Professor Qihe Tang
Professor

Professor Qihe Tang

PhD in statistics, 2001, from the University of Science and Technology of China

Business School
School of Risk and Actuarial Studies

Qihe Tang
SHARP Professor, UNSW Sydney, 2017-
Editor of Insurance: Mathematics and Economics, 2017-

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 [awarded ARC DP200101859]
  • Systemic risk and financial networks [awarded ARC DP220100090]
  • Quantitative risk analysis under uncertainty
  • Pricing in incomplete markets
  • Climate change and insurance

He has published over 100 papers resulting in an H index of 43 according to Google Scholar. He has been Principal Investigator/Lead Chief Investigator of various major external grants including 2 from ARC of Australia, 1 from NSF of US, 2 CAE research grants from the Society of Actuaries, and 1 from NSERC of Canada.

Internally at UNSW Sydney, he holds the positions of Research Director of the School of Risk and Actuarial Studies and Co-Director of the Innovations in Risk, Insurance and Superannuation (IRIS) Knowledge Hub. Externally, he serves as an Editor of the journal Insurance: Mathematics and Economics, and an Associate Editor of several other 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
  • Book Chapters | 2016
    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
    Book Chapters | 2010
    Tang Q, 2010, 'Cramér's Theorem', in , Wiley, http://dx.doi.org/10.1002/9780470061602.eqf21012
  • Journal articles | 2023
    Kaas R; Laeven RJA; Lin S; Tang Q; Willmot G; Yang H, 2023, 'IME's Editorial Board', Insurance: Mathematics and Economics, 113, pp. 198 - 198, http://dx.doi.org/10.1016/j.insmatheco.2023.08.010
    Journal articles | 2023
    Li H; Liu H; Tang Q; Yuan Z, 2023, 'Pricing extreme mortality risk in the wake of the COVID-19 pandemic', Insurance: Mathematics and Economics, 108, pp. 84 - 106, http://dx.doi.org/10.1016/j.insmatheco.2022.11.002
    Journal articles | 2023
    Tang Q; Yang Y, 2023, 'Worst-case moments under partial ambiguity', ASTIN Bulletin, 53, pp. 443 - 465, http://dx.doi.org/10.1017/asb.2023.3
    Journal articles | 2022
    Gómez F; Tang Q; Tong Z, 2022, 'The gradient allocation principle based on the higher moment risk measure', Journal of Banking and Finance, 143, http://dx.doi.org/10.1016/j.jbankfin.2022.106544
    Journal articles | 2022
    Tang Q; Tong Z; Xun L, 2022, 'Insurance risk analysis of financial networks vulnerable to a shock', European Journal of Operational Research, 301, pp. 756 - 771, http://dx.doi.org/10.1016/j.ejor.2021.11.017
    Journal articles | 2022
    Tang Q; Tong Z; Xun L, 2022, 'Portfolio risk analysis of excess of loss reinsurance', Insurance: Mathematics and Economics, 102, pp. 91 - 110, http://dx.doi.org/10.1016/j.insmatheco.2021.11.004
    Journal articles | 2021
    Liu H; Tang Q; Yuan Z, 2021, 'Indifference pricing of insurance-linked securities in a multi-period model', European Journal of Operational Research, 289, pp. 793 - 805, http://dx.doi.org/10.1016/j.ejor.2020.07.028
    Journal articles | 2021
    Lo A; Tang Q; Tang Z, 2021, 'Universally Marketable Insurance under Multivariate Mixtures', ASTIN Bulletin, 51, pp. 221 - 243, http://dx.doi.org/10.1017/asb.2020.41
    Journal articles | 2021
    Tang Q; Tong Z; Yang Y, 2021, 'Large portfolio losses in a turbulent market', European Journal of Operational Research, 292, pp. 755 - 769, http://dx.doi.org/10.1016/j.ejor.2020.10.043
    Journal articles | 2020
    Li H; Tang Q, 2020, 'Joint Extremes in Temperature and Mortality: A Bivariate POT Approach', North American Actuarial Journal, 26, pp. 43 - 63, http://dx.doi.org/10.1080/10920277.2020.1823236
    Journal articles | 2020
    Li X; Liu H; Tang Q; Zhu J, 2020, 'Liquidation risk in insurance under contemporary regulatory frameworks', Insurance: Mathematics and Economics, 93, pp. 36 - 49, http://dx.doi.org/10.1016/j.insmatheco.2020.04.005
    Journal articles | 2019
