Dr. Larry Lei Hua

Lei (Larry) Hua, ASA, PhD (UBC 2012)

Assistant Professor
Division of Statistics
Department of Mathematical sciences
Northern Illinois University
DeKalb, IL, 60115, United States

Research Interests

Multivariate dependence modeling / Copulas / Tail dependence inference / Quantitative risk management / Actuarial theory and applications / Quantitative-Statistical-Computational finance / Statistical network modeling and inference

Academic Employment

Aug 2012 - now, Tenure-track Assistant Professor, Division of Statistics, Northern Illinois University

Selected Presentations

Computational Finance Seminar at Purdue University, Feb. 2017, invited talk: Multivariate dependence modeling based on comonotonic factors

The 51th Actuarial Research Conference, Jul. 2016, contributed talk: Cybersecurity Insurance: Modeling and Pricing

The 50th Actuarial Research Conference, Aug. 2015, contributed talk: Factor Copula Approaches for Assessing Spatially Dependent High-dimensional Risks

Department Colloquium at Illinois State University, October, 2014, invited talk: Tail negative dependence and its applications for aggregate loss modeling

The 18th International Congress on Insurance: Mathematics and Economics, July, 2014, contributed talk: Factor copulas and beyond.

Department Colloquium at University of Wisconsin at Milwaukee, April, 2014, invited talk: Relations Between Hidden Regular Variation and Tail Order of Copulas.

International Workshop on High-Dimensional Dependence and Copulas: Theory, Modeling, and Applications, Jan. 2014, invited talk: Tail order and its applications.

Department Colloquium at McGill University, Nov. 2013, invited talk: Tail order and its applications.

The 48th Actuarial Research Conference, Aug. 2013, contributed talk: Assessing high-risk scenarios by full-range tail dependence copula.

Department Colloquium at University of Science and Technology of China, Jul. 2013, invited talks: Seeking new copulas through tail orders, Strength of tail dependence based on conditional tail expectation.

The 8th Conference on Extreme Value Analysis, Jul. 2013, contributed talk: Relations between hidden regular variation and tail order of copulas.

Banff workshop on Non-Gaussian Multivariate Statistical Models and their Applications, May 2013, invited talk: Strength of Tail Dependence based on Conditional Tail Expectation.

Selected Funded Grants / Awards

Co-investigator: “Cybersecurity Insurance: Modeling and Pricing”, with Maochao Xu, funded by Society of Actuaries, 2015-2016

Principal Investigator: “Factor copula approaches for assessing spatially dependent high-dimensional risks”, with Sanjib Basu, Michelle Xia, Individual Grant Competition (SOA/CAS), 2014

Sole Investigator: “Tail Negative Dependence and Its Applications for Aggregate Loss Modeling”, Individual Grant Competition (CAS), 2013

Sole Investigator: “Assessing High-Risk Scenarios by Full-Range Tail Dependence Copula”, CAS/CIA/SOA Joint Risk Management Section, 2013

Sole Investigator: "Multivariate extreme dependence and risk measures", Alexander Graham Bell CGS D-3, 2009 - 2012

Selected Recent Publications

Hua, L., 2017. On a bivariate copula with both upper and lower full-range tail dependence, Insurance: Mathematics & Economics, Volume 73, 94-104.  [pdf] [git] [gif]

Hua, L. and Joe, H., 2017. Multivariate dependence modeling based on comonotonic factors, Journal of Multivariate Analysis, Volume 155, 317-333. [pdf] [git]

Hua, L., Xia, M., and Basu, S., 2017. Factor copula approaches for assessing spatially dependent high-dimensional risks, North American Actuarial Journal, Volume 21, 147-160. [pdf]

Xu, M., Hua, L., and Xu, S.,2016. A vine copula model for predicting the effectiveness of cyber defense early-warning, to appear in Technometrics. [pdf]

Hua, L., 2015. Tail negative dependence and its applications for aggregate loss modeling, Insurance Mathematics & Economics, 61, 135-145. [pdf] [animation: GGS copula]

Hua, L. and Xia, M., 2014. Assessing high-risk scenarios by full-range tail dependence copula, North American Actuarial Journal, 18(3), 363-378. [pdf]

Please see google scholar for a complete list of my publications.

Corrections and Clarifications of my publications [pdf]

Working Papers

Su, J. and Hua, L., 2017. A general approach to full-range tail dependence copulas [pdf] [git] [gif]

Cybersecurity Insurance: modeling and pricing, with Maochao Xu

On bivariate tail non-exchangeability, with Alan Polansky and Paramahansa Pramanik.


C++/R: Comonotonic factor models [git]

R: CopulaOne [git]

Editorial Activities

Review about 20 papers per year for following journals:

Journal of the American Statistical Association / Journal of Multivariate Analysis / Biometrika / Statistics and Computing / Insurance: Mathematics & Economics / Journal of the Royal Statistical Society: Series B / North American Actuarial Journal / Scandinavian Actuarial Journal / Extremes / Journal of Banking and Finance / Computational Statistics and Data Analysis / Scandinavian Journal of Statistics / The American Statistician / Communications in Statistics / Journal of Mathematical Analysis and Applications / Journal of Biopharmaceutical Statistics / Statistics and Its Interface / Annals of Operations Research / Statistical Methods in Medical Research / Lifetime Data Analysis / Advances and Applications in Statistics / Journal of Quality Technology & Quantitative Management / Methodology and Computing in Applied Probability / SIAM Journal on Financial Mathematics

Editorial Advisory Board of Dependence Modeling