Research Interests

Acknowledgements

I greatly appreciate all my collaborators for constantly teaching me new things every moment of my academic career! I owe all of you many thanks...

Manuscripts awaiting publication patiently - comments of any kind are eagerly invited.

  1. (G)Mohammed, N., Furman, E., and Su, J. (2023) A primer on generalized weighted risk functionals. [PDF]

  2. Levine, M., Richards, D., and Su, J. (2023) Non-steepness and maximum likelihood estimation properties of the truncated multivariate normal distributions. [PDF]

  3. (G) Li, Z., Shen, Y., and Su, J. (2022) Optimal consumption and annuity equivalent wealth with mortality model uncertainty. [PDF]

(`U' indicates undergraduate student; `G' indicates graduate student)

Publications

  1. Gribkova, N., Su, J., and Zitikis, R. (2024+) Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. Annals of the Institute of Statistical Mathematics, accepted.

  2. Li, H. and Su, J. (2024+) Mitigating wildfire losses via insurance-linked securities: Modeling and risk management perspectives. Journal of Risk and Insurance, accepted.

  3. Gribkova, N., Su, J., and Zitikis, R. (2023) Estimating the VaR-induced Euler allocation rule. ASTIN Bulletin: The Journal of the International Actuarial Association, 53(3), 619-635.

  4. (G)Zhang, X., Xu, M., Su, J., and Zhao, P. (2023) Structural models for fog computing based internet of things architectures with insurance and risk management applications. European Journal of Operational Research, 305(3), 1273-1291.

  5. (G)Chen, Y., Song, Q., and Su, J. (2023) On a class of multivariate mixtures of gamma distributions: Actuarial applications and estimation via stochastic gradient methods. Variance, 16(1), 1-18.
    [This work is supported by the CAS through the 2019 Individual Grant.]

  6. Gribkova, N., Su, J., and Zitikis, R. (2022) Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compund sums of concomitants. Insurance: Mathematics and Economics, 107, 199-222.

  7. Gribkova, N., Su, J., and Zitikis, R. (2022) Empirical tail conditional allocation and its consistency under minimal assumption. Annals of the Institute of Statistical Mathematics, 74(4), 713-735.

  8. (G)Mohammed, N., Furman, E., and Su, J. (2021) Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of Conditional Tail Expectation. Insurance: Mathematics and Economics, 101B, 425-436.

  9. Li, H., Song, Q., and Su, J. (2021) Robust estimates of insurance misrepresentation through kernel quantile regression mixtures. Journal of Risk and Insurance, 88(3), 625-663.

  10. (G)Chen, L., Su, J., and Xia, M. (2021) Two-part models for assessing misrepresentation on risk status. European Actuarial Journal, 11, 503-539.

  11. Furman, E., Kye, Y. and Su, J. (2021) Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. Insurance: Mathematics and Economics 96, 153-167.

  12. Furman, E., Kye, Y., and Su, J. (2021) Discussion on "Size-Biased risk measures of compound sums" by Michel Denuit, January 2020. North American Actuarial Journal, 25(4), 631-636

  13. Furman, E., Kye, Y. and Su, J. (2021) A reconciliation of the top-down and bottom-up approaches to risk capital allocations: Proportional allocations revisited. North American Actuarial Journal, 25(3), 395-416.
    [This work is supported by the SOA through the ERM Committee.]

  14. Chen, L., Shen, Y., and Su, J. (2020) A continuous-time theory of reinsurance chains. Insurance: Mathematics and Economics 95, 129-146.

  15. Levine, M., Richards, D., and Su, J. (2020) Independence properties of the truncated multivariate elliptical distributions. Statistics and Probability Letters 161, 108729.

  16. Shen, Y. and Su, J. (2019) Life-cycle planning with ambiguous economics and mortality risks. North American Actuarial Journal 23(4), 598-625.
    [This work is supported by the SOA through the 2017 Individual Grant.]

  17. Furman, E., Kye, Y. and Su, J. (2019) Computing the Gini index: A note. Economics Letters 185, 108753.

  18. (U)Semenikhine, V., Furman, E. and Su, J. (2018) On a multiplicative multivariate gamma distribution with applications in insurance. Risks 6(3), 1-20.

  19. Su, J. and Hua, L. (2017). A general approach to full-range tail dependence copulas. Insurance: Mathematics and Economics 77, 49-64.

  20. Su, J. and Furman, E. (2017). Multiple risk factor dependence structures: Distributional properties. Insurance: Mathematics and Economics 76, 56-68.

  21. 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.

  22. Su, J. and Furman, E. (2017). A form of multivariate Pareto distribution with applications to financial risk measurement. ASTIN Bulletin: The Journal of the International Actuarial Association 47(01), 331-357.

  23. Furman, E., Kuznetsov, A., Su, J. and Zitikis, R. (2016). Tail dependence of the Gaussian copula revisited. Insurance: Mathematics and Economics 69, 97-103.