    Blanchet J; Lam H; Tang Q; Yuan Z, 2019, 'Robust Actuarial Risk Analysis', North American Actuarial Journal, 23, pp. 33 - 63, http://dx.doi.org/10.1080/10920277.2018.1504686
    Journal articles | 2019
    Cheung KC; Ling HK; Tang Q; Yam SCP; Yuen FL, 2019, 'On additivity of tail comonotonic risks', Scandinavian Actuarial Journal, 2019, pp. 837 - 866, http://dx.doi.org/10.1080/03461238.2019.1626762
    Journal articles | 2019
    Li H; Tang Q, 2019, 'Analyzing mortality bond indexes via hierarchical forecast reconciliation', ASTIN Bulletin, 49, pp. 823 - 846, http://dx.doi.org/10.1017/asb.2019.19
    Journal articles | 2019
    Tang Q; Tang Z; Yang Y, 2019, 'Sharp asymptotics for large portfolio losses under extreme risks', European Journal of Operational Research, 276, pp. 710 - 722, http://dx.doi.org/10.1016/j.ejor.2019.01.025
    Journal articles | 2019
    Tang Q; Yang Y, 2019, 'Interplay of insurance and financial risks in a stochastic environment', Scandinavian Actuarial Journal, 2019, pp. 432 - 451, http://dx.doi.org/10.1080/03461238.2019.1573753
    Journal articles | 2019
    Tang Q; Yuan Z, 2019, 'CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION', ASTIN Bulletin, 49, pp. 457 - 490, http://dx.doi.org/10.1017/asb.2019.11
    Journal articles | 2017
    Shi X; Tang Q; Yuan Z, 2017, 'A limit distribution of credit portfolio losses with low default probabilities', Insurance: Mathematics and Economics, 73, pp. 156 - 167, http://dx.doi.org/10.1016/j.insmatheco.2017.02.003
    Journal articles | 2016
    He J; Tang Q; Zhang H, 2016, 'Risk reducers in convex order', Insurance: Mathematics and Economics, 70, pp. 80 - 88, http://dx.doi.org/10.1016/j.insmatheco.2016.05.009
    Journal articles | 2015
    Li J; Tang Q, 2015, 'Interplay of insurance and financial risks in a discrete-time model with strongly regular variation', Bernoulli, 21, pp. 1800 - 1823, http://dx.doi.org/10.3150/14-BEJ625
    Journal articles | 2014
    Cheung KC; Dhaene J; Lo A; Tang Q, 2014, 'Reducing risk by merging counter-monotonic risks', Insurance: Mathematics and Economics, 54, pp. 58 - 65, http://dx.doi.org/10.1016/j.insmatheco.2013.10.014
    Journal articles | 2014
    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, 1, http://dx.doi.org/10.1142/S2345768614500238
    Journal articles | 2014
    Tang Q; Yang F, 2014, 'Extreme value analysis of the Haezendonck-Goovaerts risk measure with a general Young function', Insurance: Mathematics and Economics, 59, pp. 311 - 320, http://dx.doi.org/10.1016/j.insmatheco.2014.10.004
    Journal articles | 2014
    Tang Q; Yuan Z, 2014, 'Randomly weighted sums of subexponential random variables with application to capital allocation', Extremes, 17, pp. 467 - 493, http://dx.doi.org/10.1007/s10687-014-0191-z
    Journal articles | 2013
    Li B; Tang Q; Zhou X, 2013, 'A Time-Homogeneous Diffusion Model with Tax', Journal of Applied Probability, 50, pp. 195 - 207, http://dx.doi.org/10.1017/s0021900200013206
    Journal articles | 2013
    Li B; Tang Q; Zhou X, 2013, 'A time-homogeneous diffusion model with tax', Journal of Applied Probability, 50, pp. 195 - 207, http://dx.doi.org/10.1239/jap/1363784433
    Journal articles | 2013
    Tang Q; Yuan Z, 2013, 'Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation', North American Actuarial Journal, 17, pp. 253 - 271, http://dx.doi.org/10.1080/10920277.2013.830557
    Journal articles | 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, 49, pp. 939 - 953, http://dx.doi.org/10.1017/s0021900200012791
    Journal articles | 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, 49, pp. 939 - 953, http://dx.doi.org/10.1239/jap/1354716649
    Journal articles | 2012
    Tang Q; Yang F, 2012, 'On the Haezendonck-Goovaerts risk measure for extreme risks', Insurance: Mathematics and Economics, 50, pp. 217 - 227, http://dx.doi.org/10.1016/j.insmatheco.2011.11.007
    Journal articles | 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, 16, pp. 378 - 397, http://dx.doi.org/10.1080/10920277.2012.10590648
    Journal articles | 2011
    Asimit AV; Furman E; Tang Q; Vernic R, 2011, 'Asymptotics for risk capital allocations based on Conditional Tail Expectation', Insurance: Mathematics and Economics, 49, pp. 310 - 324, http://dx.doi.org/10.1016/j.insmatheco.2011.05.002
    Journal articles | 2011
    Nam HS; Tang Q; Yang F, 2011, 'Characterization of upper comonotonicity via tail convex order', Insurance: Mathematics and Economics, 48, pp. 368 - 373, http://dx.doi.org/10.1016/j.insmatheco.2011.01.003
    Journal articles | 2010
    Hashorva E; Pakes AG; Tang Q, 2010, 'Asymptotics of random contractions', Insurance: Mathematics and Economics, 47, pp. 405 - 414, http://dx.doi.org/10.1016/j.insmatheco.2010.08.006
    Journal articles | 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, 47, pp. 323 - 334, http://dx.doi.org/10.1017/s0021900200006665
    Journal articles | 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, 47, pp. 323 - 334, http://dx.doi.org/10.1239/jap/1276784894
    Journal articles | 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, 42, pp. 1126 - 1146, http://dx.doi.org/10.1017/s0001867800004559
    Journal articles | 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, 42, pp. 1126 - 1146, http://dx.doi.org/10.1239/aap/1293113154
    Journal articles | 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, 46, pp. 362 - 370, http://dx.doi.org/10.1016/j.insmatheco.2009.12.002
    Journal articles | 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, 46, pp. 19 - 31, http://dx.doi.org/10.1016/j.insmatheco.2009.08.007
    Journal articles | 2009
    Geluk J; Tang Q, 2009, 'Asymptotic tail probabilities of sums of dependent subexponential random variables', Journal of Theoretical Probability, 22, pp. 871 - 882, http://dx.doi.org/10.1007/s10959-008-0159-5
    Journal articles | 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, 46, pp. 559 - 570, http://dx.doi.org/10.1017/s0021900200005647
    Journal articles | 2009
    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, 46, pp. 559 - 570, http://dx.doi.org/10.1239/jap/1245676106
    Journal articles | 2009
    Hao X; Tang Q, 2009, 'Asymptotic ruin probabilities of the lévy insurance model under periodic taxation', ASTIN Bulletin, 39, pp. 479 - 494, http://dx.doi.org/10.2143/AST.39.2.2044644
    Journal articles | 2008
    Hao X; Tang Q, 2008, 'A uniform asymptotic estimate for discounted aggregate claims with subexponential tails', Insurance: Mathematics and Economics, 43, pp. 116 - 120, http://dx.doi.org/10.1016/j.insmatheco.2008.03.009
    Journal articles | 2008
    Jiang J; Tang Q, 2008, 'Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims', Insurance: Mathematics and Economics, 43, pp. 431 - 436, http://dx.doi.org/10.1016/j.insmatheco.2008.08.005
    Journal articles | 2008
    Ko B; Tang Q, 2008, 'Sums of Dependent Nonnegative Random Variables with Subexponential Tails', Journal of Applied Probability, 45, pp. 85 - 94, http://dx.doi.org/10.1017/s0021900200003971
    Journal articles | 2008
    Ko B; Tang Q, 2008, 'Sums of dependent nonnegative random variables with subexponential tails', Journal of Applied Probability, 45, pp. 85 - 94, http://dx.doi.org/10.1239/jap/1208358953
    Journal articles | 2008
    Tang Q, 2008, 'From light tails to heavy tails through multiplier', Extremes, 11, pp. 379 - 391, http://dx.doi.org/10.1007/s10687-008-0063-5
    Journal articles | 2007
    Li J; Liu Z; Tang Q, 2007, 'On the ruin probabilities of a bidimensional perturbed risk model', Insurance: Mathematics and Economics, 41, pp. 185 - 195, http://dx.doi.org/10.1016/j.insmatheco.2006.10.012
    Journal articles | 2007
    Tang Q, 2007, 'Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model', Journal of Applied Probability, 44, pp. 285 - 294, http://dx.doi.org/10.1017/s0021900200002965
