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
糖心Vlog
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Lecturer, School of Mathematics, Statistics and Actuarial Science, 糖心Vlog (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). . Mathematics of Operations Research. 50 (1), 313-333
Fadina, T., Hu, J., Liu, P. and Xia, Y., (2024). . European Journal of Operational Research. 321 (1), 231-242
Chen, Y., Liu, P., Tan, KS. and Wang, R., (2023). . Statistica Sinica. 33 (2), 851-872
Fadina, T., Liu, P. and Wang, R., (2023). . SIAM Journal on Financial Mathematics. 14 (2), 644-662
Debicki, K., Hashorva, E., Liu, P. and Michna, Z., (2023). . ALEA : Latin American Journal of Probability and Mathematical Statistics. 20 (1), 249-289
Debicki, K., Hashorva, E. and Liu, P., (2023). . Queueing Systems. 105 (1-2), 139-170
Chen, Y., Liu, P., Liu, Y. and Wang, R., (2022). . Mathematical Finance. 32 (1), 421-451
Liu, P., Schied, A. and Wang, R., (2021). . Mathematics of Operations Research. 46 (4), 1490-1512
Liu, P., Wang, R. and Wei, L., (2020). . Insurance: Mathematics and Economics. 91, 144-154
D醛bicki, K., Liu, P. and Michna, Z., (2020). . Journal of Theoretical Probability. 33 (4), 2119-2166
Ji, L., Liu, P. and Robert, S., (2019). . Statistics and Probability Letters. 154, 108551-108551
Bai, L. and Liu, P., (2019). . Journal of Theoretical Probability. 32 (3), 1581-1612
Cheng, D. and Liu, P., (2019). . Extremes. 22 (3), 433-457
De抬bicki, K. and Liu, P., (2019). . Extremes. 22 (3), 499-521
D醛bicki, K. and Liu, P., (2018). Extremes of nonstationary Gaussian fluid queues. Advances in Applied Probability. 50 (3), 887-917
Bai, L., D醛bicki, K. and Liu, P., (2018). Extremes of vector-valued Gaussian processes with Trend. Journal of Mathematical Analysis and Applications. 465 (1), 47-74
Kosi艅ski, 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
D醛bicki, K., Hashorva, E. and Liu, P., (2017). Uniform tail approximation of homogenous functionals of Gaussian fields. Advances in Applied Probability. 49 (4), 1037-1066
D醛bicki, K., Liu, P., Mandjes, M. and Sierpi艅ska-Tu艂acz, I., (2017). L茅vy-driven GPS queues with heavy-tailed input. Queueing Systems. 85 (3-4), 249-267
De抬bicki, K., Hashorva, E. and Liu, P., (2017). Extremes of Gaussian random fields with regularly varying dependence structure. Extremes. 20 (2), 333-392
D醛bicki, K., Hashorva, E. and Liu, P., (2017). Extremes of纬-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). . Probability and Mathematical Statistics. 36, 1-20
D臋bicki, K. and Liu, P., (2016). . Extremes. 19 (2), 273-302
Liu, P., Hashorva, E. and Ji, L., (2015). On the 纬-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). . 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
