Fan Yang

I am an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. My research interests lie in the areas of quantitative risk management and actuarial science. I have 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.

• 2008–2013, PhD, Applied Mathematical and Computational Sciences, University of Iowa. Supervisor: Professor Qihe Tang

• 2008–2010, MS, Mathematics, University of Iowa

• 2004–2008, BS, Computational Mathematics, Xi’an Jiaotong University

• 2004–2008, BS (minor), International Economics and Trade, Xi’an Jiaotong University

• ACTSC 221 - Introductory Financial Mathematics (Non-Specialist Level)
  • Taught in 2021
• ACTSC 231 - Introductory Financial Mathematics
  • Taught in 2024, 2025
• ACTSC 445 - Quantitative Enterprise Risk Management
  • Taught in 2021, 2023, 2025
• ACTSC 489 - Advanced Topics in Actuarial Science
  • Taught in 2026
• ACTSC 611 - Financial Mathematics I
  • Taught in 2022
• ACTSC 625 - Casualty and Health Insurance Mathematics
  • Taught in 2021, 2023, 2026
• ACTSC 634 - Quantitative Risk Management
  • Taught in 2023
• ACTSC 845 - Quantitative Enterprise Risk Management
  • Taught in 2021, 2023, 2025
• ACTSC 965 - Extreme Value Theory
  • Taught in 2021, 2023
• ACTSC 991 - Topics in Actuarial Science
  • Taught in 2025, 2026

* Only courses taught in the past 5 years are displayed.

• Cui, H.; Tan, K. S.; Yang, F. (2024) Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation. Annals of Operations Research, 332: 55–84.

• Chen, H.; Mao, T.; Yang, F. (2024) Estimation of the adjusted standard-deviatile for extreme risks. Scandinavian Journal of Statistics, 51(2): 643-671.

• Yang, F.; Zhang, Y. (2023) Asymptotics of sum of heavy-tailed risks with copulas. Methodology and Computing in Applied Probability, 25(4): 88.

• Mao, T.; Stupfler, G.; Yang, F. (2023) Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks. Insurance: Mathematics and Economics, 111, 173–192.

• Barigou, K.; Linders, D.; Yang, F. (2023) Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. Scandinavian Actuarial Journal, 2, 191–217.

• Cui, H.; Tan, K. S.; Yang, F.; Zhou, C. (2022) Asymptotic analysis of portfolio diversification. Insurance: Mathematics and Economics. 106, 302–325.

• Mehta, N.; Yang, F. (2022) Portfolio optimization for extreme risks with maximum diversification. Risks,10(5):101.

• Cui, H.; Tan, K.S.; Yang, F. (2021) Diversification in catastrophe insurance markets. ASTIN Bulletin: The Journal of the IAA, 51(3), 753–778.

• Ji, L.; Tan, K.S.; Yang, F. (2021) Tail dependence and heavy tailedness in extreme risks. Insurance: Mathematics and Economics, 99, 282–293.

• Zhao, Y.; Mao, T.; Yang, F. (2021) Estimation of the Haezendonck–Goovaerts risk measure for extreme risks. Scandinavian Actuarial Journal, 7, 599–622.

• Einmahl, J. H. J.; Yang, F.; Zhou, C. (2021) Testing the multivariate regular variation model. Journal of Business & Economic Statistics, 39(4), 907–919.

• 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.