Hong Li | Gordon S. Lang School of Business and Economics

Hong Li

Associate Professor
Department of Economics and Finance
Email: 
lihong@uoguelph.ca

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Accepting graduate students fall 2022: Yes

Accepting graduate students fall 2023: Yes

My research is largely inspired by the practical needs in the insurance industry. The majority of my research has focused on developing and applying cutting-edge statistics and machine learning algorithms, as well as economic theories on pivotal actuarial problems, including the measurement, pricing, and management of longevity risk, health risk, automobile risk, climate risk, and agriculture risk. I have published over 15 papers on top-tier insurance, actuarial science, and demography journals. I received the 2018 Bob Alting von Geusau Prize for the best paper published in ASTIN Bulletin with a Financial Risk or Enterprise Risk Management focus. Finally, I am a fellow of the Society of Actuaries and an associate fellow of the Canadian Institute of Actuaries. 

 

My personal webpage.

 

Guide for potential graduate students:

What qualities are you looking for in a graduate student? 

The ones with a solid quantitative background. 

How would you describe your mentoring style? 

I will work closely with you on the topics that you are interested in. 

Education:

  • PhD. Econometrics and Operations Research, Tilburg University, 2015 
  • Master of Economics, Tilburg University, 2012 
  • Bachelor of Arts, Finance, Xiamen University, 2010 

Other Qualifications:

  • Fellow of the Society of Actuaries, 2019 
  • Associate Fellow of the Canadian Institute of Actuaries, 2018 
  • Data Analytics 
  • Insurance Economics 
  • Actuarial Science 
  • Demography 
  • Asset Pricing 
  1. Hong Li, Yanlin Shi. Robust information share measures with an application on the international crude oil markets. Journal of Futures Market, accepted

 
  1. Hong Li, Yang Lu, Pintao Lyu. Coherent mortality forecasting for less developed countries. Risks, 9(9), 151.

 
  1. Hong Li, Qifan Song, Jianxi Su. Robust Estimates of Insurance Misrepresentation through Kernel Quantile Regression Mixtures. Journal of Risk and Insurance, 88(3), 625 - 663.

 
  1. An Chen, Hong Li, Mark Benedikt Schultze. Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan. Scandinavian Actuarial Journal, accepted.

 
  1. Hong Li, Yanlin Shi. Forecasting Mortality with International Linkages: a Global Vector-Autoregression Approach. Insurance: Mathematics and Economics, 100, 59 - 75.

 
  1. Hong Li. Yanlin Shi. Dynamic Price Discovery of Cross-listed Chinese Banks: An Innovative Analysis of Market Information Share. Journal of Banking and Finance, 128, 106 - 141.

 
  1. Hong Li, Yanlin Shi. Age-Coherent Mortality Forecasting with a Sparse VAR Model. Risks. 2021 9(2), 35 (Invited submission).

 
  1. Hong Li, Ken Seng Tan, Shripad Tuljapurka, Wenjun Zhu. Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model. Insurance: Mathematics and Economics, 99, 268 - 281

 

  1. Hong Li, Lysa Porth, Ken Seng Tan, Wenjun Zhu (2021). Improved Index Insurance Design and Yield Estimation using a Dynamic Factor Forecasting Approach. Insurance: Mathematics and Economics, 96, 208 - 221.

 
  1. Hong Li, Yang Lu, Wenjun Zhu (2020). Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach. North American Actuarial Journal, 25(2), 186 – 205.

 
  1. Han Li, Hong Li, Anastasios Panagiotelis, Yang Lu (2019). A Forecast Reconciliation Approach to Cause-of-Death Mortality Modeling. Insurance: Mathematics and Economics, 86, 122-133.

 
  1. Hong Li, Yang Lu (2019). Modeling Cause-of-Death Mortality Using Hierarchical Archimedean Copula. Scandinavian Actuarial Journal, 2019(3), 247 - 272.

 
  1. Hong Li, Yang Lu (2018). A Bayesian Non-parametric Model for Small Population Mortality. Scandinavian Actuarial Journal, 2018(7), 605 - 628.

 
  1. Hong Li (2018). Dynamic hedging of longevity risk: the effect of trading frequency. ASTIN Bulletin - The Journal of the International Actuarial Association, 48(1), 197 – 232.

 
  1. Tim J. Boonen, Hong Li (2017). Modeling and forecasting mortality with economic growth: a multi-population approach. Demography, 54(5), 1921 - 1946.

 
  1. Hong Li, Johnny S.H. Li (2017). Optimizing the Lee-Carter Approach in the presence of structural changes in the time- and age-patterns of mortality improvements. Demography, 54(3), 1073 - 1095.

 
  1. Hong Li, Anja De Waegenaere, Bertrand Melenberg (2017). Robust Mean-Variance Hedging of Longevity Risk. Journal of Risk and Insurance, 84, 459– 475.

 
  1. Hong Li, Yang Lu (2017). Coherent Forecasting of Mortality Rates: A Sparse Vector-Autoregression Approach. ASTIN Bulletin - The Journal of the International Actuarial Association, 47(2), 563-600.

 
  1. Hong Li, Anja De Waegenaere, Bertrand Melenberg (2015). The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach. Insurance: Mathematics and Economics. Vol. 63, 153-168.
  • FIN*4200 Risk Management in Finance and Insurance 
  • ECON*2770 Introductory Mathematical Economics 

Active Fundings:

1. On a Composite Spatial-Temporal Analysis of Insurance Losses due to Natural Catastrophes Project. The Canadian Institute of Actuaries, 2021 - 2022 (18,700 CAD). (with Jianxi Su) 

2. Interpretable Random Forests for Risk-informed Modeling in Healthcare Management. Society of Actuaries, 2021 Individual Grant (13,000 USD). (with Qifan Song and Jianxi Su) 

3. Spatial-Temporal Modeling of Wildfire Losses with Applications in Insurance-Linked Securities Pricing. Casualty Actuarial Society, 2021 (18,000 USD). (with Jianxi Su) 

4. Stochastic Mortality Modeling and Longevity Risk Management in Multiple-population Context. Nserc Discovery Grants --- Individual, 2020 - 2025 (127,500 CAD). 

5. ​Transformation Forests for Auto Insurance Risk Modeling. The Canadian Institute of Actuaries, 2020 - 2021 (16,500 CAD). (with Yang Lu) 

The 2018 Bob Alting von Geusau Prize for the best paper published in ASTIN Bulletin with a Financial Risk or Enterprise Risk Management focus. 

Area of Research

Economics/Finance