    Journal articles | 2007
    Tang Q, 2007, 'Heavy Tails of Discounted Aggregate Claims in the Continuous-Time Renewal Model', Journal of Applied Probability, 44, pp. 285 - 294, http://dx.doi.org/10.1017/s0021900200117826
    Journal articles | 2007
    Tang Q, 2007, 'Heavy tails of discounted aggregate claims in the continuous-time renewal model', Journal of Applied Probability, 44, pp. 285 - 294, http://dx.doi.org/10.1239/jap/1183667401
    Journal articles | 2006
    Dhaene J; Vanduffel S; Goovaerts MJ; Kaas R; Tang Q; Vyncke D, 2006, 'Risk measures and comonotonicity: A review', Stochastic Models, 22, pp. 573 - 606, http://dx.doi.org/10.1080/15326340600878016
    Journal articles | 2006
    Tang Q, 2006, 'Insensitivity to negative dependence of the asymptotic behavior of precise large deviations', Electronic Journal of Probability, 11, pp. 107 - 120, http://dx.doi.org/10.1214/EJP.v11-304
    Journal articles | 2006
    Tang Q, 2006, 'On convolution equivalence with applications', Bernoulli, 12, pp. 535 - 549, http://dx.doi.org/10.3150/bj/1151525135
    Journal articles | 2006
    Tang Q, 2006, 'The subexponentiality of products revisited', Extremes, 9, pp. 231 - 241, http://dx.doi.org/10.1007/s10687-006-0029-4
    Journal articles | 2005
    Chen Y; Ng KW; Tang Q, 2005, 'Weighted sums of subexponential random variables and their maxima', Advances in Applied Probability, 37, pp. 510 - 522, http://dx.doi.org/10.1017/s0001867800000288
    Journal articles | 2005
    Chen Y; Ng KW; Tang Q, 2005, 'Weighted sums of subexponential random variables and their maxima', Advances in Applied Probability, 37, pp. 510 - 522, http://dx.doi.org/10.1239/aap/1118858636
    Journal articles | 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, 2005, pp. 446 - 461, http://dx.doi.org/10.1080/03461230500361943
    Journal articles | 2005
    Kaas R; Tang Q, 2005, 'A large deviation result for aggregate claims with dependent claim occurrences', Insurance: Mathematics and Economics, 36, pp. 251 - 259, http://dx.doi.org/10.1016/j.insmatheco.2005.01.004
    Journal articles | 2005
    Tang Q, 2005, 'Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation', Scandinavian Actuarial Journal, 2005, pp. 1 - 5, http://dx.doi.org/10.1080/03461230510006982
    Journal articles | 2005
    Tang Q, 2005, 'The finite-time ruin probability of the compound Poisson model with constant interest force', Journal of Applied Probability, 42, pp. 608 - 619, http://dx.doi.org/10.1017/s0021900200000656
    Journal articles | 2005
    Tang Q, 2005, 'The finite-time ruin probability of the compound poisson model with constant interest force', Journal of Applied Probability, 42, pp. 608 - 619, http://dx.doi.org/10.1239/jap/1127322015
    Journal articles | 2004
    Cai J; Tang Q, 2004, 'On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications', Journal of Applied Probability, 41, pp. 117 - 130, http://dx.doi.org/10.1017/s002190020001408x
    Journal articles | 2004
    Cai J; Tang Q, 2004, 'On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications', Journal of Applied Probability, 41, pp. 117 - 130, http://dx.doi.org/10.1239/jap/1077134672
    Journal articles | 2004
    Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2004, 'Some new classes of consistent risk measures', Insurance: Mathematics and Economics, 34, pp. 505 - 516, http://dx.doi.org/10.1016/j.insmatheco.2004.03.003
    Journal articles | 2004
    Goovaerts MJ; Kaas R; Laeven RJA; Tang Q, 2004, 'A comonotonic image of independence for additive risk measures', Insurance: Mathematics and Economics, 35, pp. 581 - 594, http://dx.doi.org/10.1016/j.insmatheco.2004.07.005
    Journal articles | 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, 41, pp. 93 - 107, http://dx.doi.org/10.1017/s0021900200014066
    Journal articles | 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, 41, pp. 93 - 107, http://dx.doi.org/10.1239/jap/1077134670
    Journal articles | 2004
