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Fan Yang

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

  • Einmahl, J. H. J.; Yang, F.; Zhou, C. Testing the multivariate regular variation model. Journal of Business & Economic Statistics, forthcoming.
  • 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.
Affiliation: 
University of Waterloo
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