Dr Peng Liu
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Email
peng.liu@essex.ac.uk -
Telephone
+44 (0) 1206 874589
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Location
2.522, Colchester Campus
Research and professional activities
Research interests
Actuarial Science
Ruin theory and reinsurance
Risk Management
Risk allocation, robust risk aggregation, and risk measures.
Extreme Value Theory
Apply extreme value theory in actuarial science and queueing systems.
Teaching and supervision
Current teaching responsibilities
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Survival Analysis (MA216)
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Stochastic Processes (MA319)
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Capstone Project: Mathematics (MA829)
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Capstone Project: Mathematics (MA830)
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Capstone Project: Mathematics (MA831)
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Capstone Project: Data Science and Analytics (MA838)
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Advanced Capstone Project: Actuarial Science, Data Science or Mathematics (MA930)
Current supervision
Publications
Journal articles (25)
Fadina, T., Liu, P. and Wang, R., One axiom to rule them all: A minimalist axiomatization of quantiles. SIAM Journal on Financial Mathematics
Bai, L., Debicki, K. and Liu, P., Extremes of Gaussian random fields with non-additive dependence structure.
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
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
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