    Ng KW; Tang Q, 2004, 'Asymptotic behavior of tail and local probabilities for sums of subexponential random variables', Journal of Applied Probability, 41, pp. 108 - 116, http://dx.doi.org/10.1017/s0021900200014078
    Journal articles | 2004
    Ng KW; Tang Q, 2004, 'Asymptotic behavior of tail and local probabilities for sums of subexponential random variables', Journal of Applied Probability, 41, pp. 108 - 116, http://dx.doi.org/10.1239/jap/1077134671
    Journal articles | 2004
    Tang Q; Tsitsiashvili G, 2004, 'Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments', Advances in Applied Probability, 36, pp. 1278 - 1299, http://dx.doi.org/10.1017/s0001867800013409
    Journal articles | 2004
    Tang Q; Tsitsiashvili G, 2004, 'Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments', Advances in Applied Probability, 36, pp. 1278 - 1299, http://dx.doi.org/10.1239/aap/1103662967
    Journal articles | 2004
    Tang Q, 2004, 'The ruin probability of a discrete time risk model under constant interest rate with heavy tails', Scandinavian Actuarial Journal, 2004, pp. 229 - 240, http://dx.doi.org/10.1080/03461230310017531
    Journal articles | 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, 7, pp. 1 - 12, http://dx.doi.org/10.1080/10920277.2003.10596073
    Journal articles | 2003
    Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2003, 'A Unified Approach to Generate Risk Measures', ASTIN Bulletin, 33, pp. 173 - 191, http://dx.doi.org/10.1017/S0515036100013428
    Journal articles | 2003
    Goovaerts MJ; Kaas R; Dhaene J; Tang Q, 2003, 'A Unified Approach to Generate Risk Measures', ASTIN Bulletin, 33, pp. 173 - 191, http://dx.doi.org/10.2143/ast.33.2.503689
    Journal articles | 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, 7, pp. 57 - 61, http://dx.doi.org/10.1080/10920277.2003.10596103
    Journal articles | 2003
    Ng KW; Tang Q; Yan J; Yang H, 2003, 'Precise large deviations for the prospective-loss process', Journal of Applied Probability, 40, pp. 391 - 400, http://dx.doi.org/10.1017/s0021900200019379
    Journal articles | 2003
    Ng KW; Tang Q; Yan J; Yang H, 2003, 'Precise large deviations for the prospective-loss process', Journal of Applied Probability, 40, pp. 391 - 400, http://dx.doi.org/10.1239/jap/1053003551
    Journal articles | 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, 108, pp. 299 - 325, http://dx.doi.org/10.1016/j.spa.2003.07.001
    Journal articles | 2003
    Tang Q; Tsitsiashvili G, 2003, 'Randomly Weighted Sums of Subexponential Random Variables with Application to Ruin Theory', Extremes, 6, pp. 171 - 188, http://dx.doi.org/10.1023/b:extr.0000031178.19509.57
    Journal articles | 2002
    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, 31, pp. 447 - 460, http://dx.doi.org/10.1016/S0167-6687(02)00189-0
    Journal articles | 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, 45, pp. 1006 - 1011, http://dx.doi.org/10.1007/BF02879983
    Journal articles | 2002
    ng KW; Tang QH; Yang H, 2002, 'Maxima of Sums of Heavy-Tailed Random Variables', ASTIN Bulletin, 32, pp. 43 - 55, http://dx.doi.org/10.2143/AST.32.1.1013
  • Preprints | 2015
    Li J; Tang Q, 2015, Interplay of insurance and financial risks in a discrete-time model with strongly regular variation, , http://dx.doi.org/10.48550/arxiv.1507.07673
    Preprints | 2010
    Hashorva E; Pakes AG; Tang Q, 2010, Asymptotics of Random Contractions, , http://dx.doi.org/10.48550/arxiv.1008.0126
    Preprints |
    Cheung KC; Dhaene J; Tang Q, On Partial Hedging and Counter-Monotonic Sums, , http://dx.doi.org/10.2139/ssrn.1966995
    Preprints |
    Goovaerts M; Kaas R; Laeven RJA; Tang Q; Vernic R, The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance, , http://dx.doi.org/10.2139/ssrn.662801
    Preprints |
    Li H; Tang Q, Joint Extremes in Temperature and Mortality: A Bivariate POT Approach, , http://dx.doi.org/10.2139/ssrn.3490322

