Qiuqi Wang: Winner of the Pierre Robillard Award 2024

Qiuqi Wang

The Pierre Robillard Award is awarded annually by the SSC to recognize the best PhD thesis in probability or statistics defended at a Canadian university during the previous year.

Qiuqi Wang is the winner of the Pierre Robillard Award 2024 of the Statistical Society of Canada. Qiuqi’s thesis, entitled "Characterizing, Optimizing and Backtesting Metrics of Risk," was written while he was a doctoral student at the University of Waterloo working under the supervision of Ruodu Wang.

Qiuqi’s research is in actuarial science and risk management. Various measures of risk are widely studied in the literature in the context of financial regulation, insurance, operations research, and statistics. The thesis contains six papers. It first tackles the axiomatic theory of risk measures in three papers covering very different classes of risk measures: the distortion riskmetrics, the Bayes risk measures, and the cash-subadditive risk measures. Several characterizations of risk measures from economically relevant principles are obtained illustrating, among other things, a uniqueness property of the so-called “Expected Shortfall,” which is the standard risk measure used in current global financial regulation including Canada, and also very popular in academic research. Another paper considers the optimization of distortion riskmetrics with distributional uncertainty. The optimization of a non-convex distortion riskmetric is converted into a convex one that is tractable through a novel notion of closedness under concentration. An additional paper studies the characterization of risk measures induced by efficient insurance contracts. He considers insurance contracts in popular forms in the industry that are assumed Pareto optimal for the insured and the insurer, and elicits the risk measures that the insurer and insured must use to lead to such contracts. Finally, one of the most challenging tasks in risk modelling practice is to backtest Expected Shortfall forecasts made by financial institutions. A last paper proposes a new model-free procedure, based on model-free e-statistics and e-processes, to tackle this problem. Qiuqi’s thesis shows a lot of breadth with papers in four different fields—actuarial science, mathematical finance, optimization, and management—all of them containing strong probabilistic and statistical components. Practical questions in mathematical finance, including insurance, motivate most of the mathematical developments in the thesis, which in turn inform the risk measures used in practice.
Qiuqi is an assistant professor at the Maurice R. Greenberg School of Risk Science of Georgia State University. He obtained a BS in mathematics and economics (2017) and an MPhil in mathematics (2019) at the Hong Kong University of Science and Technology before completing his PhD in actuarial science at the University of Waterloo. He is an Associate of the Society of Actuaries.

The citation for the award reads:

To Qiuqi Wang, for the thesis entitled "Characterizing, Optimizing and Backtesting Metrics of Risk."


Friday, April 19, 2024

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