Contact

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

Assistant Professor
Division of Statistics
Department of Mathematical sciences
Northern Illinois University
DeKalb, IL, 60115, United States
Email: hua@math.niu.edu

Research Interests

Multivariate dependence modeling / Multivariate non-Gaussian models / Copulas / Extreme value theory / Quantitative risk management / Actuarial theory and applications

Teaching

Fall 2014: STAT382 Theory of Interest and Financial Derivatives
Fall 2014: STAT486/586 Life Contingencies II
Spr 2014: STAT673 Linear Models
Spr 2014: STAT485/585 Life Contingencies I
Fall 2013: STAT382 Theory of Interest and Financial Derivatives
Fall 2013: STAT486/586 Life Contingencies II
Fall 2013: STAT495 Special Topics in Actuarial Science (indep study)
Spr 2013: STAT673 Linear Models
Spr 2013: STAT481/581 Probabilistic Foundations in Actuarial Science
Fall 2012: STAT382 Theory of Interest and Financial Derivatives

Academic Employment

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

Selected Presentations

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.

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 Grants / Awards

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

Refereed Publications

Hua, L., Joe, H. and Li, H., 2014. Relations between hidden regular variation and tail order of copulas, Journal of Applied Probability 51(1), 37-57. [pdf]

Hua, L. and Joe, H., 2014. Strength of tail dependence based on conditional tail expectation, Journal of Multivariate Analysis 123, 143-159. [pdf]

Mao, T. and Hua, L., 2014. Second-order regular variation inherited from Laplace-Stieltjes transforms, to appear in Communications in Statistics - Theory and Methods. [pdf]

Hua, L. and Xia, M., 2014. Assessing high-risk scenarios by full-range tail dependence copula, to appear in North American Actuarial Journal. [pdf]

Ebrahimi, N. and Hua, L., 2013. Assessing the reliability of a nanocomponent by using copulas, to appear in IIE Transactions. [pdf]

Hua, L. and Joe, H., 2012. Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures, Insurance Mathematics and Economics 51, 492-503. [pdf]

Hua, L. and Joe, H., 2012. Tail comonotonicity and conservative risk measures, ASTIN Bulletin 42(2), 601-629. [pdf]

Hua, L. and Joe, H., 2011. Second order regular variation and conditional tail expectation of multiple risks, Insurance Mathematics and Economics 49, 537-546. [pdf]

Hua, L. and Joe, H., 2011. Tail order and intermediate tail dependence of multivariate copulas, Journal of Multivariate Analysis 102(10), 1454-1471. [pdf]

Hua, L. and Cheung, K.C., 2008. Stochastic orders of scalar products with applications, Insurance: Mathematics and Economics 42, 865-872. [pdf]

Hua, L. and Cheung, K.C., 2008. Worst allocations of policy limits and deductibles, Insurance: Mathematics and Economics 43, 93-98. [pdf]

Book Chapters

Hua, L. and Joe, H. 2013. Intermediate tail dependence: a review and some new results, Stochastic Orders in Reliability and Risks (editors: Li, H. and Li, X.): In Honor of Professor Moshe Shaked, Lecture Notes in Statistics, Springer, 291-311. [pdf]

Manuscrpits

Hua, L., 2014. Tail negative dependence and its applications for aggregate loss modeling, under review, revised. [pdf] [animation: GGS copula]

Ebrahimi, N., Xia, M., and Hua, L., 2014. Assessing nanocomponent reliability using lifetime data from nanosystems, under review.

Li, H. and Hua, L., 2014. Higher order tail densities of copulas and hidden regular variation, under review.

My research profile at the Google Scholar is here.