Dr Peng Liu
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Email
peng.liu@essex.ac.uk -
Telephone
+44 (0) 1206 876438
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Location
2.526, Colchester Campus
Profile
Qualifications
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PhD Nankai University, (2015)
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Master Nankai University, (2012)
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Bachelor Zhengzhou University, (2009)
Appointments
University of Essex
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Lecturer, School of Mathematics, Statistics and Actuarial Science, University of Essex (1/7/2020 - present)
Other academic
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Postdoctoral Fellow, University of Waterloo, University of Waterloo (1/10/2018 - 30/6/2020)
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Senior SNSF Researcher, University of Lausanne, University of Lausanne (1/7/2016 - 30/9/2018)
Research and professional activities
Research interests
Optimal reinsurance and decentralized insurance
Optimal reinsurance, peer to peer risk sharing, decentralized insurance
Quantitative Risk Management (QRM)
Risk measures, risk sharing and risk aggregation with model uncertainty.
Extreme Value Theory
Apply extreme value theory in actuarial science and queueing systems.
Mathematical Finance
Portfolio selection with model uncertainty
Teaching and supervision
Current teaching responsibilities
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Finance and Financial Reporting (MA211)
Publications
Publications (6)
Assa, H. and Liu, P., (2024). Factor risk measures
Han, X. and Liu, P., (2024). Robust Lambda-quantiles and extreme probabilities
Liu, P., Tsanakas, A. and Wei, Y., (2024). Risk sharing with Lambda value at risk under heterogeneous beliefs
Liu, P., Mao, T. and Wang, R., (2024). Quantiles under ambiguity and risk sharing
Chambers, CP., Liu, P. and Wang, R., (2023). A duality between utility transforms and probability distortions
Bai, L., Debicki, K. and Liu, P., (2021). Extremes of Gaussian random fields with non-additive dependence structure.
Journal articles (27)
Liu, P., (2025). Risk sharing with Lambda value at risk. Mathematics of Operations Research. 50 (1), 313-333
Fadina, T., Hu, J., Liu, P. and Xia, Y., (2024). Optimal reinsurance with multivariate risks and dependence uncertainty. European Journal of Operational Research. 321 (1), 231-242
Chen, Y., Liu, P., Tan, KS. and Wang, R., (2023). Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence. Statistica Sinica. 33 (2), 851-872
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
Debicki, K., Hashorva, E., Liu, P. and Michna, Z., (2023). Sojourn times of Gaussian random fields. ALEA : Latin American Journal of Probability and Mathematical Statistics. 20 (1), 249-289
Debicki, K., Hashorva, E. and Liu, P., (2023). Sojourns of fractional Brownian motion queues: transient asymptotics. Queueing Systems. 105 (1-2), 139-170
Chen, Y., Liu, P., Liu, Y. and Wang, R., (2022). Ordering and Inequalities for Mixtures on Risk Aggregation. Mathematical Finance. 32 (1), 421-451
Liu, P., Schied, A. and Wang, R., (2021). Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research. 46 (4), 1490-1512
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
Dȩbicki, K., Liu, P. and Michna, Z., (2020). Sojourn Times of Gaussian Processes with Trend. Journal of Theoretical Probability. 33 (4), 2119-2166
Ji, L., Liu, P. and Robert, S., (2019). Tail asymptotic behavior of the supremum of a class of chi-square processes. Statistics and Probability Letters. 154, 108551-108551
Bai, L. and Liu, P., (2019). Drawdown and Drawup for Fractional Brownian Motion with Trend. Journal of Theoretical Probability. 32 (3), 1581-1612
Cheng, D. and Liu, P., (2019). Extremes of spherical fractional Brownian motion. Extremes. 22 (3), 433-457
Dȩbicki, K. and Liu, P., (2019). The time of ultimate recovery in Gaussian risk model. Extremes. 22 (3), 499-521
Dȩbicki, K. and Liu, P., (2018). Extremes of nonstationary Gaussian fluid queues. Advances in Applied Probability. 50 (3), 887-917
Bai, L., Dȩbicki, K. and Liu, P., (2018). Extremes of vector-valued Gaussian processes with Trend. Journal of Mathematical Analysis and Applications. 465 (1), 47-74
Kosiński, KM. and Liu, P., (2018). Sample path properties of reflected Gaussian processes. Latin American Journal of Probability and Mathematical Statistics. 15 (1), 453-453
Liu, P. and Ji, L., (2017). Extremes of locally stationary chi-square processes with trend. Stochastic Processes and their Applications. 127 (2), 497-525
Dȩbicki, K., Hashorva, E. and Liu, P., (2017). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances in Applied Probability. 49 (4), 1037-1066
Dȩbicki, K., Liu, P., Mandjes, M. and Sierpińska-Tułacz, I., (2017). Lévy-driven GPS queues with heavy-tailed input. Queueing Systems. 85 (3-4), 249-267
Dȩbicki, K., Hashorva, E. and Liu, P., (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes. 20 (2), 333-392
Dȩbicki, K., Hashorva, E. and Liu, P., (2017). Extremes ofγ-reflected Gaussian processes with stationary increments. ESAIM: Probability and Statistics. 21, 495-535
Liu, P., Zhang, C. and Ji, L., (2017). A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters. 120, 28-33
Liu, P. and Ji, L., (2016). Extremes of chi-square processes with trend. Probability and Mathematical Statistics. 36, 1-20
Dębicki, K. and Liu, P., (2016). Extremes of stationary Gaussian storage models. Extremes. 19 (2), 273-302
Liu, P., Hashorva, E. and Ji, L., (2015). On the γ-reflected processes with fBm input*. Lithuanian Mathematical Journal. 55 (3), 402-412
Shi, Y., Liu, P. and Zhang, C., (2013). On the compound Poisson risk model with dependence and a threshold dividend strategy. Statistics & Probability Letters. 83 (9), 1998-2006
Books (1)
Assa, H., Liu, P. and Wang, S., (2025). Quantitative Risk Management in Agricultural Business. Springer. 978-3-031-80574-5
Book chapters (1)
Assa, H., Wang, S. and Liu, P., (2025). Introduction to Quantitative Risk Management and Risk in Agricultural Business: Cutting Edge Quantitative Concepts and Methodologies. In: Quantitative Risk Management in Agricultural Business. Editors: Assa, H., Liu, P. and Wang, S., . Springer. 3031805739. 9783031805738
