Dr Jacie Liu

Jacie Liu

RSFAS

Research School of Finance, Actuarial Studies & Statistics

Position
Lecturer
Email
jia.liu3@anu.edu.au
Phone number
54587
Office
4.29 CBE Building (26C)
Link
https://researchportalplus.anu.edu.au/en/persons/jacie-liu
Research areas

Actuarial studies; Statistics; Panel data econometrics

Biography

Jacie Liu is a Lecturer of Actuarial Studies, and an Associate and Chartered Enterprise Risk Analyst of the Society of Actuaries. Jacie’s research interests focus on mortality modelling, demographic modelling, and other actuarial and finance topics. Her work has appeared in top peer reviewed journals including Scandinavian Actuarial Journal, Annals of Actuarial Science, European Actuarial Journal, Journal of Population Research, and Risks. Prior to joining academia, Jacie worked in the financial services industry for several years in the fields of general and life insurance and data analytics.

ORCID profile

Research publications

J Li, J Liu, A Butt. (2024). A systematic vector autoregressive framework for modeling and forecasting mortality. Journal of Forecasting.  https://doi.org/10.1002/for.3127.

J Li and J Liu. (2023). Claims modelling with three-component composite models. Risks. 11(11):196.

J Liu, K Daly, A Mishra (2023). 'Board gender diversity and bank performance: evidence from Australia', Banking Resilience: New Insights on Corporate Governance, World Scientific. https://doi.org/10.1142/q0421.

J Liu, K Daly, A Mishra. (2022). Board gender diversity and bank risks: evidence from Australia. Economic Analysis and Policy, 76: 1040 - 1052.

J Liu, J Li, K Daly. (2022). Bayesian vine copulas for modelling dependence in data breach losses. Annals of Actuarial Science. 1-24. doi:10.1017/S174849952200001X.   

J Liu. (2021). A study on link functions for modelling and forecasting old-age survival probabilities of Australia and New Zealand. Risks.9(1): 1-18.

J Li, U Balasooriya, J Liu. (2020). Using hierarchical Archimedean coSWpulas for modelling mortality dependence and pricing mortality-linked securities. Annals of Actuarial Science. DOI: https://doi.org/10.1017/S1748499520000251.

J Li and J Liu. (2020). A modified extreme value perspective on best-performance life expectancy. Journal of Population Research. 37(4): 345-375.

J Liu and J Li. (2019). Beyond the highest life expectancy – construction of proxy upper and lower life expectancy bounds. Journal of Population Research. 36(2): 159-181.

J Li, A Kogure, J Liu. (2019). Multivariate risk-neutral pricing of reverse mortgages under Bayesian framework. Risks.7(1): 1-12.

J Li, CI Tan, S Tang, J Liu. (2019). On the optimal hedge ratio in index-based longevity risk hedging. European Actuarial Journal. 9(2): 445-461.

J Li and J Liu. (2019). A logistic two-population mortality projection model for modelling mortality at advanced ages for both sexes. Scandinavian Actuarial Journal. 2019(2): 97-112.

Teaching

STAT2032/ 6046 Financial Mathematics

STAT3037/ 6043 Life Contingencies