Zhongyi Yuan

    • 77 Citations
    • 5 h-Index
    20052019
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    Research Output 2005 2019

    • 77 Citations
    • 5 h-Index
    • 10 Article
    • 1 Chapter
    • 1 Conference contribution
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    Article
    2019

    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
    2017
    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
    2016
    3 Citations (Scopus)

    Random difference equations with subexponential innovations

    Tang, Q. H. & Yuan, Z., Dec 1 2016, In : Science China Mathematics. 59, 12, p. 2411-2426 16 p.

    Research output: Contribution to journalArticle

    Tail Probability
    Difference equation
    Subexponential Distribution
    Dependence Structure
    Conditional probability
    5 Citations (Scopus)

    The loss given default of a low-default portfolio with weak contagion

    Wei, L. & Yuan, Z., Jan 1 2016, In : Insurance: Mathematics and Economics. 66, p. 113-123 11 p.

    Research output: Contribution to journalArticle

    Contagion
    Limiting Distribution
    Risk Factors
    Tail Behavior
    Value at Risk
    2014
    29 Citations (Scopus)

    Randomly weighted sums of subexponential random variables with application to capital allocation

    Tang, Q. & Yuan, Z., Sep 1 2014, In : Extremes. 17, 3, p. 467-493 27 p.

    Research output: Contribution to journalArticle

    Tail Probability
    Weighted Sums
    Random variables
    Random variable
    Tail Behavior
    2013
    13 Citations (Scopus)

    Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation

    Tang, Q. & Yuan, Z., Jul 1 2013, In : North American Actuarial Journal. 17, 3, p. 253-271 19 p.

    Research output: Contribution to journalArticle

    Multivariate Regular Variation
    Asymptotic Analysis
    Archimedean Copula
    Tail Behavior
    Heavy Tails
    2012
    13 Citations (Scopus)
    Finite-time Ruin Probability
    Portfolio Optimization
    Ruin Probability
    Autoregressive Process
    Proportion