PhD in statistics, 2001, from the University of Science and Technology of China
Qihe Tang, Professor under the SHARP 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 (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:
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.
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:
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
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.
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:
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: