Qihe
Tang
F. Wendell Miller Professor
Employment
- July 2014 --
Present: F. Wendell Miller Professor, Department of Statistics
and Actuarial Science, University
of Iowa
- July 2012 -- Present: Full Professor with tenure, Department of Statistics
and Actuarial Science, University
of Iowa
- July 2008 -- June
2012: Associate Professor with tenure, Department of Statistics
and Actuarial Science, University
of Iowa
- July 2008 --
Present: Faculty Member, interdisciplinary Ph.D. program in Applied Mathematical and Computational Sciences (AMCS), University of Iowa
- January 2006 --
June 2008: Assistant Professor, Department of Statistics
and Actuarial Science, University
of Iowa
- July 2004 --
December 2005: Assistant Professor, Department of
Mathematics and Statistics, Concordia University
- May 2002 -- June
2004: Postdoctoral Fellow, Department of
Quantitative Economics, University of Amsterdam
Education
Research
Interests
- Extreme value theory for insurance and finance
- Quantitative risk management
- Asymptotic analysis
- Multivariate heavy-tailed distributions
Selected External Grants
- 2018--2021:
Centers of Actuarial Excellence (CAE) Research Grant, the Society of
Actuaries (SOA), PI (with PIs Kung-Sik Chan, Ambrose Lo, and Elias Shiu
of the University of Iowa, and PI Yiqing Chen of Drake University), USD 228,000
- 2014--2017:
The National Science Foundation (NSF), PI for
the subcontract of the University of Iowa (with PI Jose Blanchet of
Columbia University and PI Henry Lam of the University of Michigan),
$349,874
- 2014--2015:
The Society of Actuaries (SOA), PI (with PI Jose Blanchet of Columbia University,
PI Henry Lam of the University of Michigan, and PI Zhongyi Yuan of the
Pennsylvania State University), $80,403
- 2013--2016: Centers of Actuarial Excellence (CAE) Research Grant, the Society of Actuaries (SOA), PI for the component "Quantitative Risk Management with Extreme Risks"
(with PI Elias Shiu for "Valuation of Equity-Linked Death Benefits," PI
N.D. Shyamalkumar for "Statistical Estimation of Risk Measures," and PI
Ambrose Lo for "Optimal Reinsurance with Multiple Risks and
Optimization Constraints"), $244,104.02
Selected Services to the Profession
Editorial Service for Academic Journals
Grant Review Panelist
- 2014--2017: Member of the Mathematics and Statistics Evaluation Group (EG
1508), Natural Sciences and Engineering Research Council of Canada
(NSERC)
- 2014--2015: Research Committee of The Actuarial Foundation (TAF)
Chairman of the Scientific Committee, Conference in Actuarial Science and Finance on Samos, 2014 and 2016
Reviewer
for American
Mathematical Society Mathematical Reviews,
2004--Present (see
a
list of papers/books I have publicly reviewed)
Ph.D.
Students
- Zhaofeng Tang, Ph.D. candidate, co-supervised with Ambrose Lo, Department
of Statistics and Actuarial Science, University of Iowa
- Haibo Liu, Ph.D. candidate, co-supervised with Ambrose Lo, Department
of Statistics and Actuarial Science, University of Iowa
- Bin Li,
Ph.D. thesis entitled "Look-back Stopping Times and Their Applications to Liquidation Risk and Exotic Options," co-supervised with Lihe Wang,
Applied
Mathematical and Computational Sciences Program, University of Iowa, May 2013 [now tenure-track assistant professor in the Department of Statistics and Actuarial Science at the University of Waterloo]
- Fan Yang, Ph.D. thesis entitled "Asymptotics for Risk Measures of Extreme Risks,"
Applied
Mathematical and Computational Sciences Program, University of Iowa,
July 2013
- Zhongyi Yuan, Ph.D. thesis entitled "Quantitative Analysis of Extreme Risks in Insurance and Finance," Department of Statistics
and Actuarial Science, University
of Iowa, May 2013
- Xuemiao Hao, Ph.D. thesis entitled "Asymptotic Tail Probabilities of Risk Processes in Insurance and Finance," Department of Statistics
and Actuarial Science, University
of Iowa, July 2009
- Bangwon Ko, Ph.D. thesis entitled "On Sums of Dependent Heavy-tailed Random Variables and Valuation of Equity-linked Insurance Products," co-supervised with Elias S. W. Shiu, Department of Statistics
and Actuarial Science, University
of Iowa, May 2008
Selected
Courses
If you are my current student, login to the course website at ICON to
download my teaching
material.
Selected
Publications
For a full list of publications of mine, either see PDF file or
search Items
Authored by Tang, Qihe at MathSciNet
or search Qihe
Tang - Google Scholar Citations in Google
Scholar.
- Blanchet, J.; Lam, H.; Tang, Q.; Yuan, Z. Mitigating extreme risks through securitization. Technical Report, the Society of Actuaries (SOA), 2017.
- Blanchet, J.; Lam, H.; Tang, Q.; Yuan, Z. Applied robust performance analysis for actuarial applications. Technical Report, the Society of Actuaries (SOA), 2017.
- Shi, X.; Tang, Q.; Yuan, Z. A limit distribution of credit portfolio losses with low default probabilities. Insurance: Mathematics and Economics 73 (2017), 156--167. [PDF file]
- Tang, Q.; Yuan, Z. Random difference equations with subexponential innovations. Science China Mathematics 59 (2016), no. 12, 2411--2426. (Invited for a special issue in memory of Professor Xiru Chen) [PDF file]
- He, J.; Tang, Q.; Zhang, H. Risk reducers in convex order. Insurance: Mathematics and Economics 70 (2016), 80--88. [PDF file]
- Tang, Q.; Yuan, Z. Interplay of insurance and financial risks with bivariate regular variation. Contribution to Extreme Value Modeling and Risk Analysis: Methods and Applications (edited by Dipak K. Dey and Jun Yan), 419--438, Chapman and Hall/CRC, 2015. [PDF file]
- Li, J.; Tang, Q. Interplay of insurance and financial risks in a discrete-time model with strongly regular variation. Bernoulli 21 (2015), no. 3, 1800--1823. [PDF file]
- Tang, Q.; Yang, F. Extreme value analysis of the Haezendonck--Goovaerts risk measure with a general Young function. Insurance: Mathematics and Economics 59 (2014), 311--320. [PDF file]
- Li, B.; Tang, Q.; Wang, L.; Zhou, X. Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code. Journal of Financial Engineering 1 (2014), no. 3, 1450023 (19 pages). [PDF file]
- Tang, Q.; Yuan, Z. Randomly weighted sums of subexponential random variables with application to capital allocation. Extremes 17 (2014), no. 3, 467--493. [PDF file]
- Cheung, K. C.; Dhaene, J.; Lo, A.; Tang, Q. Reducing risk by merging counter-monotonic risks. Insurance: Mathematics and Economics 54 (2014), no. 1, 58--65. [PDF file]
- Tang, Q.; Yuan, Z. Asymptotic analysis of the loss given default in the presence of multivariate regular variation. North American Actuarial Journal 17 (2013), no. 3, 253--271. [PDF file]
- Li, B.; Tang,
Q.; Zhou, X. A time-homogeneous diffusion model with tax. Journal of Applied Probability 50
(2013), no. 1, 195--207. [PDF file]
- Hao, X.; Tang,
Q. Asymptotic ruin probabilities for a bivariate Lévy-driven risk
model with heavy-tailed claims and risky investments. Journal of Applied Probability 49
(2012), no. 4, 939--953. [PDF file]
- Dhaene, J.; Kukush, A.; Linders, D.; Tang, Q. Remarks on quantiles and distortion risk measures. European Actuarial Journal 2 (2012), no. 2, 319--328. [PDF file]
- Tang, Q.;
Yuan, Z. A hybrid estimate for the finite-time ruin probability in a
bivariate autoregressive risk model with application to portfolio
optimization. North American Actuarial Journal
16 (2012), no. 3, 378--397.
[PDF file]
- Tang, Q.;
Yang, F. On the Haezendonck--Goovaerts
risk measure for extreme risks. Insurance: Mathematics and Economics
50 (2012), no. 1, 217--227.
[PDF file]
- Asimit, A. V.;
Furman, E.; Tang, Q.; Vernic, R. Asymptotics for
risk capital allocations based on conditional tail
expectation. Insurance: Mathematics and Economics
49 (2011), no. 3, 310--324.
[PDF file]
- Li, J.; Tang,
Q.; Wu, R. Subexponential tails of discounted aggregate
claims in a time-dependent renewal risk model. Advances in Applied Probability
42 (2010), no. 4, 1126--1146.
