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. Gribkova, N., Su, J., and Zitikis, R. (2022) Assessing the coverage probabilities of fixed-margin confidence intervals for the tail conditional allocation. [PDF]

  4. (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. Li, H. and Su, J. (2023+) Mitigating wildfire losses via insurance-linked securities: Modeling and risk management perspectives. Journal of Risk and Insurance, accepted.

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

  3. (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.

  4. (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.]

  5. 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.

  6. 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.

  7. (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.

  8. 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.

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

  10. 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.

  11. 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

  12. 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.]

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

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

  15. 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.]

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

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

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

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

  20. 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.

  21. 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.

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

  23. 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.

  24. 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.