This is a selected list of my recent external grants:

  • 2022-2024: Australian Research Council (ARC) Discovery Project, Lead Chief Investigator (with Chief Investigators Han Li and Katja Ignatieva and Partner Investigator Henry Lam), AUD 378,292 [ARC DP220100090]
  • 2020-2023: Australian Research Council (ARC) Discovery Project, Lead Chief Investigator (with Chief Investigators Benjamin Avanzi and Bernard Wong and Partner Investigator Jose Blanchet), AUD 310,000 [ARC DP200101859]
  • 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

  • 2018-: Elected Member of the International Statistical Institute (ISI)
  • 2017-: Professor under the SHARP (Strategic Hires and Retention Pathways) scheme, UNSW Sydney
  • 2014-2020: F. Wendell Miller Endowed Chair, University of Iowa

Research Agenda

We live in a rapidly changing and intricate world, characterized by risk, shock, and complexity, which amplify the degree of unpredictability. Climate change introduces multiple additional layers of complexity and deepens uncertainty. The insurance industry is profoundly impacted by this changing environment. However, insurance can also play a proactive role in delivering sustainable solutions. The UN Environment Programme Finance Initiative has launched Principles for Sustainable Insurance, emphasizing the need for responsible practices. Actuaries are uniquely positioned, in collaboration with insurance partners, to devise actuarial solutions for newly emerging threats in this evolving environment.

My expertise centers on extreme value theory for insurance, finance, and quantitative risk management. With motivations outlined above, I have been working on various topics from the interdisciplinary field of insurance, finance, applied probability, and operations research. These topics include:

(1) Modeling, measuring, and managing catastrophe risks [awarded ARC DP200101859]

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 [awarded ARC DP220100090]

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) Quantitative risk analysis under 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. This is a model uncertainty issue, which poses a risk of derailing the entire decision-making process. To address this issue, a currently prevailing approach is distributionally robust optimization (DRO), which has roots in economics, operations research, and statistics. However, DRO often produces over-conservative solutions. This project aims at novel risk management tools that effectively address the challenge of model uncertainty in insurance and finance. We will revisit various topics in insurance and finance and develop new approaches that alleviate the over-conservativeness issue.

(4) Pricing in incomplete markets

Contemporary financial instruments, such as catastrophe bonds and insurance-linked securities, typically involve both tradable and non-tradable components, making the market far from complete. Moreover, issues like friction and illiquidity challenge the fundamental arbitrage-free assumption, thereby undermining the applicability of arbitrage pricing theory to such a market. This project aims to develop robust pricing frameworks from the perspectives of utility theory, robust optimization, and quantitative risk management.

