Assistant Professor
Yisub Kye is a tenure-track assistant professor in the Department of Actuarial Science and Statistics at Northern Illinois University. He joined NIU in 2023. Prior to arriving at NIU, he was a Hedrick Assistant Professor at the University of California, Los Angeles.
He has experience in actuarial mathematics and applied mathematics and is responsible for undergraduate and graduate teaching in financial and actuarial studies and statistics.
Research
Kye develops rigorous theory for dependence modeling, risk capital allocation and optimal insurance design, drawing on matrix-analytic methods, phase-type distributions and heavy-tailed risk models to analyze systemic dependence within risk portfolios. His work extends to regime-switching and jump models for derivative pricing, ruin theory with dependent claims and optimal deductible structures. He has published in Insurance: Mathematics and Economics, the North American Actuarial Journal, Economics Letters and the North American Journal of Economics and Finance, and brings industry experience from Sun Life Financial, where he developed market risk methodology and economic scenario generators for interest rate risk.
Education
- Ph.D., York University
- M.S., SUNY Stony Brook
- B.S., Korea University
Selected Publications
- Furman, E., Kye, Y. and Su, J. (2021) Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. Insurance: Mathematics and Economics 96, 153-167
- Furman, E., Kye, Y. and Su, J. (2020) Discussion on “Size-Biased Risk Measures of Compound Sums” by M. Denuit-NAAJ. North American Actuarial Journal 0(0), 1-6
- Furman, E., Kye, Y. and Su, J. (2020) Reconciliation of the top-down and bottom-up approaches to risk capital allocations: Proportional allocations revisited. North American Actuarial Journal 0(0), 1–22.
- Furman, E., Kye, Y. and Su, J. (2019) Computing the Gini index: A note. Economics Letters 185, 108753
Papers in Review
- Hong, J., Kye, Y., Lee, H., and Lee, M. and (2023). Optimal deductible for recurring losses: focusing on varying deductible.
- Working Papers
- Kye, Y., Quintos,A., and Su, J (2023). Multiple risk factor dependence induced by phase-type distributions.
- Kye, Y., Lee, H., and Lee, M. and (2023). Multi-step Double Barrier Options with piecewise constant drift
- Kye, Y. and Su, J. (2023). A matrix-analytic approach to computing a risk capital allocation rule based on Conditional tail expectation for a portfolio of multiplicative background risk dependence.