Jiajun Liu
Xi’an Jiaotong-Liverpool University
Dr Jiajun Liu is an Assistant Professor in Actuarial Science at the Department of Financial and Actuarial Mathematics, Xi’an Jiaotong-Liverpool University (XJTLU). Dr Liu’s research focuses on extreme value theory for insurance, finance and risk management. He has been working on various topics from the interdisciplinary fields of insurance, finance, applied probability, modelling and measuring systemic risks, measuring and managing catastrophe risks, operational risk under extreme, and weather/environment risks and insurance. His research has appeared in journals such as ASTIN Bulletin, Insurance: Mathematics and Economics, Stochastic Models, and Journal of Industrial and Management Optimization. Before joining XJTLU, Dr Liu earned his PhD in Mathematical Science (subtrack: Actuarial Science and Statistics) from The University of Liverpool and a BSc from The University of Liverpool.
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Articles by Jiajun Liu
Measuring tail operational risk in univariate and multivariate models with extreme losses
The authors consider operational risk models and derive limit behaviors for the value-at-risk and conditional tail expectation of aggregate operational risks in such models.