Dr Kob Liu

Darlithydd, Mathematics

guo.liu@abertawe.ac.uk

306
Trydydd Llawr
Y Ffowndri Gyfrifiadol
Campws y Bae

Ar gael ar gyfer Goruchwyliaeth Ôl-raddedig

Dolenni Ymchwil

Trosolwg

Rwy'n actiwari â diddordebau ymchwil mewn rheolaethau stocastig optimaidd, cynllunio cylch bywyd, polisïau buddrannau optimaidd, prosesau pwynt, a marchnadoedd ariannol heintus.

Rwy'n bwriadu cysylltu fy mhynciau ymchwil presennol â dysgu dwfn a dysgu peirianyddol.

Rwyf hefyd yn aelod o Sefydliad yr Actiwarïaid a Sefydliad CFA.

Meysydd Arbenigedd

Rheolaethau stocastig optimaidd
Cynllunio cylchoedd bywyd
Polisïau buddrannau optimaidd
Prosesau pwynt
Marchnadoedd ariannol heintus

Cyhoeddiadau

Uchafbwyntiau Ymchwil

Liu, K., Jin, Z., & Li, S. (2021). Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. Insurance: Mathematics and Economics, 101, 508-524.
https://doi.org/10.1016/j.insmatheco.2021.09.004, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62809
http://dx.doi.org/10.1016/j.insmatheco.2021.09.004
Liu, K., Jin, Z., & Li, S. (2021). Household Lifetime Strategies under a Self-Contagious Market. European Journal of Operational Research, 288(3), 935-952.
https://doi.org/10.1016/j.ejor.2020.05.060, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62808
http://dx.doi.org/10.1016/j.ejor.2020.05.060
Jin, Z., Liu, K., & Yang, H. (2020). Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. European Journal of Operational Research, 280(3), 1130-1143.
https://doi.org/10.1016/j.ejor.2019.07.066, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62807
http://dx.doi.org/10.1016/j.ejor.2019.07.066
Liu, K., Liu, G., Jin, Z., Li, S., & Zhang, J. (2022). Stochastic asset allocation and reinsurance game under contagious claims. Finance Research Letters, 49, 103123
https://doi.org/10.1016/j.frl.2022.103123, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62810
http://dx.doi.org/10.1016/j.frl.2022.103123

Holl Ymchwil

Erthyglau Cylchgronau

Liu, K., Liu, G., Jin, Z., Li, S., & Zhang, J. (2022). Stochastic asset allocation and reinsurance game under contagious claims. Finance Research Letters, 49, 103123
https://doi.org/10.1016/j.frl.2022.103123, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62810
http://dx.doi.org/10.1016/j.frl.2022.103123
Liu, K., Jin, Z., & Li, S. (2021). Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. Insurance: Mathematics and Economics, 101, 508-524.
https://doi.org/10.1016/j.insmatheco.2021.09.004, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62809
http://dx.doi.org/10.1016/j.insmatheco.2021.09.004
Liu, K., Jin, Z., & Li, S. (2021). Household Lifetime Strategies under a Self-Contagious Market. European Journal of Operational Research, 288(3), 935-952.
https://doi.org/10.1016/j.ejor.2020.05.060, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62808
http://dx.doi.org/10.1016/j.ejor.2020.05.060
Jin, Z., Liu, K., & Yang, H. (2020). Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. European Journal of Operational Research, 280(3), 1130-1143.
https://doi.org/10.1016/j.ejor.2019.07.066, SU Repository: https://cronfa.swan.ac.uk/Record/cronfa62807
http://dx.doi.org/10.1016/j.ejor.2019.07.066

Modiwlau a Addysgir

MA-345 Cashflows and Interest Rates

This module will introduce students to sections 1, 2 and 3 of the Institute and Faculty of Actuaries CM1 syllabus. This module covers a detailed analysis of cashflows and interest rates with actuarial applications.
MA-346 Assurance and annuity

This module will introduce students to sections 4, 5 and 6 of the Institute and Faculty of Actuaries CM1 syllabus. This module covers the actuarial pricing structure of life assurance and annuity contracts, including a variety of payment and premium structures as well as two-life policies.
MA-M45 Cashflows and Interest Rates

This module covers a detailed analysis of cashflows and interest rates with actuarial applications. It covers material relating to sections 1, 2 and 3 of the Institute and Faculty of Actuaries CM1 syllabus.
MA-M46 Assurance and Annuity

This module covers the actuarial pricing structure of life assurance and annuity contracts, including a variety of payment and premium structures as well as two-life policies. It covers material related to sections 4, 5 and 6 of the Institute and Faculty of Actuaries CM1 syllabus.

Cyflwyniadau, Darlithoedd a Chynadleddau a wahoddwyd

Optimal dividend policy under a contagious insurance market until the bankruptcy

Gorffennaf 2022

Rhithwir
Optimal portfolio choice and dividend strategies under contagious financial markets

Gorffennaf 2022

Rhithwir
Household lifetime strategies under a self-contagious market

Ebrill 2020

Rhithwir
Asset allocation, consumption, and life insurance purchase with stochastic income in a self-contagious market

Tachwedd 2019

Melbourne

Dr Kob Liu

Cyfeiriad ebost

Dolenni Ymchwil

Trosolwg

Meysydd Arbenigedd

Cyhoeddiadau

Uchafbwyntiau Ymchwil

Holl Ymchwil

Erthyglau Cylchgronau

Modiwlau a Addysgir

MA-345 Cashflows and Interest Rates

MA-346 Assurance and annuity

MA-M45 Cashflows and Interest Rates

MA-M46 Assurance and Annuity

Cyflwyniadau, Darlithoedd a Chynadleddau a wahoddwyd

Optimal dividend policy under a contagious insurance market until the bankruptcy

Optimal portfolio choice and dividend strategies under contagious financial markets

Household lifetime strategies under a self-contagious market

Asset allocation, consumption, and life insurance purchase with stochastic income in a self-contagious market