# 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 thefinite-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.