Zhongyi Yuan
Associate Professor
Department Risk Management
Office Address 362 Business Building
Phone Number
814-865-6211
Email Address
zuy11@psu.edu
Zhongyi Yuan
Associate Professor
Department Risk Management
Office Address 362 Business Building
Phone Number
814-865-6211
Email Address
zuy11@psu.edu
Dr. Zhongyi Yuan is an Associate Professor of Risk Management and King Family Early Career Professor at Smeal College of Business.
Dr. Yuan is an Associate of the Society of Actuaries (ASA). He used to be a James Hickman scholar awarded by the Society of Actuaries (SOA).
Dr. Yuan's research focuses on catastrophe risk management, tail risk analysis, and insurance risk securitization. His research has been sponsored by the SOA and has appeared in leading actuarial journals, such as ASTIN Bulletin, European Actuarial Journal, Insurance: Mathematics and Economics, and North American Actuarial Journal, as well as leading journals in related fields, such as Extremes and European Journal of Operational Research.
Education
Ph.D., Statistics (Actuarial Science), The University of Iowa, 2013
M.S., Applied Mathematics (Financial Mathematics), Chinese Academy of Sciences, 2008
B.S., Computer Science, Beijing Normal University, 2004
Courses Taught
RM 421 – Short Term Actuarial Math Fund (3)
RM 421 provides a solid understanding of actuarial methods and concepts used to develop loss models for property and casualty insurance and health insurance. The course makes use of real world numerical examples in order to demonstrate how actuaries use historical claims and pricing data, both company specific and industry, to determine rates and increases. Topics covered include: 1) Understand the key features of insurance and reinsurance coverages, 2) Understand the characteristics of severity, frequency and aggregate models, 3) Understand the concepts and applications of credibility theory, 4) Apply basic methods for calculation of premiums and reserves for short term insurance coverages. The course helps actuarial students to prepare for the international Fundamentals of Actuarial Mathematics (FAM) exam.
RM 422 – Short Term Actuarial Math Adv (3)
This course covers advanced topics of actuarial methods and concepts used to develop loss models for property and casualty insurance and health insurance. The course makes use of real world numerical examples in order to demonstrate how actuaries use historical claims and pricing data, both company specific and industry, to determine rates and increases. Topics covered include: 1) Interpretation and calculations with severity, frequency and aggregate models, 2) Construction and selection of parametric models, 3) Estimation of losses using credibility procedures, and 4) Pricing and reserving for short-term insurance coverages. The course helps to prepare actuarial students for the international Advanced Short-Term Actuarial Mathematics (ASTAM) actuarial exam.
RM 412 – LONG TERM ACTUARIAL MATH ADV (3)
A study of joint-life and survivor-life functions, population life tables, and multiple decrement theory, with applications to disability and retirement problems. The course provides a solid understanding of the advanced topics in long-term actuarial mathematics, and helps actuarial students prepare for the Advanced Long-Term Actuarial Mathematics (ALTAM) actuarial exam. Topics covered include: 1) Key concepts of multiple state survival models, including calculations of premium and policy values, 2) Analysis of emerging surplus and apply profit testing principles, 3) Basic pension/retirement benefits, including accrual, valuation and funding calculations, and 4) Various equity-linked life insurance guarantees and options, including relevant pricing, reserving and hedging principles. Building on these topics, students will be able to apply theoretical concepts to real-world insurance problems using a project-based approach focused on one or more advanced topics covered in the course.
RM 420 – Prp Cslty Hlth Ins (3)
Actuarial methods and concepts used to develop manual rates for property and casualty insurance.
RM 410 – FIN MATH FOR ACTSC (3)
Compound interest and annuity functions; life annuities; equations of value; determination of yield rates; bonds; introduction to derivatives. R M 410 Financial Mathematics for Actuaries (3) The first section of the course focuses on Interest Theory, including compound interest, annuities- certain, and life annuities; equations of value; loans and their valuation; the pricing of bonds (with and without default), determining their yields to maturity and outstanding balances; determination of yield rates, spot rates, forward rates, and At-Par rates; duration of an asset or liability, and immunization of interest rate risk. The second section introduces students to derivatives, including the description, payoffs, and profits of forwards, futures, puts, calls, and swaps, and how to use them to manage a company's or investor's financial risks. The course helps prepare actuarial students for the international actuarial exam FM (Financial Mathematics).
R M 420 – Property, Casuality, and Health Insurance (3)
Actuarial methods and concepts used to model property, casualty and health insurance losses along with credibility theory.
R M 410 – Compound Interest and Annuities (3)
Compound interest and annuity functions; life annuities; equations of value; determination of yield rates; bonds; introduction to derivatives.
Selected Publications
Funded by The Actuarial Foundation (TAF) and the Casualty Actuarial Society (CAS) through the 2012 Individual Grants Competition.
Funded by The Actuarial Foundation and the Society of Actuaries through the 2011 Individual Grants Competition.
Research Impact and Media Mention
Editorships
Guest editor for special issue on Tail Risk Analysis and Management