Zhongyi Yuan

    • 75 Citations
    • 5 h-Index
    20052019
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    Multivariate Regular Variation Mathematics
    Finite-time Ruin Probability Mathematics
    Insurance Mathematics
    Tail Probability Mathematics
    Financial Risk Mathematics
    Ruin Probability Mathematics
    Regular Variation Mathematics
    Tail Dependence Mathematics

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    Research Output 2005 2019

    • 75 Citations
    • 5 h-Index
    • 10 Article
    • 1 Chapter
    • 1 Conference contribution

    CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION

    Tang, Q. & Yuan, Z., May 1 2019, In : ASTIN Bulletin. 49, 2, p. 457-490 34 p.

    Research output: Contribution to journalArticle

    Pricing
    Catastrophe bonds
    Catastrophe risk
    Bond market
    Interest rate risk

    Robust Actuarial Risk Analysis

    Blanchet, J., Lam, H., Tang, Q. & Yuan, Z., Jan 1 2019, In : North American Actuarial Journal.

    Research output: Contribution to journalArticle

    Risk Analysis
    Optimization Problem
    Conditional Value at Risk
    Robust Estimate
    Loss Probability
    5 Citations (Scopus)

    A limit distribution of credit portfolio losses with low default probabilities

    Shi, X., Tang, Q. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 156-167 12 p.

    Research output: Contribution to journalArticle

    Limit Distribution
    Multivariate Regular Variation
    Multivariate Extremes
    Tail Dependence
    Extreme Value Theory
    1 Citation (Scopus)

    An asymptotic characterization of hidden tail credit risk with actuarial applications

    Yuan, Z., Jul 1 2017, In : European Actuarial Journal. 7, 1, p. 165-192 28 p.

    Research output: Contribution to journalArticle

    Credit Risk
    Tail
    Risk Factors
    Asymptotic Independence
    Archimedean Copula
    4 Citations (Scopus)

    A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks

    Chen, Y. & Yuan, Z., Mar 1 2017, In : Insurance: Mathematics and Economics. 73, p. 75-81 7 p.

    Research output: Contribution to journalArticle

    Finite-time Ruin Probability
    Financial Risk
    Ruin Probability
    Insurance
    Multivariate Regular Variation