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Jiajun Liu

About Jiajun Liu

Jiajun Liu, With an exceptional h-index of 4 and a recent h-index of 4 (since 2020), a distinguished researcher at Xi'an Jiaotong-Liverpool University, specializes in the field of Heavy-tailed distribution；Extreme Value Theory in Finance and Insurance.

His recent articles reflect a diverse array of research interests and contributions to the field:

Asymptotics of the loss-based tail risk measures in the presence of extreme risks

An Asymptotic Result on Catastrophe Insurance Losses

Measuring tail operational risk in univariate and multivariate models with extreme losses

Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks

An asymptotic study of systemic expected shortfall and marginal expected shortfall

Extremes for a general contagion risk measure

Asymptotics for systemic risk with dependent heavy-tailed losses

On the Kesten-type inequality for randomly weighted sums with applications to an operational risk model

Jiajun Liu Information

University

Position

___

Citations(all)

86

Citations(since 2020)

72

Cited By

19

hIndex(all)

4

hIndex(since 2020)

4

i10Index(all)

2

i10Index(since 2020)

1

Email

University Profile Page

Google Scholar

Jiajun Liu Skills & Research Interests

Heavy-tailed distribution；Extreme Value Theory in Finance and Insurance

Top articles of Jiajun Liu

Asymptotics of the loss-based tail risk measures in the presence of extreme risks

European Actuarial Journal

2023/8/30

Jiajun Liu
Jiajun Liu

H-Index: 1

An Asymptotic Result on Catastrophe Insurance Losses

North American Actuarial Journal

2023/7/3

Yiqing Chen
Yiqing Chen

H-Index: 1

Jiajun Liu
Jiajun Liu

H-Index: 1

Measuring tail operational risk in univariate and multivariate models with extreme losses

Journal of Operational Risk

2023/3/21

Yang Yang
Yang Yang

H-Index: 9

Jiajun Liu
Jiajun Liu

H-Index: 1

Ruin under Light-Tailed or Moderately Heavy-Tailed Insurance Risks Interplayed with Financial Risks

Methodology and Computing in Applied Probability

2023/3

Yiqing Chen
Yiqing Chen

H-Index: 1

Jiajun Liu
Jiajun Liu

H-Index: 1

Yang Yang
Yang Yang

H-Index: 9

An asymptotic study of systemic expected shortfall and marginal expected shortfall

Insurance: Mathematics and Economics

2022/7/1

Yiqing Chen
Yiqing Chen

H-Index: 1

Jiajun Liu
Jiajun Liu

H-Index: 1

Extremes for a general contagion risk measure

European Actuarial Journal

2022/1/10

Jiajun Liu
Jiajun Liu

H-Index: 1

Asymptotics for systemic risk with dependent heavy-tailed losses

ASTIN Bulletin: The Journal of the IAA

2021/5

Jiajun Liu
Jiajun Liu

H-Index: 1

Yang Yang
Yang Yang

H-Index: 9

On the Kesten-type inequality for randomly weighted sums with applications to an operational risk model

Filomat

2021

Yang Yang
Yang Yang

H-Index: 9

Jiajun Liu
Jiajun Liu

H-Index: 1

A Note on the Kesten-Type Inequality for Sums of Randomly Weighted Dependent Sub-exponential Random Variables

Available at SSRN 3607637

2020/4/15

Yang Yang
Yang Yang

H-Index: 9

Jiajun Liu
Jiajun Liu

H-Index: 1

Asymptotics for VaR and CTE of total aggregate losses in a bivariate operational risk cell model

2020/1/12

Yang Yang
Yang Yang

H-Index: 9

Jiajun Liu
Jiajun Liu

H-Index: 1

See List of Professors in Jiajun Liu University(Xi'an Jiaotong-Liverpool University)