  24. Furman, E., Su, J. and Zitikis, R. (2015). Paths and indices of maximal tail dependence. ASTIN Bulletin: The Journal of the International Actuarial Association 45(3), 661-678.

  25. Su, J. and Furman, E. (2012). Erratum: "On a multivariate gamma distribution by E. Furman". Statistics and Probability Letters 82(5), 1040-1041.

(`U' indicates undergraduate student; `G' indicates graduate student)

Technical Reports

  1. Beckley, J., Ward, M.D., Su, J. and Zhang, L. (2022) Inspiring actuarial education through learning communities and research experiences. The Society of Actuaries , 1-25.
    [This work is supported by the SOA through the ERM Committee.]

  2. (G)Martinez, W., Cupido, K., Jevtic, P. and Su, J. (2022) Social and other determinants of life insurance demand. The Society of Actuaries , 1-63.
    [This work is supported by the SOA through the Predictive Analytic Council.]

  3. Furman, E., Su, J., (U)Chen, Y., (U)Santoshkumar, S. and (U)Zhang, L. (2019) Modeling, measuring, and pricing the flood risk: Survey and actuarial perspective. The Society of Actuaries , 1-29.
    [This work is supported by the SOA through the Climate Change and Environmental Sustainability Research Committee.]

(`U' indicates undergraduate student; `G' indicates graduate student)

Fundings

  1. 2023 SOA General Insurance Research Grant, " A Framework for Digital Asset Risks with Insurance Applications."
    I am the lead-PI; Maochao Xu and Jimmy Yuen are the other PI's. The funding amount is $45,000.

  2. 2023 SOA Emerging Issues Research Grant, " Post-wildfire drinking water crisis: Implications and opportunities for the insurance industry."
    I am the lead-PI; Andrew Whelton is the other PI. The funding amount is $15,000.

  3. 2022 SOA Individual Grant, " Leveraging machine learning and SHELDUS data to discern daily impact of disaster losses on mortgage-related investments ."
    Antik Chakraborty is the lead-PI; I am a co-PI. The funding amount is $16,000.

  4. 2021 SOA Predictive Analytic Council Grant, "(Social) Determinants of the demand for life insurance."
    Petar Jevtic is the lead-PI; I am a co-PI. The funding amount is $28,732.

  5. 2021 CIA Academic Research Grant, "On a composite spatial-temporal analysis of insurance losses due to natural catastrophes."
    Hong Li is the lead-PI; I am a co-PI. The funding amount is $18,700.

  6. 2021 SOA Individual Grant, "Interpretable random forests for risk-informed modeling in healthcare management."
    Hong Li is the lead-PI; I am a co-PI. The funding amount is $13,000.

  7. 2020 CAS Research Grant, "Spatial-Temporal modeling of widefire losses with applications in insurance-linked securties pricing."
    Hong Li is the lead-PI; I am a co-PI. The funding amount is $18,000.

  8. 2019 CAS Individual Grant, "Multivaraite mixtures of gamma distributions: A joyful toolkit for modeling dependent insurance data."
    I am the lead-PI; Qifan Song is the other PI. The funding amount is $14,000.

  9. 2019 SOA Grant, "Actuarial professional in the new era of IoT: Cybersecurity risks in fog computing."
    Maochao Xu is the lead-PI; I am a co-PI. The funding amount is $25,000.

  10. 2019 SOA Grant, "Demystifying the annuity puzzle: The role of model uncertainty in strategic retirement planning."
    Yang Shen is the lead-PI; I am a co-PI. The funding amount is $18,000.

  11. 2019 CAS Grant, "Microinsurance as a key driver of social innovation and sustainable economic development: Demand studies."
    Edward Furman is the lead-PI; I am a co-PI. The funding amount is $21,000.

  12. 2019 Purdue Research Foundation Summer Faculty Grant, $10,400.

  13. 2018 SOA ERM Committee, "Inspiring actuarial education through learning communities and research experiences."
    I am the lead-PI. The funding amount is $40,000.

  14. 2018 Purdue Integrated Data Science Education Ecosystem Initiative, "Data science building blocks."
    I am the PI at Purdue Statistics. The funding amount is $50,000.

  15. 2017 SOA ERM Committee, "A unifying method to allocating economic capital: A reconciliation of the top-down and bottom-up approaches."
    I am the lead-PI; Edward Furman is the other PI. The funding amount is $12,000.

  16. 2017 SOA Climate Change and Environmental Sustainability Research Committee, "Modelling, measuring and pricing the flood risk: An actuarial perspective."
    I am the lead-PI; Edward Furman is the other PI. The funding amount is $5,000.

  17. 2017 SOA Educational Institution Grant, $7,500.

  18. 2017 SOA Individual Grant, "A unified framework for lifetime retirement planning with longevity risk: Optimal asset allocation, insurance and annuitization."
    Yang Shen is the lead-PI; I am a Co-PI. The funding amount is $10,000.

  19. 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).

  20. 2015 Ontario Government's Graduate Scholarship (for international students), $15,000.

  21. 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.