Haiyan Liu

Assistant Professor of Actuarial Science

Department of Mathematics

Department of Statistics and Probability

Michigan State University

Contact

Office: C344 Wells Hall Email: liuhaiy1@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: Professor Jun Cai and Professor Ruodu Wang

  • M.S. Probability and Statistics, Central South University, China June 2013

Supervisor: Professor 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

Publications

8. (2022) Optimal reinsurance with model uncertainty and Stackelberg game. Scandinavian Actuarial Journal, 2022(1), 29-48(with Joshua Gavagan, Liang Hu, Gee Lee and Anna Weixel)

7. (2020) Weighted comonotonic risk sharing under heterogeneous beliefs. ASTIN Bulletin, 50(2), 647-673.

6. (2020) Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, Series B, 181, 319-347(with Paul Embrechts, Tiantian Mao and Ruodu Wang)

5. (2018) The average risk sharing problem based on risk measure and expected utility theory. Insurance: Mathematics and Economics, 83, 170-179 (with Jiuyun Hu and Tiantian Mao)

4. (2018) Quantile-based risk sharing. Operations Research, 66(4), 936-949 (with Paul Embrechts and Ruodu Wang)

3. (2018) Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance, 28(1), 29-49 (with Jun Cai and Ruodu Wang)

2. (2017) Pareto-optimal reinsurance arrangements under general model settings. Insurance: Mathematics and Economics,77, 24-37 (with Jun Cai and Ruodu Wang)

1. (2017) Collective risk models with dependence uncertainty. ASTIN Bulletin, 47(2), 361-389 (with Ruodu Wang)

Presentations

  • The 54th Actuarial Research Conference, Indianapolis, USA, August 2019

  • China International Conference On Insurance And Risk Management, Chengdu, China, July 2019

  • The 2nd International Workshop on Optimal (Re)Insurance, Beijing, China, July 2018 (invited)

  • China Institute for Actuarial Science, Central University of Finance and Economics, China, September 2017 (invited)

  • Department of Statistics and Finance, University of Science and Technology of China (USTC), China, 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), China, August 2015 (invited)

  • The 50th Actuarial Research Conference, Toronto, Canada, August 2015

Teaching Experience

  • Teaching at MSU: MTH 361, MTH360, STT 455, STT 442

  • Teaching Assistant at the University of Waterloo Fall 2013- April 2017