I am working on extreme value theory of Gaussian and Lévy processes with their applications in insurance and queueing systems. I have published several papers in this subject. I am also working on risk measures and risk management.
Google Scholar: https://scholar.google.com/citations?user=xoknaxIAAAAJ&hl=en
Latest papers posted online:
30. Assa, H., and Liu, P. (2024). Factor risk measures.
29. Chambers C.P., Liu, P, and Wang, R. (2023). A duality between utility transforms and probability distortions.
28. Fadina, T., Liu, P., Hu, J., and Xia, Y. (2023). Optimal reinsurance with multivariate risks and dependence uncertainty.
27. Bai, L., Debicki, K., and Liu, P. (2022). Extremes of Gaussian random fields with non-additive dependence structure.
Referred Publications:
26. Liu, P. (2024). Risk sharing with Lambda value at Risk.
Mathematics of Operations Research. Accepted.
25. Debicki, K., Hashorva, E., and Liu, P. (2023). Sojourns of fractional Brownian motion queues: transient asymptotics.
Queueing Systems, 105: 139-170.
24. Fadina,T., Liu, P., and Wang, R. (2023). One axiom to rule them all: A minimalist axiomatization of quantiles.
SIAM Journal on Financial Mathematics, 14(2): 644-662.
23. Chen, Y., Liu, P., Tan, K.S., and Wang, R. (2023). Trade-off between validity and efficiency of merging p-values under arbitrary dependence.
Statistica Sinica, 33(2): 851-872.
22. Debicki, K., Hashorva, E., Liu, P., and Michna, Z. (2023). Sojourn times of Gaussian random fields.
ALEA, 20: 249–289.
21. Chen, Y., Liu, P., Liu, Y. and Wang, R. (2022). Ordering and inequalities for mixtures on risk aggregation.
Mathematical Finance, 32(1): 421-451.
20. Liu,P., Schied, A. and Wang, R. (2021). Distributional transforms, probability distortions, and their applications.
Mathematics of Operations Research, 46(4):1490-1512.
19. Liu,P., Wang, R. and Wei, L. (2020). Is the inf-convolution of Law-invariant Preferences Law-invariant?
Insurance: Mathematics and Economics, 91, 144-154.
18. Dębicki, K., Liu, P. and Michna, Z. (2020). Sojourn times of Gaussian processes with trends.
Journal of Theoretical Probability, 33, 2119–2166.
17. Cheng, D. and Liu, P. (2019). Extremes of spherical fractional Brownian motion.
Extremes, 22(3), 433-457.
16. Bai, L. and Liu, P. (2019). Drawdown and Drawup for fractional Brownian motion with trend.
Journal of Theoretical Probability, 32(3), 1581-1612.
15. Dębicki, K. and Liu, P. (2019). The time of ultimate recovery in Gaussian risk models.
Extremes, 22(3), 499-521.
14. Ji, L., Liu, P. and Robert, S. (2019). Tail asymptotic behavior of the supremum of a calss of chi-square processes.
Statistics and Probability Letters,
13. Dębicki, K. and Liu, P. (2018). Extremes of nonstationary Gaussian fluid queues.
Advances in Applied Probability, 50, 887-917.
12. Bai, L., Dębicki, K. and Liu, P. (2018). Extremes of vector-valued Gaussian processes with trend.
Journal of Mathematical Analysis and Applications, 465(1), 47-74.
11. Kosinski, K. and Liu, P. (2018). Sample path properties of reflected Gaussian processes.
ALEA: Latin American Journal of Probability and Mathematical Statistics, 15(1), 453-478.
10. Dębicki, K., Hashorva, E. and Liu, P. (2017). Uniform tail approximation of homogeneous functionals of Gaussian fields.
Advances in Applied Probability, 49, 1037-1066.
9. Liu, P. and Ji, L. (2017). Extremes of locally stationary chi-square processes with trend.
Stochastic Processes and Their Applications, 127, 497-525.
8. Dębicki, K., Hashorva, E. and Liu, P.(2017). Extremes of Gaussian random fields with regularly varying dependence structure.
Extremes, 20, 333-392.
7. Dębicki, K., Liu, P., Mandjes, M. and Sierpinska-Tulacz, I. (2017). Lévy-driven GPS queues with heavy-tailed input.
Queueing Systems, 85, 249-267.
6. Dębicki, K., Hashorva, E. and Liu, P. (2017). Extremes of gamma-reflected Gaussian process with stationary increments.
ESAIM: Probability and Statistics, 21, 495-535.
5. Liu, P., Zhang, C. and Ji, L. (2017). A note on ruin problems in perturbed classical risk models.
Statistics and Probability Letters, 120, 28-33.
4. Dębicki, K. and Liu, P.(2016) Extremes of stationary Gaussian storage models.
Extremes, 19, 273-302.
3. Liu, P. and Ji, L. (2016). Extremes of chi-square processes with trend.
Probability and Mathematical Statistics, 36, 1-20.
2. Liu, P., Hashorva, E. and Ji, L. (2015). On the gamma-reflected processes with fBm input.
Lithuanian Mathematical Journal, 55, 402-414.
1. Shi, Y., Liu, P. and Zhang, C. (2013). On the compound Poisson risk model with dependence and a threshold dividend strategy.
Statistics and Probability Letter, 83, 1998-2006