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, 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:
- 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 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.
Phone
61-2-9065-8256
E-mail
- Publications
- Grants
- Awards
- Research Activities
- Engagement
- Teaching and Supervision
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
- 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
- 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)
2014-2019: F. Wendell Miller Endowed Chair, University of Iowa
2014-2015: Career Development Award, University of Iowa
Research Agenda
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
- The 11th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Greece, May 20--25, 2024
- 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
- 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
- 07/2022--: Co-Director, Innovations in Risk, Insurance and Superannuation (IRIS) Knowledge Hub, UNSW Business School, UNSW Sydney
- 02/2022--: Team Leader of Systemic Risk in Insurance, Institute of Global Finance, UNSW Business School, UNSW Sydney
- 07/2017--: Editor of Insurance: Mathematics and Economics [A* in the ABDC List, Q1 in SJR (Economics and Econometrics)]
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
- Eugenia Fang, 2022-, primary supervisor, with co-supervisors Bernard Wong and Andy Pitman [under ARC DP200101859]
- Morris Chen, 2022-, primary supervisor, with co-supervisors Yang Shen and Peiman Asadi
- Yuhao Liu, 2021-, primary supervisor, with co-supervisors Jinxia Zhu and Haibo Liu
- Yunshen Yang, 2019-, primary supervisor, with co-supervisors Bernard Wong and Benjamin Avanzi [under Scientia PhD Scholarship]
Current Honours students
- William Chaffers-Welsh, 2022, primary supervisor, with co-supervisor Zhiwei Tong
My Teaching
Since I joined UNSW in July 2017, I have been teaching the following courses:
- 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
During my appointment at the University of Iowa (2006-2019), I had taught essentially all courses in actuarial science and at all levels.