Prior to this, he was a postdoc advised by Prof. Jose Blanchet in the Department of Management Science & Engineering at Stanford University and a postdoc advised by Prof. Ruodu Wang and Prof. Alexander Schied in the Department of Statistics & Actuarial Science at the University of Waterloo. He received his doctoral (2021, Advisor: Prof. Zongxia Liang) and bachelor degrees (2016) in Mathematics at Tsinghua University (THU).
He conducts research in financial mathematics, actuarial science, applied probability and operations research, including:
portfolio selection: stochastic control and utility optimization;
risk management: risk aggregation, risk measurement and risk sharing;
distributionally robust optimization.
Dr. Yang Liu is actively seeking postdoc and doctoral candidates and research students. If you possess a passion for academic research, a solid foundation in mathematics, and aligning research interests, you are welcome to make direct contact via email.
Here is a website of weekly seminar on risk management and actuarial science organized by Zhanyi Jiao, Liyuan Lin and Qiuqi Wang under supervision of Prof. Ruodu Wang. Interested scholars or students are welcome to join in.
(with Zhanyi Jiao, Steven Kou and Ruodu Wang) An Axiomatic Theory for Anonymized Risk Sharing (2022). Preprint.
(with Zongxia Liang, Ming Ma and Rahul Pothi Vinoth) A Unified Formula of the Optimal Portfolio for Piecewise HARA Utilities (2022). Preprint.
(with Jose Blanchet, Henry Lam and Ruodu Wang) Convolution Bounds on Quantile Aggregation (2022). Preprint.
(with Zongxia Liang and Litian Zhang) A Framework of Multivariate Utility Optimization with General Benchmarks (2022). Preprint.
(with Zongxia Liang) An Asymptotic Approach to Centrally-planned Portfolio Selection (2023). Advances in Applied Probability, forthcoming.
(with Tolulope Fadina and Ruodu Wang) A Framework for Measures of Risk under Uncertainty (2023). Finance and Stochastics, forthcoming.
(with Guohui Guan, Lin He, Zongxia Liang and Litian Zhang) Robust Dividend, Financing and Reinsurance Strategies under Model Uncertainty with Proportional Transaction Costs (2023). North American Actuarial Journal, forthcoming.
(with Yuyu Chen, Peng Liu and Ruodu Wang) Ordering and Inequalities of Mixtures on Risk Aggregation (2022). Mathematical Finance, 32(1), 421-451.
(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.
(with Lin He, Zongxia Liang and Ming Ma) Weighted Utility Optimization of the Participating Endowment Contract (2020). Scandinavian Actuarial Journal, 2020(7), 577-613.
(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.
Academic Presentations (selected)
The 25th International Congress on Insurance: Mathematics and Economics (contributed talk)
Title: Uncertainty aversion and equity improvement
The 2nd Waterloo Student Conference in Statistics, Actuarial Science and Finance (contributed talk)
Title: Ordering and Inequalities of Mixtures on Risk Aggregation
Title: A Framework for Measures of Risk under Uncertainty
2020 SUSTech Workshop on Financial Engineering (invited talk)
Title: A classification approach to general S-shaped utility optimization with principals' constraints
Actuarial Research VIRTUAL Conference 2020 (contributed talk)
Title: Convolution bounds on quantile aggregation
The 1st Waterloo Student Conference in Statistics, Actuarial Science and Finance (contributed talk)
Title: Central-planned portfolio selection and Pareto frontier
The 3rd PKU-NUS Annual International Conference on Quantitative Finance and Economics (contributed talk)
Title: The Pareto improvement policy in the participating annuity management
Chengdao 609, CUHK-Shenzhen
2001 Longxiang Blvd, Longgang Dist, Shenzhen, Guangdong 518172, China
PhD in Mathematics (with distinction)Department of Mathematical Sciences, Tsinghua University2016 - 2021
BSc in MathematicsDepartment of Mathematical Sciences, Tsinghua University2012 - 2016
Joint-supervision PhDDepartment of Statistics & Actuarial Science, U of Waterloo2019 - 2020
Exchange studentSchool of Mathematics & Statistics, U of Melbourne2015
Outstanding PhD Graduate of Beijing (2021)
Outstanding Doctoral Thesis Award at THU (2021)
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)
Probability TheorySpring 2021, THU
Stochastic ProcessesSpring 2019, THU
Stochastic AnalysisFall 2018, THU
Real AnalysisTHU TA Excellency First PrizeSpring 2018, THU
Mathematical Analysis IIITHU TA Excellency Second PrizeFall 2017, THU
Applied AnalysisSummer 2017, THU
Mathematical Analysis IISpring 2017, THU
Mathematical Analysis ITHU TA Excellency First PrizeFall 2016, THU
- Mandarin Chinese
- Jose Blanchet (Stanford U)
- Yuyu Chen (U of Waterloo)
- Tolulope Fadina (U of Essex)
- Guohui Guan (Renmin U of China)
- Lin He (Renmin U of China)
- Zhanyi Jiao (U of Waterloo)
- Steven Kou (Boston U)
- Henry Lam (Columbia U)
- Zongxia Liang (Tsinghua U)
- Peng Liu (U of Essex)
- Ming Ma (industry)
- Ruodu Wang (U of Waterloo)
- Litian Zhang (Tsinghua U)