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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
- Stupfler, G.; Yang, F. Analyzing and predicting CAT bond premiums: a financial loss premium principle and extreme value modeling. ASTIN Bulletin, forthcoming.
- Linders, D., and Yang, F. Aggregating risks with partial dependence information. North American Actuarial Journal, forthcoming.
- Mao, T., and 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., and 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., and 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., and Yang, F. (2011). Characterization of upper comonotonicity via tail convex order. Insurance: Mathematics and Economics, 48(3), 368-373.
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