Zhongyi Yuan

Department	Risk Management
Position	Faculty
PSU profile	https://directory.smeal.psu.edu/zuy11
OpenAlex	A5085869463
Works (OpenAlex)	14
Citations	296
h-index	10
Match confidence	high-v3

Top works

• Randomly weighted sums of subexponential random variables with application to capital allocation (2014) - Extremes - cites: 101
• CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION (2019) - Astin Bulletin - cites: 36
• Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (2013) - North American Actuarial Journal - cites: 35
• A revisit to ruin probabilities in the presence of heavy-tailed insurance and financial risks (2017) - Insurance Mathematics and Economics - cites: 22
• A Hybrid Estimate for the Finite-Time Ruin Probability in a Bivariate Autoregressive Risk Model with Application to Portfolio Optimization (2012) - North American Actuarial Journal - cites: 22
• A limit distribution of credit portfolio losses with low default probabilities (2017) - Insurance Mathematics and Economics - cites: 17
• Indifference pricing of insurance-linked securities in a multi-period model (2020) - European Journal of Operational Research - cites: 16
• Pricing extreme mortality risk in the wake of the COVID-19 pandemic (2022) - Insurance Mathematics and Economics - cites: 15
• Robust Actuarial Risk Analysis (2019) - North American Actuarial Journal - cites: 14
• The loss given default of a low-default portfolio with weak contagion (2015) - Insurance Mathematics and Economics - cites: 10
• An asymptotic characterization of hidden tail credit risk with actuarial applications (2017) - European Actuarial Journal - cites: 4
• Pricing Extreme Mortality Risk amid the COVID-19 Pandemic (2021) - SSRN Electronic Journal - cites: 2
• Pricing Government Credit: A New Method for Determining Government Credit Risk Exposure (2018) - SSRN Electronic Journal - cites: 2
• Quantitative analysis of extreme risks in insurance and finance (2013) - - cites: 1

Topics