Time:
Dec.28 (Monday),10:00-11:00
Venue:
Zoom Conference ID: 233 971 563
Speaker:
Qihe Tang, Professor at School of Risk and Actuarial Studies, UNSW Business School
Summary:
We conduct a quantitative risk analysis of non-core insurance business of selling protection to financial firms against investment losses due to a shock. A static structural model is constructed, composed of a network of firms who cross-hold each other, multiple primitive assets that are vulnerable to a shock, and an insurer who resides external to the network and speculates in selling protection to the financial firms. Assume that each firm in the network is rational and able to decide how much protection to purchase to optimize its portfolio according to the mean-variance principle. As a result, the shock may impact on the insurer but indirectly through the network. More precisely, the network integration, which refers to the level of exposures of the firms to each other, affects the way that the shock impacts on this non-core insurance business. Our study finds that the network integration and the shock play an interactive role in the insurance risk: An increase in the network integration can either reduce or amplify the impact of the shock on the insurance risk.
Brief introduction of the speaker:
Qihe Tang is currently Professor of Actuarial Science at UNSW Sydney. After earning his Ph.D. from the University of Science and Technology of China in 2001, he has 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, he was promoted to Full Professor in 2012 and was conferred an Endowed Chair in 2014. He joined UNSW Business School under the SHARP (Strategic Hires and Retention Pathways) scheme since July 2017.
Qihe Tang’s expertise centers on extreme value theory for insurance, finance, and quantitative risk management. Recently, he has 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.
He is currently Editor for Insurance: Mathematics and Economics, and Associate Editor for several other prestigious journals including TEST, Applied Stochastic Models in Business and Industry, Statistics & Probability Letters, and Science China Mathematics. He is an Elected Member of the International Statistical Institute (ISI) since September 2018.
