Professor
Professor Qihe Tang
PhD in statistics, 2001, from the University of Science and Technology of China
Business School
Risk & Actuarial
Qihe Tang, Professor of Actuarial Science at UNSW Sydney.
After earning his PhD in statistics from the University of Science and Technology of China in 2001, he has worked at different places around the world including the University of Hong Kong (2001), the University of Amsterdam (2002-2004), Concordia University (2004-2005), and the University of Iowa (2006-2019). At the University of Iowa, he was promoted to Full Professor in 2012 and conferred an Endowed Chair in 2014. He joined UNSW Business School under the SHARP (Strategic Hires and Retention Pathways) scheme in July 2017.
His expertise centres on extreme value theory for insurance, finance, and risk management. Recently, he has been working on various topics from the interdisciplinary field of insurance, finance, applied probability, and operations research. These topics include:
- Modeling, measuring, and managing catastrophe risks,
- Systemic risk and financial networks,
- Pricing in incomplete markets,
- Portfolio theory under model uncertainty, and
- Climate change and insurance.
He has published over 100 papers resulting in an H index of 41. He has been Principal Investigator/Lead Chief Investigator of various major external grants including 2 from ARC of Australia, 1 from NSF of US, 5 from the Society of Actuaries, and 1 from NSERC of Canada.
Currently, he is an Editor of the journal Insurance: Mathematics and Economics, and an Associate Editor of several journals including Applied Stochastic Models in Business and Industry, Statistics & Probability Letters, and Science China Mathematics. He is an Elected Member of the International Statistical Institute.
Phone
61-2-9065-8256
E-mail
- Publications
- Awards
- Grants
- Media
- Research Activities
- Teaching and Supervision
Publications
Awards
09/2018: Elected Member of the International Statistical Institute (ISI)
07/2014: F. Wendell Miller Endowed Chair, University of Iowa
2014--2015: Career Development Award, University of Iowa
Grants
- 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
Media
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
Recent decades were characterized by an unprecedented surge in the frequency and severity of catastrophes, either natural or man-made, many of which wrought havoc on the environment, economy, and society on a large scale despite their low likelihood of happening. This research endeavors to establish a robust approach to modeling, measuring, and managing a wide variety of catastrophe risks.
(2) Systemic risk and financial networks
According to the Reserve Bank of Australia, systemic risk describes the risk that the inability of one participant to meet its obligations in a system will cause other participants to be unable to meet their obligations, potentially with spillover effects threatening the stability of or confidence in the financial system. The network among the participants may either help reduce the systemic risk thanks to diversification effect or create a channel for propagation of the systemic risk. This research focuses on such an intriguing non-monotonic effect of the network integration.
(3) Pricing in incomplete markets
Contemporary financial instruments such as catastrophe bonds and insurance-linked securities often contain both tradable and non-tradable components. Issues such as friction and illiquidity violate the basic arbitrage-free assumption and revoke the validity of using arbitrage pricing theory for such a market. This research aims to develop economically sound pricing frameworks from the perspectives of utility theory, robust optimization, and quantitative risk management.
(4) Portfolio theory under model uncertainty
Decision makers resort to models and calibration procedures that capture stylized features based on experience or expert knowledge but often bear the risk of deviating too much from reality. To tackle such a model uncertainty issue, currently prevailing distributionally robust optimization (DRO) techniques often produce over-conservative solutions. This research aims to quantify the impact of model uncertainty and develop DRO techniques under partial uncertainty. The study has roots in economics, operations research, and statistics.
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.