD 349,874
  • 2014-2017: The Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Jose Blanchet of Columbia University, Henry Lam of the University of Michigan, and Zhongyi Yuan of the Pennsylvania State University), USD 80,403
  • 2013-2016: Centers of Actuarial Excellence (CAE) Research Grant, the Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Elias Shiu , N.D. Shyamalkumar, and Ambrose Lo), USD 244,104.02

Since I joined UNSW in July 2017, I have been teaching the following courses:

  • Models for Risk Management (ACTL4301/5301)
  • General Insurance Techniques/Insurance Risk Models (ACTL3162/ACTL5106)

During my appointment at the university of Iowa (2006-2019), I had taught essentially all courses in actuarial science and at all levels.