Jiajun Liu

Profile

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, 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 Statistics and Actuarial Science, School of Science, 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 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
    • Yang, Y.; Gong, Y.;Liu,J.; Measuring Tail Operational Risk in Univariate and Multivariate Models under Extreme Losses, Journal of Operational Risk (2022+), Accepted.
    • 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.; A note on the Kesten-type inequality for sums of randomly weighted dependent subexponential random variables. Filomat (2021). 35(6):1879-1888 DOI:10.2298/FIL2106879G
    • Chen, Y.; Liu, J.; Yang Y.; Interplay of Insurance and Financial Risks with Investments (2019). Submitted and Under Review.
    • 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 L.evy 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
  • Grants

    • 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

    • 2017, SEID Key Educator.
    • 2013-2015, Hong Kong Graduate Association Awards.
    • 2017, Jiangsu High-level Innovative and Entrepreneurship Talent Introduction (Chuang-Shuang) Plan.
  • Telephone

    +86 (0)512 +86512-8188-4732
  • Email

    JIAJUN.LIU@xjtlu.edu.cn
  • Address

    BB236
    Suzhou Dushu Lake Science and Education Innovation District
    Suzhou Industrial Park
    Suzhou
    P.R.China
    215123