Shu Li

Associate Professor
Associate of the Society of Actuaries (ASA)
Associate of the Canadian Institute of Actuaries (ACIA)
Office: WSC 229
Phone: 519 661-2111 x85419
Email: shu.li@uwo.ca


 

 Research Areas

  • Risk Theory
  • Ruin Theory
  • Stochastic Modeling
  • Risk Management
  • Predictive analytics in insurance and finance

Research Lab

Graduate Students Supervision

  • Duo Xu (PhD)
  • Raushan Zhumanova (PhD, co-supervised with Dr. Matt Davison)
  • Rika Fitriani (PhD, co-supervised with Dr. Hyukjun Gweon)
  • Qingrong Yin (MSc)
  • Hanning Qi (MSc, co-supervised with Dr. Jiandong Ren)
  • Yu Xiang (MSc, co-supervised with Dr. Jiandong Ren)

Publications

  • Wang, Z., Cao, J., Li, S. (2025). The last passage time before ruin: theory and applications in liquidation risk management. Under revision.
  • Xu, D.∗, Li, S. (2025). The ultimate drawdown insurance and its state-dependent premium. Submitted.
  • Zeng, X.∗, Li, S.,Willmot, G. (2025). The structure of the number of claims until first passage times. Submitted.
  • Xu, D.∗, Li, S. (2025). The valuation of variable annuities with dawdown-dependent fee. Submitted.
  • Li, S., Wang, Z. (2025). Last passage times of generalized drawdown processes with applications. Scandinavian Actuarial Journal 2025 (1), 25 – 50.
  • Faroughi, P.∗, Li, S., Ren, J. (2025). Generalized Poisson random variable: its distributional properties and actuarial applications. Annals of Actuarial Science 19(1), 140 – 158.
  • Gweon, H., Li, S., Xu, Y.∗ (2024). Use of Prediction Bias in Active Learning and its Application to Large Variable Annuity Portfolios. Risks 12(6), 85.
  • Faroughi, P.∗, Li, S., Ren, J. (2023). The applications of generalized Poisson regression models in insurance claim data. Risks, 11(12), 213.
  • Gweon, H., Li, S. (2023). A hybrid data mining framework for variable annuity portfolio valuation. ASTIN Bulletin: The Journal of the IAA, 53(3), 580--595.
  • Li, S., Zhou, X. (2022). The Parisian and ultimate drawdowns of Lévy insurance models. Insurance: Mathematics and Economics, 107, 140--160.
  • Gweon, H., Li, S. (2021). Batch mode active learning for valuing large variable annuity portfolios. Insurance: Mathematics and Economics, 99, 105--115.
  • Wang, Z., Landriault, D., Li, S. (2021). An insurance risk process with a generalized income process: a solvency analysis. Insurance: Mathematics and Economics, 98, 133--146.
  • Avram, F., Li, B., Li, S. (2021). General drawdown of general tax model in a time-homogeneous Markov framework. Journal of Applied Probability, 58(4), 1131--1151.
  • Gwoen, H., Li, S., Mamon, R. (2020). An effective bias-corrected bagging method for valuing large variable annuity portfolios. ASTIN Bulletin 50(3), 853--871.
  • Czarna, I., Kaszubowski, A., Li, S., Palmowski, Z. (2020). Fluctuation identities for omega-killed Markov additive processes and dividend problem. Advances in Applied Probability, 52(2), 404--432.
  • Landriault, D., Li, B., Li, S. (2018). Expected Utility of the Drawdown-Based Regime-Switching Risk Model with State-Dependent Termination. Insurance: Mathematics and Economics, 79, 137--147.
  • Landriault, D., Li, B., Li, S. (2017). Drawdown Risk Analysis for the Renewal Insurance Risk Process. Scandinavian Actuarial Journal, 3, 267-- 285.
  • Li, S., Landriault, D., Lemieux, C. (2015). A Risk Model with Varying Premiums: Its Risk Management Implications. Insurance: Mathematics and Economics, 60, 38--46.