Xi'an Jiaotong-Liverpool University

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Dr. Jiajun Liu is an Assistant Professor in Actuarial Science at the Department of Financial and Actuarial Mathematics, Xi’an Jiaotong-Liverpool University.

Dr Liu’s research focuses on the Interplay of insurance and financial risks, extreme dependence, and Heavy-tailed distributions in insurance, finance, and risk management. His research has appeared in journals such as ASTIN Bulletin, Insurance: Mathematics and Economics, North American Actuarial Journal, European Actuarial Journal, Stochastic Models, and Journal of Industrial and Management Optimization.
Prior to joining XJTLU, Dr. Liu earned his Ph.D. in Mathematical Science (subtrack: Actuarial Science and Statistics) from The University of Liverpool, and B.Sc from The University of Liverpool.

Qualifications
- Certificate in Professional Studies, Merit, The University of Liverpool, -2018
- B.Sc , The University of Liverpool, - 2012
- Ph.D. , The University of Liverpool, - 2015
Experience
- 2016 to Present, Assistant Professor in Actuarial Science, Department of Financial and Actuarial Mathematics, Xi’an Jiaotong-Liverpool University, China.
Research interests
- Quantitative risk management.
- Copula and tail dependence.
- Extreme value theory for insurance and finance.
- Asymptotic analysis of rare events in insurance and finance.
- Dependent risks and extremes in insurance and finance.
- Heavy-tailed distributions in insurance, finance, and risk management.
Articles
- Chen,Y.;Liu,J.;An Asymptotic Result on Catastrophe Insurance Losses (2023+). North American Actuarial Journal. DOI: 10.1080/10920277.2023.2216764.
- Liu, J.; Shushi, T.; Asymptotics of the Loss Based Tail Risk Measures in the presence of Extreme risks (2023+). Eur. Actuar. J. DOI: 10.1007/s13385-023-00361-5
- Gong, Y.; Liu, J.; Yang, Y.; Asymptotics for VaR and CTE of total aggregate losses in a multivariate operational risk cell model, working paper.
- Liu, J.; Yi, Q.; Asymptotics for the conditional Higher Moment coherent risk measure with Weak Contagion (2023+), working paper.
- Chen, Y.; Liu,J.; Asymptotics for Risk Capital Allocations based on the Higher Moment Risk Measure (2023+), working paper.
- Chen, Y.; Liu, J.; Yang, Y.; Ruin under Light-tailed or Moderately Heavy-tailed Insurance Risks Interplayed with Financial Risks. Methodology & Computing in Applied Probability (2023). 25, 14 (2023). https://doi.org/10.1007/s11009-023-10008-3.
- Yang, Y.; Gong, Y.;Liu,J.; Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses, Journal of Operational Risk (2023), DOI: 10.21314/JOP.2022.028.
- Chen, Y.; Liu, J.; An asymptotic study of systemic expected shortfall and marginal expected shortfall. Insurance: Mathematics and Economics, 105 (2022), 238-251.
- Ling, C., Liu, J. Extremes for a general contagion risk measure. Eur. Actuar. J. (2022). https://doi.org/10.1007/s13385-021-00301-1
- Liu, J.; Yang, Y.; Asymptotics for Systemic Risk with Dependent Heavy-tailed Losses. ASTIN Bulletin (2021), 51(2), 571-605. doi:10.1017/asb.2021.11
- Gong, Y.;Yang, Y.; Liu, J.; On the Kesten-Type Inequality for Randomly Weighted Sums With Applications to an Operational Risk Model. Filomat (2021). 35(6):1879-1888 DOI:10.2298/FIL2106879G
- Ling, C.; Liu, J. Extreme Risk Contagion Under Heavy-tailedness and Tail dependence (2021), Submitted and Under Review.
- Yang, Y., Wang, K., Liu, J., Zhang, Z. Asymptotics for a bidimensional risk model with two geometric Lévy price processes, Journal of Industrial and Management Optimization (2019), 15(2): 481-505. doi: 10.3934/jimo.2018053