(5) Climate change and insurance

The adverse impacts of climate change permeate through physical, social, and financial channels, resulting in systemic consequences for nature, society, and the economy. In particular, this rapidly changing and highly uncertain external environment is fundamentally reshaping the financial landscape of the insurance industry. The project first focuses on quantifying the impacts of climate change on insurance and then proposes insurance approaches for climate change mitigation and adaptation.

Conferences from the Recent Past to the Near Future

  • The 59th Actuarial Research Conference, Middle Tennessee State University, USA, July 18-20, 2024
  • The 27th International Congress on Insurance: Mathematics and Economics, University of Illinois Urbana-Champaign and DePaul University, Chicago, USA, July 8-11, 2024
  • The 2023 Midwest Actuarial Research Seminars (MARS), Purdue University, United States, November 11, 2023
  • The 2023 INFORMS Annual Meeting, Phoenix, USA, October 15-18, 2023
  • The 58th Actuarial Research Conference, Drake University, USA, July 31 - August 2, 2023
  • The 26th International Congress on Insurance: Mathematics and Economics, Heriot-Watt University, UK, July 5-7, 2023
  • Workshop on Climate Risk Management and Analytics, Imperial College London, UK, July 3, 2023
  • Inaugural CUFE--MQ Online Actuarial Workshop, Central University of Finance and Economics and Macquarie University, November 11, 2022
  • Extreme Value Theory and Quantitative Risk Management Workshop, Fudan University, China, August 19-21 2022
  • The 57 Actuarial Research Conference, University of Illinois at Urbana-Champaign, USA, August 4-6, 2022
  • The 25th International Congress on Insurance: Mathematics and Economics, Sun Yat-Sen University, China, July 13-15, 2022
  • The 11th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Greece, May 25-29, 2022

My Research Supervision

Yes, I am looking for research students (PhD, Masters, and Honours) to join my research team and work on various ambitious academic and industry projects! You are welcome to contact me by email and please enclose your CV, transcripts, and anything else that is helpful for me to get to know you better. Ideal candidates are expected to have a strong math background and good computer skills, and be enthusiastic about scientific research and willing to work hard. Please refer to Section "Research Activities" for more information about the research topics that I am currently interested in. RA positions are available.

Current PhD students
Recent Honours students
  • Rakesh Beniwal, Honours thesis titled "Introducing Insurance Protection to Firms in Distressed Times," co-supervisor, with primary supervisor Jinxia Zhu, School of Risk and Actuarial Studies, UNSW Sydney, 2023
  • William (Will) Chaffers-Welsh, Honours thesis titled "An Insurance Approach to Systemic Risk," primary supervisor, with co-supervisor Zhiwei (Josh) Tong, School of Risk and Actuarial Studies, UNSW Sydney, 2022
  • Felix Zhu, Honours thesis titled "Introducing Data-Rich Environments and Neural Networks to Actuarial Economic Forecasting," completed in December 2021, co-supervisor, with primary supervisor Fei Huang, School of Risk and Actuarial Studies, UNSW Sydney
  • Zhen Dong (Morris) Chen, Honours thesis titled "Liquidation Risk in Insurance under an Exogenous Shock," completed in December 2020, primary supervisor, with co-supervisors Libo Li and Haibo Liu, School of Risk and Actuarial Studies, UNSW Sydney [Awarded the University Medal in January 2021]
  • Yuhao (Howard) Liu, Honours thesis titled "Pricing CAT Bonds under Shocks," completed in December 2020, primary supervisor, with co-supervisors Jinxia Zhu and Haibo Liu, School of Risk and Actuarial Studies, UNSW Sydney
Former PhD students

I have successfully completed the supervision of over 10 doctoral students, who are now working in either academia or industry around the world. Here is a selected list:

