PhD in statistics, 2001, from the University of Science and Technology of China
Qihe Tang, Professor of Actuarial Science at UNSW Sydney under the SHARP (Strategic Hires and Retention Pathways) scheme.
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 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:
He has published over 100 papers resulting in an H index of 42 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.
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.
This is a selected list of my recent external grants:
2018-: Elected Member of the International Statistical Institute (ISI)
2014-2019: F. Wendell Miller Endowed Chair, University of Iowa
2014-2015: Career Development Award, University of Iowa
We live in a rapidly changing, wicked world full of shock risk and complexity, which drive the degree of unpredictability. Climate change introduces many more complexity layers, and so does the ongoing COVID-19 pandemic. The insurance industry is significantly affected by this changing environment, but insurance can also play a proactive role in providing sustainable solutions. The UN Environment Programme Finance Initiative has launched Principles for Sustainable Insurance. Actuaries are in an ideal position, in collaboration with insurance partners, to develop actuarial solutions to newly emerging threats in this changing 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, 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) 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 project 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. The project aims to develop DRO techniques under partial uncertainty. The study has roots in economics, operations research, and statistics.
(5) Climate change and insurance
Adverse impacts of climate change propagate through physical, social, and financial channels, causing systemic consequences to nature, society, and economy. In particular, this rapidly changing and highly uncertain external environment is fundamentally altering the financial landscape of the insurance industry. The project first considers quantifying the impacts of climate change on insurance and then proposes an insurance approach to mitigating climate risk.
Conferences from the Recent Past to the Near Future
My Research Supervision
Yes, I am looking for research students (PhD, Masters, and Honours) to join my research team to work on various ambitious academic and industry projects! For details, please refer to my UNSW research page.
Current PhD students
Current Honours students
Since I joined UNSW in July 2017, I have been teaching the following courses:
During my appointment at the University of Iowa (2006-2019), I had taught essentially all courses in actuarial science and at all levels.