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.


  • 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 Economics64, 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 Economics59, 311-320.
  • Tang, Q., and Yang, F. (2012). On the Haezendonck–Goovaerts risk measure for extreme risks. Insurance: Mathematics and Economics50(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.
University of Waterloo
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