  • Yunshen (Alex) Yang, PhD thesis titled "Risk Management in Insurance and Finance in Response to Model Uncertainty," completed in January 2024, primary supervisor, with co-supervisors Bernard Wong, Benjamin Avanzi, and Elise Payzan-LeNestour, School of Risk and Actuarial Studies, UNSW Sydney [Now: Early Career Academic Fellow, School of Banking & Finance, UNSW Sydney, Australia]
  • Zhiwei (Josh) Tong, PhD thesis entitled "Portfolio Risk Analysis: Aggregation and Allocation," completed in July 2021, primary supervisor, with co-supervisor Bernard Wong, School of Risk and Actuarial Studies, UNSW Sydney [Now: Assistant Professor (tenure-track) of Actuarial Science, University of Iowa, United States]
  • Fabio Gómez, PhD thesis entitled "Quantitative Risk Management under the Interplay of Insurance and Financial Risks," completed in February 2020, primary supervisor, with co-supervisor Jaime Alberto Londoño, Department of Mathematics, National University of Colombia in Bogotá [Now: Assistant Professor (tenure-track), Universidad del Rosario, Colombia]
  • Haibo Liu, PhD thesis entitled "Pricing, Bankruptcy, and Liquidation under Insurance and Financial Risks in a Markovian Framework," completed in July 2019, primary supervisor, with co-supervisor Ambrose Lo, Department of Statistics & Actuarial Science, University of Iowa [Now: Assistant Professor (tenure-track) of Actuarial Science, Purdue University, United States]
  • Zhaofeng Tang, PhD thesis entitled "Quantitative Risk Management under Systematic and Systemic Risks," completed in July 2019, primary supervisor, with co-supervisor Ambrose Lo, Department of Statistics & Actuarial Science, University of Iowa [Now: Senior Analyst, Standard & Poor's Global Ratings, Chicago, United States]
  • Fan Yang, PhD thesis entitled "Asymptotics for Risk Measures of Extreme Risks," completed in July 2013, sole supervisor, Applied Mathematical and Computational Sciences Program, University of Iowa [Now: Assistant Professor (tenure-track) of Actuarial Science, University of Waterloo, Canada]
  • Zhongyi Yuan, PhD thesis entitled "Quantitative Analysis of Extreme Risks in Insurance and Finance," completed in May 2013, sole supervisor, Department of Statistics & Actuarial Science, University of Iowa [Now: Associate Professor of Risk Management, Pennsylvania State University, United States]
  • Bin Li, PhD thesis entitled "Look-back Stopping Times and Their Applications to Liquidation Risk and Exotic Options," completed in May 2013, primary supervisor, with co-supervisor Lihe Wang, Applied Mathematical and Computational Sciences Program, University of Iowa [Now: Associate Professor of Actuarial Science, University of Waterloo, Canada]
  • Xuemiao Hao, PhD thesis entitled "Asymptotic Tail Probabilities of Risk Processes in Insurance and Finance," completed in July 2009, sole supervisor, Department of Statistics & Actuarial Science, University of Iowa [Now: Associate Professor of Actuarial Science, University of Manitoba, Canada]
  • Bangwon Ko, PhD thesis entitled "On Sums of Dependent Heavy-tailed Random Variables and Valuation of Equity-linked Insurance Products," completed in May 2008, co-supervisor, with primary supervisor Elias Shiu, Department of Statistics & Actuarial Science, University of Iowa [Now: Professor of Actuarial Science, Soongsil University, South Korea]

My Teaching

During my appointment at the University of Iowa (2006-2019), I had taught essentially all courses in actuarial science and at all levels. Since I joined UNSW in July 2017, I have been teaching the following courses:

  • 2023, Term 2: Advanced Research Topics in Actuarial Studies: EVT for Insurance and Finance in a Changing Environment (ACTL6105)
  • 2023, Term 2: Quantitative Risk Management (ACT5301)
  • 2022, Term 2: Quantitative Risk Management (ACTL3301&5301)
  • 2021, Term 3: General Insurance Techniques/Insurance Risk Models (ACTL3162/5106), jointly with Eric Cheung
  • 2021, Term 3: Advanced Research Topics in Actuarial Studies: EVT Approaches to Insurance in a Changing Environment (ACTL6105)
  • 2020, Term 3: General Insurance Techniques/Insurance Risk Models (ACTL3162/ACTL5106), jointly with Jinxia Zhu
  • 2020, Term 2: Models for Risk Management (ACTL4301/5301)
  • 2019, Term 2: Models for Risk Management (ACTL4301/5301)
  • 2018, Semester 1: Models for Risk Management (ACTL4301/5301), jointly with Jae Kyung Woo