Research interests

• Pricing in incomplete markets

• Insurance-linked securities

• Credit risk

Publications

1. 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): 387–417.

2. 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: 84–106.

3. 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: 96–118.

4. 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): 793–805.

5. Li, X., Liu, H., Tang, Q. and Zhu, J., 2020. Liquidation risk in insurance under contemporary regulatory frameworks. Insurance: Mathematics and Economics 93: 36–49.

6. 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: 358–377.

7. 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 1–34.

8. 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): 236–269.

9. 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): 491–513.