Dr Jia Shao BSc PhD

Dr Jia Shao

School of Mathematics
Assistant Professor

Contact details

Address
School of Mathematics
Watson Building
University of Birmingham
Edgbaston
Birmingham
B15 2TT
UK

Jia Shao is an Assistant Professor at the School of Mathematics of the University of Birmingham. Her principal research interests are in the intersection of financial and actuarial mathematics: quantitative analysis of Insurance-Linked Securities (ILS), Extreme Value Theory (EVT) and heavy-tailed distributions, with an emphasis on pricing catastrophe risk (CAT) bonds, nuclear power-linked securities and applications.

Qualifications

  • PhD in Mathematics, University of Liverpool, 2015
  • BSc in Mathematics with Finance, University of Liverpool, 2011

Biography

Jia Shao was awarded a PhD in Mathematics (Quantitative Finance) from the Department of Mathematical Sciences at the University of Liverpool in 2015. She worked as a quant strategist for a London hedge fund after the graduation. She was a Lecturer in Statistics and a research associate of the Centre for Financial and Corporate Integrity at Coventry University from 2016 to 2021. From 2021 to 2023, she was a Lecturer in Mathematics at Brunel University London Joint Institute in Beijing. She joined the University of Birmingham as an Assistant Professor at the School of Mathematics in February 2023.

Teaching

Semester 2

LI Mathematical Finance (Jinan)

Postgraduate supervision

Jia Shao is interested in supervising PhD students in Quantitative Finance. Please check her research interests and publications for more details. If you are interested in working with her, she would be happy to discuss PhD project supervision with potential candidates via email.

Research

Research Activity

Jia Shao's research has been addressing in the field of Financial Mathematics, data science and machine learning. Her principal research interests are in the intersection of financial and actuarial mathematics: quantitative analysis of Insurance-Linked Securities (ILS), Extreme Value Theory (EVT) and heavy-tailed distributions, with an emphasis on pricing catastrophe risk (CAT) bonds, nuclear power-linked securities and applications.

Other activities

  • Royal Statistical Society (RSS) National Statistics Advisory Group committee member
  • Royal Statistics Society (RSS) in Finance and Economics Section committee secretary

Publications

Recent publications

Article

Shao, J, Zhong, S, Tian, M & Liu, Y 2024, 'Combining fuzzy MCDM with Kano model and FMEA: A novel 3-phase MCDM method for reliable assessment', Annals of Operations Research. https://doi.org/10.1007/s10479-024-05878-w

Yu, K, Li, F, Chen, X, Hua, H, Yin, M, Yang, Q, Jiang, Y, Shao, J & Naidoo, P 2024, 'Mean-variance Trading Portfolio Selection for A Class of Energy Retailers', CSEE Journal of Power and Energy Systems.

Chatoro, M, Mitra, S, Pantelous, AA & Shao, J 2023, 'Catastrophe bond pricing in the primary market: the issuer effect and pricing factors', International Review of Financial Analysis, vol. 85, 102431. https://doi.org/10.1016/j.irfa.2022.102431

Hodds, M, Shao, J & Lawson, D 2020, 'Changes in student entry competencies 2001 - 2017', International Journal of Mathematical Education in Science and Technology, pp. 1859-1874. https://doi.org/10.1080/0020739X.2020.1849836, https://doi.org/10.1080/0020739X.2020.1849836

Hardiman, N, Burgin, S & Shao, J 2020, 'How Sharks and Shark–Human Interactions are Reported in Major Australian Newspapers', Sustainability, vol. 12, no. 7, 2683. https://doi.org/10.3390/su12072683

Khzouz, M, Gkanas, E, Shao, J, Sher, F, Beherskyi, D, El-Kharouf, A & Qubeissi, MA 2020, 'Life Cycle Costing Analysis: Tools and Applications for Determining Hydrogen Production Cost for Fuel Cell Vehicle Technology', Energies, vol. 13, no. 15, 3783. https://doi.org/10.3390/en13153783, https://doi.org/10.3390/en13153783, https://doi.org/10.3390/en13153783

Kallinterakis, V, Liu, F, Pantelous, A & Shao, J 2020, 'Pricing inefficiencies and feedback trading: evidence from country ETFs', International Review of Financial Analysis, vol. 70, 101498. https://doi.org/10.1016/j.irfa.2020.101498

Hardiman, N, Burgin, S & Shao, J 2019, 'News media portrayal of attributed stakeholder attitudes to shark management in Australia', Human Dimensions of Wildlife, vol. 24, no. 6, pp. 548-563. https://doi.org/10.1080/10871209.2019.1663455

Shao, J, Pantelous, A, Ayyub, B, Chan, SL & Nadarajah, S 2017, 'Nuclear Catastrophe Risk Bonds in a Markov Dependent Environment', ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering, vol. 3, no. 4. https://doi.org/10.1061/AJRUA6.0000923

Shao, J, Papaioannou, A & Pantelous, A 2017, 'Pricing and Simulating Catastrophe Risk Bonds in a Markov-dependent Environment', Applied Mathematics and Computation, vol. 309, pp. 68-84. https://doi.org/10.1016/j.amc.2017.03.041

Ayyub, B, Pantelous, A & Shao, J 2016, 'Towards Resilience to Nuclear Accidents: Financing Nuclear Liabilities via Catastrophe Risk Bonds', ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part B: Mechanical Engineering, vol. 2, no. 4, RISK-15-1055. https://doi.org/10.1115/1.4033518

Shao, J, Pantelous, A & Papaioannou, A 2015, 'Catastrophe Risk Bonds with Applications to Earthquakes', European Actuarial Journal, vol. 5, pp. 113–138. https://doi.org/10.1007/s13385-015-0104-9

Conference contribution

Ayyub, B, Pantelous, A & Shao, J 2016, Towards Resilience to Catastrophic Events: Financing Liabilities via Catastrophe Risk Bonds. in Economics of Community Disaster Resilience Workshop Proceedings.

Poster

Khzouz, M, Gkanas, E & Shao, J 2018, 'Life Cycle Costing Analysis for Determining Hydrogen Cost for Mobility Applications'.

Preprint

Shao, J, Zhao, X & Luis, M 2024 'Impact of COVID-19 on Chinese Consumers’ Shopping Channels Choice for Daily Necessaries: Evidence from an Online Survey' SSRN, Elsevier. <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4745307>

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