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Liu, Peng (2025) Risk sharing with Lambda value at risk. Mathematics of Operations Research, 50 (1). pp. 313-333. DOI https://doi.org/10.1287/moor.2023.0246

Fadina, Tolulope and Hu, Junlei and Liu, Peng and Xia, Yi (2024) Optimal reinsurance with multivariate risks and dependence uncertainty. European Journal of Operational Research, 321 (1). pp. 231-242. DOI https://doi.org/10.1016/j.ejor.2024.09.037

Debicki, Krzysztof and Hashorva, Enkelejd and Liu, Peng (2023) Sojourns of fractional Brownian motion queues: transient asymptotics. Queueing Systems, 105 (1-2). pp. 139-170. DOI https://doi.org/10.1007/s11134-023-09890-y

Fadina, Tolulope and Liu, Peng and Wang, Ruodu (2023) One axiom to rule them all: A minimalist axiomatization of quantiles. SIAM Journal on Financial Mathematics, 14 (2). pp. 644-662. DOI https://doi.org/10.1137/22M1531567

Debicki, Krzysztof and Hashorva, Enkelejd and Liu, Peng and Michna, Zbigniew (2023) Sojourn times of Gaussian random fields. ALEA : Latin American Journal of Probability and Mathematical Statistics, 20 (1). pp. 249-289. DOI https://doi.org/10.30757/ALEA.v20-10

Chen, Yuyu and Liu, Peng and Tan, Ken Seng and Wang, Ruodu (2023) Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence. Statistica Sinica, 33 (2). pp. 851-872. DOI https://doi.org/10.5705/ss.202021.0071

Chen, Yuyu and Liu, Peng and Liu, Yang and Wang, Ruodu (2022) Ordering and Inequalities for Mixtures on Risk Aggregation. Mathematical Finance, 32 (1). pp. 421-451. DOI https://doi.org/10.1111/mafi.12323

Liu, Peng and Schied, Alexander and Wang, Ruodu (2021) Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research, 46 (4). pp. 1490-1512. DOI https://doi.org/10.1287/moor.2020.1090

Dȩbicki, Krzysztof and Liu, Peng and Michna, Zbigniew (2020) Sojourn Times of Gaussian Processes with Trend. Journal of Theoretical Probability, 33 (4). pp. 2119-2166. DOI https://doi.org/10.1007/s10959-019-00934-9

Liu, Peng and Wang, Ruodu and Wei, Linxiao (2020) Is the inf-convolution of law-invariant preferences law-invariant? Insurance: Mathematics and Economics, 91. pp. 144-154. DOI https://doi.org/10.1016/j.insmatheco.2020.01.004

Ji, Lanpeng and Liu, Peng and Robert, Stephan (2019) Tail asymptotic behavior of the supremum of a class of chi-square processes. Statistics and Probability Letters, 154. p. 108551. DOI https://doi.org/10.1016/j.spl.2019.07.001

Cheng, Dan and Liu, Peng (2019) Extremes of spherical fractional Brownian motion. Extremes, 22 (3). pp. 433-457. DOI https://doi.org/10.1007/s10687-019-00344-4

Bai, Long and Liu, Peng (2019) Drawdown and Drawup for Fractional Brownian Motion with Trend. Journal of Theoretical Probability, 32 (3). pp. 1581-1612. DOI https://doi.org/10.1007/s10959-018-0836-y

Dȩbicki, Krzysztof and Liu, Peng (2019) The time of ultimate recovery in Gaussian risk model. Extremes, 22 (3). pp. 499-521. DOI https://doi.org/10.1007/s10687-019-00343-5

Liu, Peng and Ji, Lanpeng (2016) Extremes of chi-square processes with trend. Probability and Mathematical Statistics, 36. pp. 1-20.

Dębicki, Krzysztof and Liu, Peng (2016) Extremes of stationary Gaussian storage models. Extremes, 19 (2). pp. 273-302. DOI https://doi.org/10.1007/s10687-016-0240-x