Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang A martingale approach for asset allocation with derivative security and hidden economic risk. (English) Zbl 1425.91408 J. Appl. Probab. 56, No. 3, 723-749 (2019). MSC: 91G20 91G10 60G44 60H07 91B16 PDFBibTeX XMLCite \textit{T. K. Siu} et al., J. Appl. Probab. 56, No. 3, 723--749 (2019; Zbl 1425.91408) Full Text: DOI
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui A class of nonzero-sum investment and reinsurance games subject to systematic risks. (English) Zbl 1402.91215 Scand. Actuar. J. 2017, No. 8, 670-707 (2017). MSC: 91B30 91A15 91A23 49L20 PDFBibTeX XMLCite \textit{C. C. Siu} et al., Scand. Actuar. J. 2017, No. 8, 670--707 (2017; Zbl 1402.91215) Full Text: DOI Link
Chen, Lv; Yang, Hailiang Optimal reinsurance and investment strategy with two piece utility function. (English) Zbl 1406.91197 J. Ind. Manag. Optim. 13, No. 2, 737-755 (2017). MSC: 91B30 91B16 60H30 93E20 PDFBibTeX XMLCite \textit{L. Chen} and \textit{H. Yang}, J. Ind. Manag. Optim. 13, No. 2, 737--755 (2017; Zbl 1406.91197) Full Text: DOI
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang A note on optimal insurance risk control with multiple reinsurers. (English) Zbl 1357.93105 J. Comput. Appl. Math. 319, 38-42 (2017). MSC: 93E20 60J25 91B30 PDFBibTeX XMLCite \textit{H. Meng} et al., J. Comput. Appl. Math. 319, 38--42 (2017; Zbl 1357.93105) Full Text: DOI Link
Zhu, Jinxia; Yang, Hailiang Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. (English) Zbl 1371.91113 Insur. Math. Econ. 70, 259-271 (2016). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{J. Zhu} and \textit{H. Yang}, Insur. Math. Econ. 70, 259--271 (2016; Zbl 1371.91113) Full Text: DOI Link
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung Optimal asset allocation: risk and information uncertainty. (English) Zbl 1346.91223 Eur. J. Oper. Res. 251, No. 2, 554-561 (2016). MSC: 91G10 PDFBibTeX XMLCite \textit{S. C. P. Yam} et al., Eur. J. Oper. Res. 251, No. 2, 554--561 (2016; Zbl 1346.91223) Full Text: DOI Link
Wang, Guanqing; Wang, Guojing; Yang, Hailiang On a multi-dimensional risk model with regime switching. (English) Zbl 1369.91099 Insur. Math. Econ. 68, 73-83 (2016). MSC: 91B30 60J27 62P05 PDFBibTeX XMLCite \textit{G. Wang} et al., Insur. Math. Econ. 68, 73--83 (2016; Zbl 1369.91099) Full Text: DOI Link
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal insurance risk control with multiple reinsurers. (English) Zbl 1339.93124 J. Comput. Appl. Math. 306, 40-52 (2016). MSC: 93E20 60J25 91B30 PDFBibTeX XMLCite \textit{H. Meng} et al., J. Comput. Appl. Math. 306, 40--52 (2016; Zbl 1339.93124) Full Text: DOI
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang Valuing equity-linked death benefits in a regime-switching framework. (English) Zbl 1390.91211 ASTIN Bull. 45, No. 2, 355-395 (2015). MSC: 91B30 91G20 PDFBibTeX XMLCite \textit{C. C. Siu} et al., ASTIN Bull. 45, No. 2, 355--395 (2015; Zbl 1390.91211) Full Text: DOI Link
Jin, Zhuo; Yang, Hailiang; Yin, G. Optimal debt ratio and dividend payment strategies with reinsurance. (English) Zbl 1348.91156 Insur. Math. Econ. 64, 351-363 (2015). MSC: 91B30 93E20 PDFBibTeX XMLCite \textit{Z. Jin} et al., Insur. Math. Econ. 64, 351--363 (2015; Zbl 1348.91156) Full Text: DOI
Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang A class of non-zero-sum stochastic differential investment and reinsurance games. (English) Zbl 1297.93180 Automatica 50, No. 8, 2025-2037 (2014). MSC: 93E20 91B30 49L20 91A15 91A23 PDFBibTeX XMLCite \textit{A. Bensoussan} et al., Automatica 50, No. 8, 2025--2037 (2014; Zbl 1297.93180) Full Text: DOI Link
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang Option valuation by a self-exciting threshold binomial model. (English) Zbl 1297.91139 Math. Comput. Modelling 58, No. 1-2, 28-37 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{F. L. Yuen} et al., Math. Comput. Modelling 58, No. 1--2, 28--37 (2013; Zbl 1297.91139) Full Text: DOI
