Researcher

Professor Qihe Tang

Keywords

Field of Research (FoR)

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Biography

I joined the UNSW Business School under the Strategic Hires and Retention Pathways (SHARP) scheme in July 2017.

After earning my PhD in statistics from the University of Science and Technology of China in 2001, I have worked at different places around the world including the University of Hong Kong (2001), the University of Amsterdam (2002-2004), the Concordia University (2004-2005), and the University of Iowa (2006-2019). At the University of...view more

I joined the UNSW Business School under the Strategic Hires and Retention Pathways (SHARP) scheme in July 2017.

After earning my PhD in statistics from the University of Science and Technology of China in 2001, I have worked at different places around the world including the University of Hong Kong (2001), the University of Amsterdam (2002-2004), the Concordia University (2004-2005), and the University of Iowa (2006-2019). At the University of Iowa, I was promoted to Full Professor in 2012 and was conferred the F. Wendell Miller Endowed Professorship in 2014 in honour of my scholarly work and professional contributions.

My expertise centers on extreme value theory for insurance, finance, and quantitative risk management. Recently, I have been working on various topics from the interdisciplinary field of insurance, finance, probability, and operations research. These topics include: (1) modeling, measuring, and managing catastrophe risks, (2) systemic risk and financial networks, (3) pricing in incomplete markets, and (4) portfolio theory under model uncertainty. His research has been constantly supported by external grants.

Currently, I am an Editor of the journal Insurance: Mathematics and Economics, and an Associate Editor of several journals including TEST, Applied Stochastic Models in Business and Industry, Statistics & Probability Letters, and Science China Mathematics.  I am an Elected Member of the International Statistical Institute.


My Grants

  • 2020-2023: Australian Research Council (ARC), Lead Chief Investigator (with Chief Investigators Benjamin Avanzi and Bernard Wong and Partner Investigator Jose Blanchet), AUD 310,000
  • 2019-2020: Individual Grant Competition, Committee on Knowledge Extension Research (CKER), the Society of Actuaries (SOA), Co-Principal Investigator (with Principal Investigator Han Li), USD 10,160
  • 2018-2021: Centers of Actuarial Excellence (CAE) Research Grant, the Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Kung-Sik Chan, Yiqing Chen, Ambrose Lo, and Elias Shiu), USD 228,000
  • 2014-2017: The National Science Foundation (NSF), Principal Investigator for the subcontract of the University of Iowa (with other Principal Investigators Jose Blanchet of Columbia University and Henry Lam of the University of Michigan), USD 349,874
  • 2014-2017: The Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Jose Blanchet of Columbia University, Henry Lam of the University of Michigan, and Zhongyi Yuan of the Pennsylvania State University), USD 80,403
  • 2013-2016: Centers of Actuarial Excellence (CAE) Research Grant, the Society of Actuaries (SOA), Principal Investigator (with other Principal Investigators Elias Shiu , N.D. Shyamalkumar, and Ambrose Lo), USD 244,104.02

My Qualifications

PhD in statistics, 2001, from the University of Science and Technology of China


My Awards

09/2018: Elected Member of the International Statistical Institute (ISI)
07/2014: F. Wendell Miller Professor, University of Iowa
2014--2015: Career Development Award, University of Iowa


My Research Activities

My expertise centers on extreme value theory for insurance, finance, and quantitative risk management. Recently, I have been working on various topics from the interdisciplinary field of insurance, finance, probability, and operations research. These topics include:

(1) Modeling, measuring, and managing catastrophe risks

Recent decades were characterized by an unprecedented surge in the frequency and severity of catastrophes, either natural or man-made, many of which wrought havoc on the environment, economy, and society on a large scale despite their low likelihood of happening. This research endeavors to establish a robust approach to modeling, measuring, and managing a wide variety of catastrophe risks.

(2) Systemic risk and financial networks

According to the Reserve Bank of Australia, systemic risk describes the risk that the inability of one participant to meet its obligations in a system will cause other participants to be unable to meet their obligations, potentially with spillover effects threatening the stability of or confidence in the financial system. The network among the participants may either help reduce the systemic risk thanks to diversification effect or create a channel for propagation of the systemic risk. This research focuses on such an intriguing non-monotonic effect of the network integration.

(3) Pricing in incomplete markets

Contemporary financial instruments such as catastrophe bonds and insurance-linked securities often contain both tradable and non-tradable components. Issues such as friction and illiquidity violate the basic arbitrage-free assumption and revoke the validity of using arbitrage pricing theory for such a market. This research aims to develop economically sound pricing frameworks from the perspectives of utility theory, robust optimization, and quantitative risk management.

(4) Portfolio theory under model uncertainty

Decision makers resort to models and calibration procedures that capture stylized features based on experience or expert knowledge but often bear the risk of deviating too much from reality. To tackle such a model uncertainty issue, currently prevailing distributionally robust optimization (DRO) techniques often produce over-conservative solutions. This research aims to quantify the impact of model uncertainty and develop DRO techniques under partial uncertainty. The study has roots in economics, operations research, and statistics.


My Research Supervision


Supervision keywords


Areas of supervision

Recently, I have been working on various topics from the interdisciplinary field of insurance, finance, probability, and operations research. These topics include: (1) modeling, measuring, and managing catastrophe risks, (2) systemic risk and financial networks, (3) pricing in incomplete markets, and (4) portfolio theory under model uncertainty. I usually integrate my research on such topics with my supervision of HDRs. We often carry out research at a somewhat technical level.

Any students interested in one of these topics or any topic from the interdisciplinary field of insurance, finance, probability, and operations research are welcome to contact me. Ideal candidates are expected to be enthusiastic about scientific research, have a strong math background and good computer skills. Research assistant positions are available.


Currently supervising

Current PhD students

  • Yaru Liang, co-supervised with Katja Ignatieva and Han Li [under Scientia PhD Scholarship]
  • Yunshen Yang, co-supervised with Bernard Wong and Benjamin Avanzi [under Scientia PhD Scholarship]
  • Zhiwei Tong, co-supervised with Bernard Wong

Current Honours students

  • Yuhao Liu, 2020, co-supervised with Jinxia Zhu and Haibo Liu
  • Zhendong Chen, 2020, co-supervised with Libo Li and Haibo Liu

My Teaching

Since I joined UNSW in July 2017, I have been teaching the following courses:

  • Models for Risk Management (ACTL4301/5301)
  • General Insurance Techniques/Insurance Risk Models (ACTL3162/ACTL5106)

During my appointment at the university of Iowa (2006-2019), I had taught essentially all courses in actuarial science and at all levels.

 

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Location

Contact

61-2-9065-8256
61-2-9385-1883