Hong Li

I am a professor in the Department of Economics and Finance, Gordon S. Lang School of Business, University of Guelph, Canada and an adjunct associate professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. I am an associate editor of the Annals of Actuarial Science. The University of Guelph ranks the 1st in Canada and the 7th in North America on the list of Business School RMI & Actuarial Science Rankings (2018 - 2022) published by the University of Nebraska Lincoln.

I am a Fellow of the Society of Actuaries and an Associate of the Canadian Institute of Actuaries. Before joining Lang, I worked in the Warren Centre of Actuarial Studies and Research, University of Manitoba, Canada, and the School of Finance, Nankai University. My current research focuses on data analytics in the field of insurance.

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. Mitigating Wildfire Losses via Insurance-Linked Securities: Modeling and Risk Management Perspectives. Journal of Risk and Insurance. (with Jianxi Su) https://doi.org/10.1111/jori.12449
2. Optimal Longevity Risk Transfer Under Asymmetric Information. Economic Modelling. (with An Chen and Mark Benedikt Schultze) https://doi.org/10.1016/j.econmod.2022.106179
3. Enhanced Agriculture Insurance with Climate Forecast. Sustainability, 2022, 14(17), 10617. (with Lanlan Li, Zhengqiao Liu, Jing-Yi Chen, and Yang-Che Wu)
4. Collective Longevity Swap: a Novel Longevity Risk Transfer Solution and Its Economic Pricing. Journal of Economic Behavior and Organization, 201, 221-249. (with An Chen and Mark Benedikt Schultze)
5. ​Assessing the Effectiveness of the Actuaries Climate Index for Estimating the Impact of Extreme Weather on Crop Yield and Insurance Applications. Sustainability, 2022, 14(11), 6916. (with Qimeng Pan and Lysa Porth)
6. Robust information share measures with an application on the international crude oil markets. Journal of Futures Markets, 42(4), 555-579​. (with Yanlin Shi)
7. Coherent mortality forecasting for less developed countries. Risks, 9(9), 151. (with Yang Lu and Pintao Lyu)
8. Robust Estimates of Insurance Misrepresentation through Kernel Quantile Regression Mixtures. Journal of Risk and Insurance, 88(3), 625 - 663. (with Qifan Song and Jianxi Su)
9. Tail Index-Linked Annuity: A Longevity Risk Sharing Retirement Plan. Scandinavian Actuarial Journal, 2022(2), 139-164. (with An Chen and Mark Benedikt Schultze)
10. A New Unique Information Share Measure with Applications on Cross-listed Chinese Banks. Journal of Banking and Finance, 2021(128), 106 - 141. (with Yanlin Shi)
11. Forecasting Mortality with International Linkages: a Global Vector-Autoregression Approach. Insurance: Mathematics and Economics, 2021(100), 59 - 75. (with Yanlin Shi)
12. Mortality Forecasting with an Age-Coherent Sparse VAR Model. Risks 9(2), 35. (with Yanlin Shi)
13. Gompertz Law Revisited: Forecasting Mortality with a Multi-factor Exponential Model. Insurance: Mathematics and Economics, 2021(99), 268 - 281. (with Ken Seng Tan, Shripad Tuljapurka, and Wenjun Zhu)
14. Improved Index Insurance Design and Yield Estimation using a Dynamic Factor Forecasting Approach. Insurance: Mathematics and Economics 2021(96), 208 - 221. (with Lysa Porth, Ken Seng Tan, and Wenjun Zhu)
15. Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach. North American Actuarial Journal, 25(2), 186 – 205. (with Yang Lu and Wenjun Zhu)
16. A Forecast Reconciliation Approach to Cause-of-Death Mortality Modeling. Insurance: Mathematics and Economics, 2019 (86), 122 - 133. (with Han Li, Anastasios Panagiotelis, and Yang Lu)
17. Modeling Cause-of-Death Mortality Using Hierarchical Archimedean Copula. Scandinavian Actuarial Journal, 2019(3), 247 - 272. (with Yang Lu)
18. A Bayesian Non-parametric Model for Small Population Mortality. Scandinavian Actuarial Journal, 2018(7), 605 - 628. (with Yang Lu)
19. Dynamic hedging of longevity risk: the effect of trading frequency. ASTIN Bulletin, 48(1), 197 - 232.
20. ​Modeling and forecasting mortality with economic growth: a multi-population approach. ​Demography, 54(5), 1921 - 1946. (with Tim J. Boonen)
21. ​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. (with​ Johnny S.H. Li)
22. Coherent Forecasting of Mortality Rates: A Sparse Vector-Autoregression Approach. ASTIN Bulletin - The Journal of the International Actuarial Association, 47(2), 563-600. (with Yang Lu)
23. Robust Mean-Variance Hedging of Longevity Risk. Journal of Risk and Insurance , 84, 459– 475. (with Anja De Waegenaere and Bertrand Melenberg)
24. The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach. Insurance: Mathematics and Economics (with Anja De Waegenaere and Bertrand Melenberg)

• FIN*4200 Risk Management in Finance and Insurance
• ECON*2770 Introductory Mathematical Economics
• FIN*6800 Selected Topics in Finance

Active Fundings:

1. Climate change and property and casualty insurance: a risk management perspective. SSHRC Insight Development Grant, 2022 - 2024 (69,623 CAD)
2. 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)
3. 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)
4. Spatial-Temporal Modeling of Wildfire Losses with Applications in Insurance-Linked Securities Pricing. Casualty Actuarial Society, 2021 (18,000 USD). (with Jianxi Su)
5. Stochastic Mortality Modeling and Longevity Risk Management in Multiple-population Context. NSERC Discovery Grants --- Individual, 2020 - 2025 (127,500 CAD).

- University Research Award (2022 - 2023), University of Guelph

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