- Liu, J.; Yang, Y. Infinite-time Absolute Ruin in Dependent Renewal Risk Model with Constant Force of Interest, Stochastic Models 33 (2017), 97–115. DOI: 10.1080/15326349.2016.1216798.
- Chen, Y.; Liu, J.; Liu, F. Ruin with insurance and financial risks following the least risky FGM dependence structure. Insurance: Mathematics and Economics, 62 (2015), 98–106.
Conference presentations
- The Second Workshop on Heavy-Tailed Models and Their Applications, Soochow University, China, Contributed talk: "Ruin with Insurance and Financial Risks Following the Least Risky Dependence Structure" March 2014
- Conference in Actuarial Science and Finance on Samos, Greece, Contributed talk: "Ruin with Insurance and Financial Risks Following a Special Dependence Structure" May 2014
- The 18th International Congress on Insurance: Mathematics and Economics, Shanghai, China, Contributed talk: "Ruin with Dependent Insurance and Financial Risks From light tails to Heavy tails" July 2014
- The 19th International Congress on Insurance: Mathematics and Economics, Liverpool, UK, Contributed talk: "Infinite-time Absolute Ruin in Dependent Renewal Risk Model with Constant Force of Interest" June 2015
- The workshop on New Direction in Risk Theory, Nanjing, China, invited talk: "Ruin with Dependent Insurance and Financial Risks in a Discrete-time annuity-immediate Risk Model" Nov 2015
- The 9th Conference in Actuarial Science and Finance on Samos, University of the Aegean, Samos, Greece, Contributed talk:" Ruin with Dependent Insurance and Financial Risks in a Discrete-time annuity-immediate Risk Model "May 2016
- The 10th International Conference on Extreme Value Analysis (EVA), Delft University of Technology, Delft, The Netherlands, Contributed talk "Ruin with Dependent Insurance and Financial Risks in a Discrete-time Risk Model with investment "June 2017
- The 21st International Congress on Insurance: Mathematics and Economics (IME), Vienna University of Technology, Vienna, Austria, Contributed talk: " Precise Estimates for the ruin probability with Dependent Insurance and Financial risks"July 2017
- The 4th International Workshop on Statistical Modeling of Heavy-Tail Phenomena with Applications, Xi’an Jiaotong-Liverpool University, Suzhou, Contributed talk:"Asymptotics for Systemic Risk with Dependent Heavy-tailed losses"June 2018
- International Workshop on Risks in Insurance and Finance, Northwest Normal University, Lanzhou, China, Invited talk:"Asymptotic analysis of the Systemic Risk in the Presence of Multivariate Regular Variation" June, 2018
- The 22nd International Congress on Insurance: Mathematics and Economics (IME), UNSW Sydney, Sydney, Australia, Contributed talk:"Asymptotics for Systemic Risk with Dependent Heavy-tailed losses" July 2018
- July 2019, The 23nd International Congress on Insurance: Mathematics and Economics (IME), Munich, Contributed talk: Financial Risk Contagion under Extreme Risks"
- July 2021, virtual 24th International Congress on Insurance: Mathematics and Economics, Contributed talk: Extremes for a general contagion risk measure"
Grants
- 2023-2026 University Research Enhancement Fund (REF), Interplay of Heavy-tailedness and Tail dependence in extreme systemic risks: from static to dynamic evaluation, PI, REF-22-02-003, RMB 50,000.
- 2023-2025 National Natural Science Foundation of China (NSFC), Young Scientists Fund, Systemic risk Under Catastrophe Risk：An asymptotic approach, PI, 12201507, RMB 300,000.
