Assistant Professor

Fan YangContact Information:
Fan Yang

Research interests

Fan Yang’s research interests lie in the areas of quantitative risk management, actuarial science and mathematical finance.

She has been working on the topics:

  1. Extreme value theory in insurance and finance;
  2. Asymptotic analysis of rare events in insurance and finance;
  3. Risk aggregation and risk measures; and
  4. Heavy-tailed distributions in the presence of dependence.

Education/biography

  • PhD, Applied Mathematical and Computational Sciences, University of Iowa, 2008–2013
  • MS, Mathematics, University of Iowa, 2008–2010
  • BS, Computational Mathematics, Xi’an Jiaotong University, 2004–2008
  • BS (minor), International Economics and Trade, Xi’an Jiaotong University, 2004–2008

Selected publications

  • Tang, Q.; Yang, F. Extreme value analysis of the Haezendonck—Goovaerts risk measure with a general Young function. Insurance: Mathematics and Economics, to appear.
  • Yang, F. First- and second-order asymptotics for the tail distortion risk measure of extreme risks. Communications in Statistics - Theory and Methods, to appear.
  • Tang, Q.; Yang, F. On the Haezendonck—Goovaerts risk measure for extreme risks. Insurance: Mathematics and Economics 50 (2012), no. 1, 217—227.
  • Nam, H. S.; Tang, Q.; Yang, F. Characterization of upper comonotonicity via tail convex order. Insurance: Mathematics and Economics 48 (2011), no. 3, 368—373.
Affiliation: 
University of Waterloo
Contact information: