Haiyan Liu
Assistant Professor of Actuarial Science
Department of Statistics and Probability
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