Department of Statistics, Purdue University
150 North University Street
West Lafayette, IN 47907-2067
jianxi@purdue.edu
Phone: (765) 494-6037
Research Interests
- Actuarial Mathematics: Risk measures, risk decomposition techniques, premium principles
- Probability Theory: Multivariate families of distributions, (tail) dependence, copulas
- Statistical Analysis: Statistical inference in actuarial and financial mathematics
Publications
- Su, J. and Hua, L. (2017). A general approach to full-range tail dependence copulas. Insurance: Mathematics and Economics 77, 49-64.
- Su, J. and Furman, E. (2017). Multiple risk factor dependence structures: Distributional properties. Insurance: Mathematics and Economics 76, 56-68.
- Su, J. and Furman, E. (2017). Multiple risk factor dependence structures: Related copulas and applications in default risk. Insurance: Mathematics and Economics 74, 109-121.
- Su, J. and Furman, E. (2017). A form of multivariate Pareto distribution with applications to financial risk measurement. ASTIN Bulletin 47(01), 331-357.
- Furman, E., Kuznetsov, A., Su, J. and Zitikis, R. (2016). Tail dependence of the Gaussian
copula revisited. Insurance: Mathematics and Economics 69, 97-103.
- Furman, E., Su, J. and Zitikis, R. (2015). Paths and indices of maximal tail dependence. ASTIN Bulletin 45(3), 661-678.
- Su, J. and Furman, E. (2012). Erratum: "On a multivariate gamma distribution by E. Furman". Statistics and Probability Letters 82(5), 1040-1041.
External Fundings
- 2017 SOA ERM Committee, "A unifying method to allocating economic capital: A reconciliation of the top-down and bottom-up approaches."
I am the PI. The funding amount is $12,000.
- 2017 SOA Climate Change and Environmental Sustainability Research Committee, "Modelling, measuring and pricing the flood risk: An actuarial perspective."
I am the PI. The funding amount is $5,000.
- 2017 SOA Educational Institution Grant, $7,500.
- 2017 SOA Individual Grant, "A unified framework for lifetime retirement planning with longevity risk: Optimal asset allocation, insurance and annuitization."
Yang Shen is the PI; I am the Co-PI. The funding amount is $10,000.
- 2015 MITACS Elevate Post-doctorate, "Multiple shock dependencies with applications to insurance risks."
I was the PI; Edward Furman and Moshe Milevsky were the faculty advisors; Sun Life Finanial, Canada was the industry partner. The funding amount was $115,000 (discontinued in 2016 due to the PI's resignation from York University).
- 2015 Ontario Government's Graduate Scholarship (for international students), $15,000.
- 2014 MITACS Accelerate, "Economic capital calculation for dependent risks."
I was the PI; Edward Furman was the faculty advisor; Sun Life Financial, Canada was the industry partner. The funding amount was $15,000.