APR Seminar: Qihe Tang (University of Iowa)

April 27, 2017 | 1:10pm - 2:10pm

APR Seminar: Qihe Tang (University of Iowa)

Mudd Hall 303
 
Title: Catastrophe Risks in Insurance and Finance 

Abstract: The prevalence of Black–Swan events accompanied by disastrous economic and social consequences has made today’s world far different from just decades ago. It intensifies the urgent need for a robust approach to modeling, measuring, and managing catastrophe risks in the insurance and financial industry. In this talk, after a brief introduction of extreme value theory as a tool for modeling catastrophe risks, I shall present its applications to (1) pricing catastrophe bonds and (2) estimating credit portfolio losses.
 
Of the two applications above, the first is based on a technical report joint with Jose Blanchet, Henry Lam, and Zhongyi Yuan (available at https://www.soa.org/ research-reports/2017/mitigating-risks-through-securitization/), while the second is based on a recent paper joint with Xiaojun Shi and Zhongyi Yuan (available at http://www.sciencedirect.com/science/article/pii/S0167668716304528). 
 
Bio: Qihe Tang is Professor of Actuarial Science at the University of Iowa. After earning his Ph.D. in statistics from the University of Science and Technology of China in 2001, he has worked at different places in 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-present). He was conferred the F. Wendell Miller endowed professorship at the University of Iowa in July 2014 in honor of his scholarly work and professional contributions. 
 
Qihe Tang’s expertise centers on extreme value theory for insurance, finance, and quantitative risk management. He has been working on various topics recently arising from the interdisciplinary area of insurance, finance, probability, and statistics such as (1) limit theorems for large portfolio losses, (2) interplay of insurance and financial risks, and (3) modeling, measuring, and managing catastrophe risks in insurance and finance. 
 
Currently, he is an associate editor for several academic journals including Insurance: Mathematics and Economics, TEST, Applied Stochastic Models in Business and Industry, and Statistics & Probability Letters. He has graduated a number of doctoral students who are now university professors all over the world. 


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