Contact 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:
- Extreme value theory in insurance and finance;
- Asymptotic analysis of rare events in insurance and finance;
- Risk aggregation and risk measures; and
- 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.
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