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Zhongyi Yuan

Color portrait of Zhongyi Yuan

Assistant Professor of Risk Management

Office Address 362 Business Building
Phone Number 814-865-6211
Email Address zuy11@psu.edu

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Education

Ph D, Statistics with concentration in Actuarial Science, University of Iowa, 2013

Courses Taught

RM 420 – Prp Cslty Hlth Ins (3)
Actuarial methods and concepts used to model property, casualty and health insurance losses along with credibility theory. RM 420 Property, Casualty, and Health Insurance (3) This course 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. The class also gives students a foundation in Credibility Theory and simulation to prepare for the actuarial examination on loss models.

RM 410 – Financial Mathematics for Actuaries (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 and Casualty Insurance (3)
Actuarial methods and concepts used to develop manual rates for property and casualty insurance.

R M 410 – Compound Interest and Annuities (3)
Compound interest and annuity functions; equations of value; determination of yield rates; construction of tables.

Selected Publications

Blanchet J. H., Lam H., Tang Q., Yuan Z., "Robust Actuarial Risk Analysis." North American Actuarial Journal, 2018.
Ambrose B. W., Yuan Z., "Pricing Government Credit: A New Method for Determining Government Risk Exposure." Economic Policy Review, 2017.
Shi X., Tang Q., Yuan Z., "A Limit Distribution of Credit Portfolio Losses with Low Default Probabilities." Insurance: Mathematics and Economics, vol. 73, 2017, pp. 156--167.
Chen Y., Yuan Z., "A Revisit to Ruin Probabilities in the Presence of Heavy-tailed Insurance and Financial Risks." Insurance: Mathematics and Economics, vol. 73, 2017, pp. 75--81.
Yuan Z., "An Asymptotic Characterization of Hidden Tail Credit Risk with Actuarial Applications." European Actuarial Journal, vol. 7, 2017, pp. 165--192.
Blanchet J. H., Lam H., Tang Q., Yuan Z., "Mitigating Extreme Risks through Securitization." 2017.
Tang Q., Yuan Z., "Random Difference Equations with Subexponential Innovations." Science China Mathematics, vol. 59, 2016, pp. 2411--2426, Invited.
Blanchet J. H., Lam H., Tang Q., Yuan Z., "Applied Robust Performance Analysis for Actuarial Applications." 2016.
Wei L., Yuan Z., "The Loss Given Default of a Low-Default Portfolio with Weak Contagion." Insurance: Mathematics and Economics, vol. 66, 2016, pp. 113--123.
Tang Q., Yuan Z., "Interplay of Insurance and Financial Risks with Bivariate Regular Variation." 2015, Invited.
Tang Q., Yuan Z., "Randomly Weighted Sums of Subexponential Random Variables with Application to Capital Allocation." Extremes, vol. 17, no. 3, 2014, pp. 467--493.
Tang Q., Yuan Z., "Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation." North American Actuarial Journal, vol. 17, no. 3, 2013, pp. 253--271
Funded by The Actuarial Foundation (TAF) and the Casualty Actuarial Society (CAS) through the 2012 Individual Grants Competition..
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, vol. 16, no. 3, 2012, pp. 378--397
Funded by The Actuarial Foundation and the Society of Actuaries through the 2011 Individual Grants Competition..