- 2021-2023 The Natural Science Foundation of the Jiangsu Higher Education Institutions of China, General Programme, Risk Contagion under Catastrophe: Quantitative analysis and its applications in Risk Management, PI, 21KJB110019, RMB 30,000.
- 2020-2023, University's Postgraduate Research Scholarship (PGRS), Systemic risk under Extremes, PI, PGRS1912008, Full-time PhD scholarship.
- 2020, Applied Technology Research Development Project, External Grant with Ping'an Life Insurance company, Economic Scenario Generator (ESG) II, CO-PI with PI Dr Yi Hong of Xi'an Jiaotong-Liverpool University, Total Amount: 200,000 RMB
- 2019-2022, Key Programme Special Fund (KSF), Exploratory Research Programme, Economic Scenario Generator (ESG), CO-PI with PI Dr Yi Hong of Xi'an Jiaotong-Liverpool University, KSF-E-31, 200,000 RMB,
- 2019, Applied Technology Research Development Project, External Grant with Ping'an Life Insurance company, Economic Scenario Generator (ESG), CO-PI with PI Dr Yi Hong of Xi'an Jiaotong-Liverpool University, RDS10120190063, Total Amount: 400,000 RMB
- 2018-2021, XJTLU PGRS PhD scholarship , RMB 366,000
- 2018-2021 Jiangsu Science and Technology Programme, Young-Scholar Programme, CO-PI with PI Dr Xiaojun Zhu of Xi’an Jiaotong-Liverpool University.
- 2017-2020 University’s Research Development Fund, RDF-17-01-21, 92,058 RMB.
Professional service activities
- Chair of the Organizing Committee of the 4th International Workshop on Statistical Modeling of Heavy-Tail Phenomena with Applications
Courses taught
- MTH 301 Final Year Project
- MTH 313 Loss Distribution
- MTH 223 Mathematical Risk Theory
- MTH 120 Theory of Interest
Professional memberships
- Fellow of The Higher Education Academy
Awards and honours
- 2023, XJTLU Research Enhancement Fund, REF-22-02-003, Project title: Interplay of Heavy-tailedness and Tail dependence in extreme systemic risks: from static to dynamic evaluation. Total Amount: 50,000, PI.
- 2022, National Natural Science Foundation of China (NFSC), 12201507, Project Title: Systemic risk Under Catastrophe Risk: An asymptotic approach Total Amount: 300,000, PI.
- 2022, National Natural Science Foundation of China (NFSC), 72171055, Project Title: Theory of A Two-Step Extreme Quantile Regression Model with Applications in Insurance Rate Making Total Amount: 490,000 ,CI (with PI Prof. Yanxi Hou at Fudan University).
- 2021, Natural Science Foundation of Jiangsu Higher Education Institutions, No. 21KJB1100, Project Title: Measuring Tail Operational Risk under Extreme Value Theory. Total Amount: 30,000, PI.
- 2021, XJTLU Postgraduate Research Scholarship (PGRS), PGRS2012012,Project Title: Measuring Tail Operational Risk under Extreme Value Theory. PI.
- 2020, XJTLU Postgraduate Research Scholarship (PGRS), PGRS1912008, Project Title: Systemic risk under Extremes. PI.
- 2017, XJTLU Research Development Fund (RDF) & Postgraduate Research Scholarship (PGRS), RDF-17-01-21, Project Title: A Multifaceted Study of Quantitative Risk Management: Interplay of Dependent Insurance and Financial Risks. Total Amount: 92,058 RMB. PI.
- 2017, SEID Key Educator.
- 2013-2015, Hong Kong Graduate Association Awards.
- 2017, Jiangsu High-level Innovative and Entrepreneurship Talent Introduction (Chuang-Shuang) Plan.

电话
+86 (0)51281884732
Email
JIAJUN.LIU@xjtlu.edu.cn
地址
MB428(SIP Campus-Mathematics Building)
Suzhou Dushu Lake Science and Education Innovation District
Suzhou Industrial Park
Suzhou
P.R.China
215123

Jiajun LiuPh.D.

Profile

Qualifications

Experience

Research interests

Articles

Conference presentations

Grants

Professional service activities

Courses taught

Professional memberships

Awards and honours