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 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:
- 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.
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
- Media
- 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 [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
- 2014-2019: 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 27th International Congress on Insurance: Mathematics and Economics, Chicago, USA, July 9-11, 2024
- 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
- 2023-: Chief Investigator, UNSW Institute for Climate Risk and Response, UNSW Sydney
- 2023-: Researcher, Business Experimental Research Laboratory (BizLab), UNSW Business School
- 2022-: Co-Director, Innovations in Risk, Insurance and Superannuation (IRIS) Knowledge Hub, UNSW Business School
- 2022-: Team Leader of Systemic Risk in Insurance, Institute of Global Finance, UNSW Business School
- 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 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
- Shan (Shawn) Yang, 2023, primary supervisor, with co-supervisors Katja Ignatieva and Han Li, School of Risk and Actuarial Studies, UNSW Sydney [under ARC DP220100090]
- Xinran (Ryan) Dai, 2023-, primary supervisor, with co-supervisors Han Li and Henry Lam, School of Risk and Actuarial Studies, UNSW Sydney [under ARC DP220100090]
- Zhen Dong (Morris) Chen, 2022-, primary supervisor, with co-supervisors Yang Shen and Peiman Asadi
- Yuxin (Eugenia) Fang, 2022-, primary supervisor, with co-supervisors Bernard Wong and Andy Pitman [under ARC DP200101859]
- Yuhao (Howard) Liu, 2021-, primary supervisor, with co-supervisors Jinxia Zhu and Haibo Liu
- Yunshen (Alex) Yang, 2019-, primary supervisor, with co-supervisors Bernard Wong, Benjamin Avanzi, and Elise Payzan-LeNestour [under Scientia PhD Scholarship]
Current and recent Honours students
- Rakesh Beniwal, 2023, co-supervisor, with primary supervisor Jinxia Zhu
- 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:
- 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