Cary Chi-Liang Tsai
Assistant Professor
Department of Statistics and Actuarial Science
Burnaby, B.C. V5A 1S6, Canada
Tel: (778) 782-7044 Fax: (778) 782-4368
Office: SSC-K 10548 Email: cltsai@sfu.ca
I have been at SFU since July, 2004. Before coming to SFU, I served an assistant professor at the Department of Finance, National Taiwan University, Taiwan, during 2000-2004. My research interests are risk measures and ordering, risk theory, ruin theory, stochastic processes in insurance and finance. Insurers, insurance regulators and policy owners are concerned about solvency. The time of ruin, the mean time to ruin, the probability of ruin, the deficit at the time of ruin, and the discounted deficit (present value of the deficit) are some important quantities to help measure solvency. Actuarial researchers have been trying to build theoretical or empirical insurance models to study this issue. The traditional continuous time surplus model is a jump process due to insurance claims. Gerber extended the classical risk model by adding an independent diffusion (or Wiener) process to form a jump-diffusion process (the diffusion factor may represent the uncertainty of premium income or investment). My research in the past few years were to derive some important and interesting theoretical results based on the jump-diffusion surplus process. I will continue to work on these important topics, and pay attention to the application of ruin theory of Actuarial Science to Mathematical Finance. In addition, I am working on topics regarding risk measures and ordering, and associated actuarial applications.