Haiyan Liu

Assistant Professor of Actuarial Science

Department of Mathematics

Department of Statistics and Probability

Michigan State University

Contact

Office: C344 Wells Hall                 Email: hliu@math.msu.edu

Department of Mathematics

Michigan State University

619 Red Cedar Rd

East Lansing, MI 48824

Education

  • Ph.D. Actuarial Science, University of Waterloo, Canada                                                           April 2017

        Supervisors: Jun Cai and Ruodu Wang

  • M.S. Probability and Statistics, Central South University, China                                                 June 2013
        Supervisor: Zaiming Liu
  • B.S. Mathematics and Applied Mathematics, Central South University, China                           June 2011       

Research Interests

  • Risk measurement and management
  • Reinsurance
  • Applied probability
  • Model uncertainty

Manuscripts

  • Liu, H. (2018). Weighted comonotonic risk sharing under heterogeneous beliefs. Submitted.

Publications

5. Embrechts, P., Liu, H., Mao, T. and Wang, R. (2018). Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, Series B, to appear.

4. Embrechts, P., Liu, H. and Wang, R. (2018). Quantile-based risk sharing. Operations Researchto appear.

3. Cai, J., Liu, H. and Wang, R. (2018). Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance28(1), 29-49.

2. Cai, J., Liu, H. and Wang, R. (2017). Pareto-optimal reinsurance arrangements under general model settings. Insurance: Mathematics and Economics,77, 24-37.

1. Liu, H. and Wang, R. (2017). Collective risk models with dependence uncertainty. ASTIN Bulletin47(2), 361-389.

Presentations

  • The  2nd International Workshop on Optimal (Re)Insurance, Beijing, China, July 2018 (invited)
  • China Institute for Actuarial Science, Central University of Finance and Economics, September 2017 (invited) 
  • Department of Statistics and Finance, University of Science and Technology of China (USTC),  September 2017 (invited)
  • The 21st International Congress on Insurance: Mathematics and Economics, Vienna, Austria, July 2017
  • The 20th International Congress on Insurance: Mathematics and Economics, Atlanta, USA, July 2016
  • The 44th Annual Meeting of the Statistical Society of Canada, St. Catharines, Canada, May 2016 (invited)            
  • Department of Statistics and Finance, University of Science and Technology of China (USTC),  August 2015 (invited)
  • The 50th Actuarial Research Conference, Toronto, Canada, August 2015                                                                                       

Teaching Experience

  •  MTH 361 Financial Mathematics for Actuaries I                                                                                       Spring 2018 
  • Teaching Assistant at the University of Waterloo                                                                         Fall 2013- April 2017