Projects per year
Personal profile
Personal profile
Dr. Jiajun Liu is an Associate 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.
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.
Experience
2023 to Present, Associate Professor in Actuarial Science, Department of Financial and Actuarial Mathematics, Xi’an Jiaotong-Liverpool University, China.
2016 to 2023, Assistant Professor in Actuarial Science, Department of Financial and Actuarial Mathematics, Xi’an Jiaotong-Liverpool University, China.
Teaching
MTH 301 Final Year Project
MTH 313 Loss Distribution
MTH 223 Mathematical Risk Theory
MTH 120 Theory of Interest
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.
Education/Academic qualification
Certificate in Professional Studies, Merit, The University of Liverpool, -2018
B.Sc , The University of Liverpool, - 2012
Ph.D. , The University of Liverpool, - 2015
Person Types
- Staff
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Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
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Interplay of Heavy-tailedness and Tail dependence in extreme systemic risks: from static to dynamic evaluation
Liu, J., Chen, Y., Li, W. & Yi, Q.
1/07/23 → 30/06/26
Project: Internal Research Project
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Systemic risk Under Catastrophe Risk：An asymptotic approach
1/01/23 → 31/12/25
Project: Governmental Research Project
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Empirical asset pricing using machine learning and deep learning techniques
Ji, Q., Ding, X., Jiang, H. & Liu, J.
1/09/22 → 31/08/25
Project: Internal Research Project
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Risk Contagion under Catastrophe:?Quantitative?analysis and its applications in Risk Management
Liu, J., Wang, Y. & Gong, Y.
1/10/21 → 30/09/23
Project: Governmental Research Project
Research output
- 12 Article
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Asymptotic capital allocation based on the higher moment risk measure
Chen, Y. & Liu, J., 2024, (Accepted/In press) In: European Actuarial Journal.Research output: Contribution to journal › Article › peer-review
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Asymptotics of the Loss Based Tail Risk Measures in the presence of Extreme risks
Liu, J. & Shushi, T., Apr 2024, In: European Actuarial Journal. 14, 1, p. 205-224 20 p.Research output: Contribution to journal › Article › peer-review
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An Asymptotic Result on Catastrophe Insurance Losses
Chen, Y. & Liu, J., 2023, (Accepted/In press) In: North American Actuarial Journal.Research output: Contribution to journal › Article › peer-review
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Measuring Tail Operational Risk in Univariate and Multivariate Models with Extreme Losses
Yang, Y., Gong, Y. & Liu, J., 2023, In: Journal of Operational Risk.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks
Chen, Y., Liu, J. & Yang, Y., Mar 2023, In: Methodology and Computing in Applied Probability. 25, 1, 14.Research output: Contribution to journal › Article › peer-review
2 Citations (Scopus)
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Risk Capital Allocations based on the Higher Moment risk measure in the presence of Extreme Risks
Jiajun Liu (Speaker)
3 Jul 2023 → 8 Jul 2023Activity: Talk or presentation › Presentation at conference/workshop/seminar
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Systemic risk in the presence of Extreme risks
Jiajun Liu (Speaker)
Dec 2022Activity: Talk or presentation › Invited talk
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Systemic Risk under Extremes
Jiajun Liu (Speaker)
Sept 2022Activity: Talk or presentation › Invited talk
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Systemic Risk under in the presence of Extreme Risks
Jiajun Liu (Speaker)
19 Aug 2022 → 21 Aug 2022Activity: Talk or presentation › Invited talk
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An asymptotic study of systemic expected shortfall and marginal expected shortfall
Jiajun Liu (Speaker)
12 Jul 2022 → 15 Jul 2022Activity: Talk or presentation › Presentation at conference/workshop/seminar