Northern Illinois University
Department of Statistics and Actuarial Science
College of Liberal Arts and Sciences

Yisub Kye, Ph.D.
Assistant Professor

Yisub Kye joined NIU in 2023 and is a tenure-track assistant professor at the Department of Actuarial Science and Statistics. He has plenty of experience in Actuarial mathematics and applied mathematics. His current research interest includes but is not limited to, dependence modeling, risk capital allocation, optimal insurance strategies in situations involving moral hazard, the pricing of double barrier options and the intricate domain of credit risk analysis. He is responsible for undergraduate/graduate teaching for financial and actuarial studies and statistics.

Before arriving at NIU, Yisub was a Hedrick assistant professor at the University of California, Los Angeles.

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.