[PDF file]
- Liu, Y.; Tang,
Q. The subexponential product convolution of two Weibull-type
distributions. Journal of the Australian Mathematical Society 89 (2010), no.
2, 277--288.
[PDF file]
- Hashorva, E.;
Pakes, A. G.; Tang, Q. Asymptotics of
random contractions. Insurance: Mathematics and Economics
47 (2010), no. 3, 405--414.
[PDF file]
- Konstantinides, D.
G.; Ng, K. W.; Tang, Q. The probabilities of
absolute ruin in the renewal risk model with constant force of
interest. Journal of Applied Probability
47 (2010), no. 2, 323--334.
[PDF file]
- Tang, Q.;
Wang, G.; Yuen, K. C. Uniform tail asymptotics for the stochastic
present value of aggregate claims in the renewal risk model. Insurance: Mathematics and Economics
46 (2010), no. 2, 362--370.
[PDF file]
- Geluk, J.; Tang,
Q. Asymptotic tail probabilities of sums of dependent
subexponential random variables. Journal of Theoretical Probability
22 (2009), no. 4, 871--882.
[PDF file]
- Hao, X.; Tang,
Q. Asymptotic ruin probabilities of the Lévy insurance
model under periodic taxation. ASTIN Bulletin
39 (2009), no. 2, 479--494.
[PDF file]
- Jiang, J.; Tang,
Q. Reinsurance under the LCR and ECOMOR treaties with
emphasis on light-tailed claims. Insurance: Mathematics and Economics
43 (2008), no. 3, 431--436.
[PDF file]
- Tang, Q.
From light tails to heavy tails through multiplier. Extremes
11 (2008), no. 4, 379--391.
[PDF file]
- Ko, B.; Tang, Q.
Sums of dependent nonnegative random variables with subexponential
tails. Journal of Applied Probability
45 (2008), no. 1, 85--94.
[PDF file]
- Tang, Q.
On convolution equivalence with applications. Bernoulli
12 (2006), no. 3, 535--549.
[PDF file]
- Chen, Y.; Ng, K.
W.; Tang, Q. Weighted sums of subexponential random
variables and their maxima. Advances in Applied Probability 37 (2005), no. 2, 510--522.
[PDF file]
- Tang, Q.;
Tsitsiashvili, G. Finite- and infinite-time ruin probabilities in the
presence of stochastic returns on investments. Advances in Applied Probability 36 (2004), no. 4, 1278--1299.
[PDF file]
- Ng, K. W.; Tang,
Q.; Yan, J.; Yang, H. Precise large deviations for sums of
random variables with consistently varying tails. Journal of Applied Probability 41
(2004), no. 1, 93--107.
[PDF file]
- Tang, Q.;
Tsitsiashvili, G. Precise estimates for the ruin probability in finite
horizon in a discrete-time model with heavy-tailed insurance and
financial risks. Stochastic Processes and Their Applications 108 (2003), no. 2,
299--325.
[PDF file]
Conferences and Talks from the Recent Past to the Near Future
- The
23nd International Congress on Insurance: Mathematics and Economics
(IME), Technical University of Munich, Munich, Germany, July 10--12,
2019
- The 3rd International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia, June 19--22, 2019
- The 11th International Conference on Extreme Value Analysis, Zagreb, Croatia, July 1--5, 2019
- The
22nd International Congress on Insurance: Mathematics and Economics
(IME), UNSW Sydney, Sydney, Australia, July 16--18, 2018
- The 7th International Gerber--Shiu Workshop, University of Melbourne, Melbourne, Australia, July 10--11, 2018
- International Workshop on Risks in Insurance and Finance, Northwest Normal University, Lanzhou, China, June 7--9, 2018
- The
4th International Workshop on Statistical Modeling of Heavy-Tail
Phenomena with Applications, Xi'an Jiaotong-Liverpool University,
Suzhou, China, June 1--4, 2018
- The 10th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Samos, Greece, May 30 -- June 3, 2018
- The 52nd Actuarial Research Conference (ARC), Georgia State University, Atlanta, USA, July 26--29, 2017
- The
2nd Tianfu Workshop on Financial Mathematics, Southwestern University
of Finance and Economics, Chengdu, China, July 14--16, 2017
- The
21st International Congress on Insurance: Mathematics and Economics
(IME), Vienna University of Technology, Vienna, Austria, July 3--5, 2017
- The
10th International Conference on Extreme Value Analysis (EVA), Delft
University of Technology, Delft, The Netherlands, June 26--30, 2017