Research Interests:
My research interests lie in the area of Actuarial Science, Mathematical Finance, and Stochastic
Processes. I focus on mortality risk modeling and its related problems, such as pricing and risk
management of insurance policies with the consideration of different risk factors. My current
research is mainly carried out through the following on-going research projects:
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Phase-type Models of Mortality and Aging Process:
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Stochastic Mortality Modelling and Forecasting
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Evaluation of Insurance Policies under Mortality Risk and financial Risk
My Publications:
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Huan Gao, Rogemar Mamon and Xiaoming Liu (2017), “Risk measurement of a guaranteed
annuity option under a stochastic modelling framework”, Mathematics and Computers in
Simulation, 132: 100-119.
•
Huan Gao, Rogemar Mamon and Xiaoming Liu (2015), Pricing a guaranteed annuity option
under correlated and regime-switching risk factors. European Actuarial Journal Volume 5,
Issue 2, December 2015: 309--326.
•
Huan Gao, Rogemar Mamon, Xiaoming Liu and Anton Tenyakov (2015), “A regime-switching
framework for the valuation of guaranteed annuity options”, Insurance Mathematical and
Economics, Vol. 63, issue C: 108-120
•
Xiaoming Liu, Rogemar Mamon and Huan Gao (2014), Pricing a guaranteed annuity option
under stochastic mortality and financial risks: A change of probability measure approach.
Stochastics. Vol. 86, No. 4, 594–608.
•
Xiaoming Liu, Rogemar Mamon and Huan Gao (2013), A comonotonicity-based valuation
method for guaranteed annuity options. Journal of Computational and applied Mathematic
250 (2013): 58–69.
•
Xiaoming Liu (2013), Annuity uncertainty with stochastic mortality and interest rates. North
American Actuarial Journal 17(2), 136–152.
© Copyright Xiaoming Liu; designed by WenStudio. This page is last modified on Jan. 1, 2017.
Dept. of Statistical & Actuarial Sciences
The University of Western Ontario
1151 Richmond Street, London
Ontario, Canada N6A 5B7
Associate Professor
Conferences I attended
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The Third Living to 100
Symposium, Society of Actuaries,
Orlando, U.S. Jan. 5, 2011
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16th International Congress on
Insurance: Mathematics and
Economics, Hong Kong, China,
2012
•
8th International Longevity Risk
and Capital Markets Solutions
Conference, Sept. 7-8, 2012,
Waterloo