Career Profile

Yang Liu is a postdoc scholar of Prof. Jose Blanchet in the Department of Management Science & Engineering at Stanford University, USA.

Prior to that, he was a postdoc fellow of Prof. Alexander Schied and Prof. Ruodu Wang in the Department of Statistics & Actuarial Science at the University of Waterloo, Canada. He received his doctoral (2021, Supervisor: Prof. Zongxia Liang) and bachelor degrees (2016) in Mathematics at Tsinghua University (THU), China.

He conducts research in mathematical finance, actuarial science, operations research and risk management, including:

  • stochastic control: continuous-time portfolio selection and utility optimization;

  • risk aggregation, risk measures and risk sharing;

  • distributionally robust optimization.

Yang Liu is now organizing a weekly seminar on risk management and actuarial science with Liyuan Lin and Qiuqi Wang under supervision of Prof. Ruodu Wang. Interested scholars or students are welcome to join in or send us an email for details.

Visiting Experiences

Publications

  1. (with Lin He, Zongxia Liang and Ming Ma) Optimal Control of DC Pension Plan Management under Two Incentive Schemes (2019). North American Actuarial Journal, 23(1), 120-141.

  2. (with Lin He, Zongxia Liang and Ming Ma) Weighted Utility Optimization of the Participating Endowment Contract (2020). Scandinavian Actuarial Journal, 2020(7), 577-613.

  3. (with Zongxia Liang) A Classification Approach to General S-shaped Utility Optimization with Principals' Constraints (2020). SIAM Journal on Control and Optimization, 58(6), 3734-3762.

  4. (with Yuyu Chen, Peng Liu and Ruodu Wang) Ordering and Inequalities of Mixtures on Risk Aggregation (2022). Mathematical Finance, 32(1), 421-451.

  5. (with Zongxia Liang) Central-planned Portfolio Selection, Pareto Frontier and Pareto Improvement (2019). Preprint.

  6. (with Jose Blanchet, Henry Lam and Ruodu Wang) Convolution Bounds on Quantile Aggregation (2020). Preprint.

  7. (with Zongxia Liang and Litian Zhang) A Framework of Multivariate Utility Optimization with General Benchmarks (2020). Preprint.

  8. (with Zongxia Liang and Ming Ma) A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities (2021). Preprint.

  9. (with Tolulope Fadina and Ruodu Wang) A Framework for Measures of Risk under Uncertainty (2021). Preprint.

  10. (with Zhanyi Jiao, Steven Kou and Ruodu Wang) An Axiomatic Theory for Anonymized Risk Sharing (2022). Preprint.

Academic Presentations (selected)

The 25th International Congress on Insurance: Mathematics and Economics (contributed talk)

Sun Yat-sen University and Macquarie University (online), Jul. 2022

Title: Uncertainty aversion and equity improvement

The 2nd Waterloo Student Conference in Statistics, Actuarial Science and Finance (contributed talk)

University of Waterloo, Waterloo, Canada, Nov. 2021

Title: Ordering and Inequalities of Mixtures on Risk Aggregation

Seminars

Southern University of Science and Technology, Shenzhen, China, Aug. 2021
Central University of Finance and Economics, Beijing (online), China, May 2021

Title: A Framework for Measures of Risk under Uncertainty

2020 SUSTech Workshop on Financial Engineering (invited talk)

Southern University of Science and Technology, Shenzhen, China, Nov. 2020

Title: A classification approach to general S-shaped utility optimization with principals' constraints

Actuarial Research VIRTUAL Conference 2020 (contributed talk)

University of Nebraska Lincoln, Lincoln (online), USA, Aug. 2020

Title: Convolution bounds on quantile aggregation

The 1st Waterloo Student Conference in Statistics, Actuarial Science and Finance (contributed talk)

University of Waterloo, Waterloo, Canada, Oct. 2019

Title: Central-planned portfolio selection and Pareto frontier

The 3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics (contributed talk)

Peking University, Beijing, China, May 2018

Title: The Pareto improvement policy in the participating annuity management

Education

  • PhD in Mathematics (with distinction)
    Department of Mathematical Sciences, Tsinghua University
    2016 - 2021
  • BSc in Mathematics
    Department of Mathematical Sciences, Tsinghua University
    2012 - 2016

Awards (selected)

  • Beijing Excellent PhD Graduate (2021)
  • THU Outstanding Doctoral Thesis Award (2021)
  • THU Postgraduate Excellency Scholarship First Price (2020)
  • China National Scholarship (2018)
  • Mr. TANG Lixin Scholarship (2018)
  • Table Tennis: 2nd place in THU Table Tennis Man's Doubles Games (2/32) (2019)

Teaching Assistant (TA) Experiences

  • Stochastic Processes
    Spring 2019, THU
  • Stochastic Analysis
    Fall 2018, THU
  • Real Analysis
    THU TA Excellency First Prize
    Spring 2018, THU
  • Mathematical Analysis III
    THU TA Excellency Second Prize
    Fall 2017, THU
  • Mathematical Analysis II
    Spring 2017, THU
  • Mathematical Analysis I
    THU TA Excellency First Prize
    Fall 2016, THU

Language

  • Chinese (Native)
  • English (TOEFL: 101/120)

Co-authors