Pricing in incomplete markets
Insurance-linked securities
Credit risk
ESG investing
Jiao, Y. and Liu, H., 2025. Optimal portfolio choice with ESG considerations and asymmetric information. Quantitative Finance, 25(7), pp.1163–1176.
Lee, K., Liu, H. and Shin, Y.H., 2025. An optimal portfolio choice problem with delays. Mathematical Control and Related Fields, 15(1), pp.115–142.
Liu, H., 2025. Robust indifference valuation of catastrophe bonds. Insurance: Mathematics and Economics, 122, pp.1–10.
Liu, H. and Tang, Q., 2025. Modeling and pricing credit risk with a focus on recovery risk. Journal of Banking & Finance, 170, p.107317.
Cheung, E.C.K. and Liu, H., 2023. Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion. Probability in the Engineering and Informational Sciences, 37(2), pp.387–417.
Li, H., Liu, H., Tang, Q. and Yuan, Z., 2023. Pricing extreme mortality risk in the wake of the COVID-19 pandemic. Insurance: Mathematics and Economics, 108, pp.84–106.
Albrecher, H., Cheung, E.C.K., Liu, H. and Woo, J.-K., 2022. Bivariate Laguerre expansions and joint ruin probabilities for a two-dimensional insurance risk process. Insurance: Mathematics and Economics, 103, pp.96–118.
Liu, H., Tang, Q. and Yuan, Z., 2021. Indifference pricing of insurance-linked securities in a multi-period model. European Journal of Operational Research, 289(2), pp.793–805.
Li, X., Liu, H., Tang, Q. and Zhu, J., 2020. Liquidation risk in insurance under contemporary regulatory frameworks. Insurance: Mathematics and Economics, 93, pp.36–49.
Cheung, E.C.K., Liu, H. and Willmot, G.E., 2018. Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. Applied Mathematics and Computation, 331, pp.358–377.
Woo, J.-K. and Liu, H., 2018. Discounted aggregate claims costs until ruin in the discrete-time renewal risk model. Methodology and Computing in Applied Probability, 20, pp.1285–1318.
Cheung, E.C.K. and Liu, H., 2016. On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy. Annals of Actuarial Science, 10(2), pp.236–269.
Cheung, E.C.K., Liu, H. and Woo, J.-K., 2015. On the joint analysis of the total discounted payments to policyholders and shareholders: Dividend barrier strategy. Risks, 3(4), pp.491–513.