Zhongyi Yuan

Assistant Professor of Risk Management
Department: Risk Management
Office: 362 Business Building
Phone: 814-865-6211
Fax: 814-865-6284
E-mail: zuy11@psu.edu
Member of Faculty Since: 2013


Introduction

Dr. Zhongyi Yuan is Assistant Professor of Risk Managment at Smeal College of Business at The Pennsylvania State University. He is an Associate of the Society of Actuaries (ASA).

Dr. Yuan's research focuses on catastrophe risk analysis, extreme dependence, and insurance-linked securities. His research has appeared in leading actuarial journals such as European Actuarial Journal, Insurance: Mathematics and Economics, and North American Actuarial Journal.

Prior to joining Smeal, Dr. Yuan earned his Ph.D. in Statistics (subtrack: Actuarial Science/Financial Mathematics) from The University of Iowa, M.S. in Statistics from Chinese Academy of Sciences, and B.S. in Computer Science from Beijing Normal University.


Expertise

Insurance-linked securities
Catastrophe risk analysis
Extreme dependence
Heavy tail analysis


Publication List

Yuan, Z., Zhu, D., "Insurers' contingent convertible with a regulation consistent trigger", Working paper,

Ambrose, B., Yuan, Z., "Pricing government credit: a new method for determining government risk exposure", Under review,

Tang, Q.; Yuan, Z., "Pricing CAT bonds under a product probability measure with POT risk characterization", Under review,

Blanchet, J. H., Lam, H., Tang, Q., Yuan, Z., "Robust actuarial risk analysis", Under revision,

Yuan, Z., "An asymptotic characterization of hidden tail credit risk with actuarial applications", European Actuarial Journal, pp.165-192.

Shi, X., Tang, Q., Yuan, Z., "A limit distribution of credit portfolio losses with low default probabilities", Insurance: Mathematics and Economics, pp. 156-167.

Chen, Y., Yuan, Z., "A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks", Insurance: Mathematics and Economics, pp. 75-81.

Tang, Q., Yuan, Z., "Random difference equations with subexponential innovations", Science China Mathematics, pp. 2411-2426.

Wei, L, Yuan, Z., "The loss given default of a low-default portfolio with weak contagion", Insurance: Mathematics and Economics, pp. 113-123.

Tang, Q., Yuan, Z., "Interplay of insurance and financial risks with bivariate regular variation", Contribution to Extreme Value Modeling and Risk Analysis: Methods and Applications, pp. 419-438.

Tang, Q., Yuan, Z., "Randomly weighted sums of subexponential random variables with application in capital allocation", Extremes, pp. 467-493.

Tang, Q., Yuan, Z., "Asymptotic analysis of the loss given default in the presence of multivariate regular variation", North American Actuarial Journal, pp. 253-271.

Tang, Q., Yuan, Z., "A hybrid estimate for the finite-time ruin probability in a bivariate autoregressive risk model with application to portfolio optimization", North American Actuarial Journal, pp. 378-397.

Yu, X., Yuan, Z., Yu, C., Yang, M., "Computer implementation of probability distribution quantile estimation", International Conference on Machine Learning and Cybernetics, pp. 2783-2788.