Managing and mitigating risk: Q&A with new economics faculty Dr. Hong Li
New Lang economics professor Dr. Hong Li's research explores how the insurance industry can utilize AI and statistics to mitigate risk. In this Q&A article, Dr. Li answers how he plans to use his expertise as a professor and researcher at Lang.
Hong Li was born and raised in the Canton province in China. He obtained the Bachelor in Finance from Xiamen University, China in 2010, and Ph.D. in Economics and Management from Tilburg University, the Netherlands in 2015. Before joining Lang, Hong worked as a tenure-track assistant professor and the accreditation actuary in Warren Centre of Actuarial Studies and Research, University of Manitoba, and a tenure-track assistant professor in the School of Finance in Nankai University, China. Hong is a Fellow of the Society of Actuaries and an Associate of the Canadian Institute of Actuaries.
Tell us about the focus of your research.
"My research is largely inspired by the practical needs in the insurance industry. I have been working on the developments and applications of cutting-edge statistics and machine learning algorithms on pivotal insurance problems, including measurement and management of longevity risk, agriculture risk, and climate risk, the design and pricing of various insurance products and insurance-linked securities, and the asset liability management of insurance companies."
Who can benefit most from your research?
"Practitioners, regulators, and policy makers in the insurance industry and social welfare system, as well as researchers in actuarial science, insurance, and finance."
What research publication are you most proud of? and what did the article explore?
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.
"This paper was awarded the 2018 Bob Alting von Geusau Prize for the best paper published in ASTIN Bulletin with a Financial Risk or Enterprise Risk Management focus. It explored the optimal longevity risk hedging strategy for life insurance companies and pension plans using longevity-linked derivatives. Motivated by the fact that the longevity-linked derivative market was rather new and did not have sufficient liquidity, this paper developed a dynamic optimization framework, in which assets were traded at different frequencies. This paper combined stochastic optimization techniques with high dimensional forward mortality rate models calibrated to real world data."
How do you plan on contributing to Lang's mission of using business as a force for good?
"By designing social and commercial insurance products and developing asset liability management strategies that are more scientific, sustainable and robust, my research aims to improve not only the financial stability of the insurance companies, but also the long-term wellbeing of participants of the social welfare systems and insurance policyholders. The insurance industry plays a vital role in protecting our society and communities. Being sustainable and capable of benefiting its policyholders, especially the younger generation, is critically important for the insurance industry to fulfill its social responsibility."