Assistant Insurance

JIE ZHOU

E-mail: ***********@*****.*** Phone: 919-***-**** (c)

SUMMARY

Work and research experience in quantitative risk assessment,

catastrophe modeling and portfolio optimization

Skilled in mathematical and statistical modeling and programming based

on very large dataset

Knowledge in financial engineering

Detail-oriented and hard thinker

Ability to work on multiple tasks under tight deadlines

Excellent communication skills

EDUCATION

Ph.D. in Statistics, 2002-2007

University of North Carolina at Chapel Hill, Chapel Hill, NC

Research Interests: Extreme Value Theory, Spatial Statistics, Bayesian Statistics

B.Sc. in Mathematics, 1997-2002

University of Science and Technology of China, Hefei, China

EXPERIENCE

Research Scientist, 2007-Present

EQECAT Inc., Oakland, CA

Performed quantitative risk analysis for insurance linked securities(CAT Bonds)

Independently developed and implemented Europe windstorm model for

insurance industry

Constructed insurance portfolio optimization model and developed an automated

selection algorithm

Studied vulnerability functions based on very large set of claim data by using

various statistical methods such as copulas, MCMC, censored data analysis,

GLM, etc

Performed back test, stress test and other statistical tests on evaluating

performance of catastrophe risk models

Provided statistical analysis and other consulting work for different groups inside

the company

Research Assistant, 2005-2007

University of North Carolina at Chapel Hill, Chapel Hill, NC

Finished several research topics in analyzing very large data set, especially

focusing on extreme values

Developed spectral model and embedded circulant matrix approach in estimating

parameters of large dimensional covariance matrices related to extremes

Implemented models by using Markov Chain Monte Carlo simulations with

application to United States extreme rainfalls

Teaching Assistant, 2002-2004

University of North Carolina at Chapel Hill, Chapel Hill, NC

Taught Pre-calculus Mathematics III – Trigonometric and Analytical Geometry

twice(as instructor)

Graded several undergraduate and graduate mathematics courses including

combinatorial mathematics(U), Differential Geometry(G), Numerical

ODE/PDE(G),etc

PROJECTS

Statistical Analysis on Relationships between NEC and BT, spring 2006

University of North Carolina at Chapel Hill, Chapel Hill, NC

Statistically analyzed whether the risk of necrotizing entercolitis(NEC) is related

to prior blood transfusions among infants

A number of hypothesis testing performed on determining significant factors and

smoothing techniques used on getting estimations of probability density functions

A Numerical Approach to Belousov-Zhabotinsky Reaction, spring 2004

University of North Carolina at Chapel Hill, Chapel Hill, NC

Provided computational simulations of Belousov-Zhabotinsky reaction system

which exhibits oscillatory patterns

Numerical algorithms established for solving a set of differential equation system

Principle component analysis used for reducing complexity of computation

SKILLS

Quantitative Skills:

Statistics: ANOVA, ANCOVA, Censored data analysis, Copulas, GLM, GLMM,

Monte Carlo Simulation, Non-parametric methods(regression and density

estimation), Principle component analysis, Time series analysis, Statistical tests,

VaR analysis

Mathematics: Finite difference method, Numerical linear algebra methods,

Spectral method(FFT, etc)

Programming Skills:

Matlab, R/S-Plus, SAS, Mathematica, C, SQL/Sybase, Access, Excel, LaTex

CERTIFICATES

Actuarial Exam P, FM

AWARDS

3rd Prize, National Mathematics Competition for High School Students, China,

1996

Scholarship for Outstanding Students, University of Science and Technology of

China, 1997-2002

Full mark, GRE Mathematics Subject Test, 2000

Contact this candidate