Congratulations to Actuarial Science PhD candidate Liyuan Lin, who has received one of two Graduate Research Excellence awards from the Faculty of Mathematics in recognition of her recent co-authored paper, “Diversification quotients: Quantifying diversification via risk measures.” Lin is the first Actuarial Science student to receive the honour in three years.
“I am so happy that the problem we studied has received this attention,” Lin says. “This is huge for me going forward in my academic journey. I also hope that more young researchers will join the field in the future, as there are still a lot of open questions in quantitative risk management.”
Lin’s research contributes to the creation of a score system, called the “diversification index,” used to rate the diversification of a financial portfolio. The paper describes an index, the “diversification quotient,” which reflects important factors of these financial portfolios efficiently and consistently. The article, which is under revision for the journal Management Science, is one of nine papers in the field of quantitative risk management that Lin as completed since beginning her PhD in actuarial science in 2020.
Dr. Ruodu Wang, professor in the Department of Statistics and Actuarial Science and one of Lin’s supervisors, calls Lin’s work “remarkable,” noting that her research contributions far exceed expectations for PhD students. Among many other awards, Lin was named a Hickman Scholar in 2022 by the Society of Actuaries, a distinction given to 3-5 of all PhD students across North America each year.
“I would most like to thank my supervisors Professor Ruodu Wang and Professor Alexander Schied,” Lin says. “They guided me in the research world, and have helped and supported me tremendously. I would also like to thank the other co-author of this work, Professor Xia Han, for her crucial contribution to this work.”
Lin is one of two recipients of the Graduate Research Excellence award this term; the other is computer science PhD student Janani Sundaresan.