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Publications

  • Yang, F.; Zhang, Y. (2023+) Asymptotics of sum of heavy-tailed risks with copulas. Methodology and Computing in Applied Probability, accepted.
  • Chen, H.; Mao, T.; Yang, F. (2023+) Estimation of the adjusted standard-deviatile for extreme risks. Scandinavian Journal of Statistics, accepted.
  • Mao, T.; Stupfler, G.; Yang, F.  (2023) Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks.  Insurance: Mathematics and Economics, 111, 173–192.
  • Barigou, K.; Linders, D.; Yang, F. (2023) Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. Scandinavian Actuarial Journal, 2, 191–217.
  • Cui, H.; Tan, K. S.; Yang, F. (2022+) Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Annals of Operations Research, accepted.
  • Cui, H.; Tan, K. S.; Yang, F.; Zhou, C. (2022) Asymptotic analysis of portfolio diversification. Insurance: Mathematics and Economics. 106, 302–325.
  • Mehta, N.; Yang, F. (2022) Portfolio optimization for extreme risks with maximum diversification. Risks,10(5):101.
  • Cui, H.; Tan, K.S.; Yang, F. (2021) Diversification in catastrophe insurance markets. ASTIN Bulletin: The Journal of the IAA, 51(3), 753–778.
  • Ji, L.; Tan, K.S.; Yang, F. (2021) Tail dependence and heavy tailedness in extreme risks. Insurance: Mathematics and Economics, 99, 282–293.
  • Zhao, Y.; Mao, T.; Yang, F. (2021) Estimation of the Haezendonck–Goovaerts risk measure for extreme risks. Scandinavian Actuarial Journal, 7, 599–622.
  • Einmahl, J. H. J.; Yang, F.; Zhou, C. (2021) Testing the multivariate regular variation model. Journal of Business & Economic Statistics, 39(4), 907–919.
  • Mao, T.; Yang, F. (2019). Characterizations of risk aversion in cumulative prospect theory. Mathematics and Financial Economics, 13(2), 303-328.
  • Stupfler, G.; Yang, F. (2018). Analyzing and predicting CAT bond premiums: a financial loss premium principle and extreme value modeling. ASTIN Bulletin: The Journal of the IAA, 48(1), 375-411.
  • Linders, D.; Yang, F. (2017). Aggregating risks with partial dependence information. North American Actuarial Journal, 21(4), 565-579.
  • Mao, T.; Yang, F. (2015). Risk concentration based on Expectiles for extreme risks under FGM copula. Insurance: Mathematics and Economics, 64, 429-439.
  • Yang, F. (2015) First- and second-order asymptotics for the tail distortion risk measure of extreme risks. Communications in Statistics - Theory and Methods, 44(3), 520-532.
  • Tang, Q.; Yang, F. (2014) Extreme value analysis of the Haezendonck–Goovaerts risk measure with a general Young function. Insurance: Mathematics and Economics, 59, 311-320.
  • Tang, Q.; Yang, F. (2012) On the Haezendonck–Goovaerts risk measure for extreme risks. Insurance: Mathematics and Economics, 50(1), 217-227.
  • Nam, H. S.; Tang, Q.; Yang, F. (2011) Characterization of upper comonotonicity via tail convex order. Insurance: Mathematics and Economics, 48(3), 368-373.