Contact

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
Email: Lhua@niu.edu

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

Copulas and Their Applications: To commemorate the 75th birthday of Professor Roger B. Nelsen, Jul. 2017, invited talk: Multivariate dependence modeling based on comonotonic factors

45th Annual Meeting of Statistical Society of Canada, Jun. 2017, invited talk: Full-range tail dependence copulas

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.

Software

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