Dr. Yiqing Chen

Ph.D. in Statistics (Actuarial Science), Hong Kong University, 2009

Contact Information E-mail: yiqing.chen@liv.ac.uk Phone: +44 151 794 4749 Fax: +44 151 794 4061 Office Address 204 Mathematical Sciences Building
Department of Mathematical Sciences The University of Liverpool Peach Street Liverpool, L69 7ZL United Kingdom
Office Hours 15:00--15:50 on Tuesday, 16:00-16:50 on Thursday, or by appointment

Research Interests

• Heavy-tailed distributions in insurance, finance, and risk management
• Dependent insurance and financial risks
• Risk theory in the presence of risky investments

Professional Affiliations and Activities

• 2011 – Present: External Reviewer for Insurance Markets and Companies: Analyses and Actuarial Computations, “Business Perspectives” Publishing Company
• 2005 – Present: Reviewer for the Mathematical Reviews of the American Mathematical Society (see a list of papers that I have reviewed)
• Referee for certain journals in Actuarial Science, Probability Theory, and Mathematics

Publications

• Chen, Yiqing; Yuen, Kam C. Precise large deviations of aggregate claims in a size-dependent renewal risk model. Insurance: Mathematics and Economics 51 (2012), no. 2, 457--461. [PDF]
• Chen, Anyue; Li, Junping; Chen, Yiqing; Zhou, Dingxuan Extinction probability of interacting branching collision processes. Advances in Applied Probability 44 (2012), no. 1, 226--259. [PDF]
• Chen, Yiqing The finite-time ruin probability with dependent insurance and financial risks. Journal of Applied Probability 48 (2011), no. 4, 1035--1048. [PDF]
• Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. Precise large deviations of random sums in presence of negative dependence and consistent variation. Methodology and Computing in Applied Probability 13 (2011), no. 4, 821--833. [PDF]
• Chen, Yiqing; Ng, Kai W.; Yuen, Kam C. The maximum of randomly weighted sums with long tails in insurance and finance. Stochastic Analysis and Applications 29 (2011), no. 6, 1033--1044. [PDF]
• Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. Applied Stochastic Models in Business and Industry 27 (2011), no. 3, 290--300. [PDF]
• Chen, Yiqing; Chen, Anyue; Ng, Kai W. The strong law of large numbers for extended negatively dependent random variables. Journal of Applied Probability 47 (2010), no. 4, 908--922. [PDF]
• Chen, Yiqing; Yuen, Kam C. Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Stochastic Models 25 (2009), no. 1, 76--89. [PDF]
• Chen, Yiqing; Ng, Kai W. The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims. Insurance: Mathematics and Economics 40 (2007), no. 3, 415--423. [PDF]
• Chen, Yiqing; Ng, Kai W.; Xie, Xiangsheng On the maximum of randomly weighted sums with regularly varying tails. Statistics & Probability Letters 76 (2006), no. 10, 971--975. [PDF]
• Chen, Yiqing; Dong, Xiaoju; Xie, Xiangsheng Explicit asymptotics for the ruin probability with risky investment included. Chinese Journal of Applied Probability and Statistics 22 (2006), no. 2, 151--158. [PDF]
• Jiang, Tao; Chen, Yiqing Local asymptotic behavior of the survival probability of the equilibrium renewal model with heavy tails. Science in China Series A: Mathematics 48 (2005), no. 3, 300--306. [PDF]
• Chen, Yiqing; Ng, Kai W.; Tang, Qihe Weighted sums of subexponential random variables and their maxima. Advances in Applied Probability 37 (2005), no. 2, 510--522. [PDF]
• Chen, Yiqing; Xie, Xiangsheng The finite time ruin probability with the same heavy-tailed insurance and financial risks. Acta Mathematicae Applicatae Sinica (English Series) 21 (2005), no. 1, 153--156. [PDF]

Last updated by Yiqing Chen on February 26, 2013