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal dividends with debts and nonlinear insurance risk processes. (English) Zbl 1284.91564 Insur. Math. Econ. 53, No. 1, 110-121 (2013). MSC: 91G50 91B30 91G80 49L20 PDFBibTeX XMLCite \textit{H. Meng} et al., Insur. Math. Econ. 53, No. 1, 110--121 (2013; Zbl 1284.91564) Full Text: DOI Link
Yuen, Fei Lung; Yang, Hailiang Optimal asset allocation: a worst scenario expectation approach. (English) Zbl 1267.91090 J. Optim. Theory Appl. 153, No. 3, 794-811 (2012). Reviewer: Roberto C. Raimondo (Milano) MSC: 91G80 93E20 PDFBibTeX XMLCite \textit{F. L. Yuen} and \textit{H. Yang}, J. Optim. Theory Appl. 153, No. 3, 794--811 (2012; Zbl 1267.91090) Full Text: DOI Link
Chen, Ping; Yang, Hailiang Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. (English) Zbl 1213.91137 Appl. Math. Finance 18, No. 1-2, 29-50 (2011). MSC: 91G10 91G50 PDFBibTeX XMLCite \textit{P. Chen} and \textit{H. Yang}, Appl. Math. Finance 18, No. 1--2, 29--50 (2011; Zbl 1213.91137) Full Text: DOI
Yuen, Fei Lung; Yang, Hailiang Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. (English) Zbl 1219.91145 N. Am. Actuar. J. 14, No. 2, 256-280 (2010). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{F. L. Yuen} and \textit{H. Yang}, N. Am. Actuar. J. 14, No. 2, 256--280 (2010; Zbl 1219.91145) Full Text: DOI
Chen, Ping; Yang, Hailiang Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. (English) Zbl 1224.91050 Appl. Stoch. Models Bus. Ind. 26, No. 2, 125-141 (2010). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 91G50 60J70 60H30 91G60 PDFBibTeX XMLCite \textit{P. Chen} and \textit{H. Yang}, Appl. Stoch. Models Bus. Ind. 26, No. 2, 125--141 (2010; Zbl 1224.91050) Full Text: DOI Link
Lungyuen, Fei; Yang, Hailiang Option pricing with regime switching by trinomial tree method. (English) Zbl 1181.91315 J. Comput. Appl. Math. 233, No. 8, 1821-1833 (2010). MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{F. Lungyuen} and \textit{H. Yang}, J. Comput. Appl. Math. 233, No. 8, 1821--1833 (2010; Zbl 1181.91315) Full Text: DOI
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang Pricing annuity guarantees under a regime-switching model. (English) Zbl 1483.91201 N. Am. Actuar. J. 13, No. 3, 316-332 (2009). MSC: 91G05 PDFBibTeX XMLCite \textit{X. S. Lin} et al., N. Am. Actuar. J. 13, No. 3, 316--332 (2009; Zbl 1483.91201) Full Text: DOI
Yuen, Fei Lung; Yang, Hailiang Option pricing in a jump-diffusion model with regime-switching. (English) Zbl 1180.91298 Astin Bull. 39, No. 2, 515-539 (2009). MSC: 91G20 60J75 91G80 PDFBibTeX XMLCite \textit{F. L. Yuen} and \textit{H. Yang}, ASTIN Bull. 39, No. 2, 515--539 (2009; Zbl 1180.91298) Full Text: DOI
Siu, Tak Kuen; Yang, Hailiang Option pricing when the regime-switching risk is priced. (English) Zbl 1188.91222 Acta Math. Appl. Sin., Engl. Ser. 25, No. 3, 369-388 (2009). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 60G44 PDFBibTeX XMLCite \textit{T. K. Siu} and \textit{H. Yang}, Acta Math. Appl. Sin., Engl. Ser. 25, No. 3, 369--388 (2009; Zbl 1188.91222) Full Text: DOI
Chen, Ping; Yang, Hailiang; Yin, George Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. (English) Zbl 1152.91496 Insur. Math. Econ. 43, No. 3, 456-465 (2008). MSC: 91G10 PDFBibTeX XMLCite \textit{P. Chen} et al., Insur. Math. Econ. 43, No. 3, 456--465 (2008; Zbl 1152.91496) Full Text: DOI
Siu, Tak Kuen; Yang, Hailiang; Lau, John W. Pricing currency options under two-factor Markov-modulated stochastic volatility models. (English) Zbl 1152.91550 Insur. Math. Econ. 43, No. 3, 295-302 (2008). MSC: 91G20 91B70 PDFBibTeX XMLCite \textit{T. K. Siu} et al., Insur. Math. Econ. 43, No. 3, 295--302 (2008; Zbl 1152.91550) Full Text: DOI
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang Pricing participating products under a generalized jump-diffusion model. (English) Zbl 1141.91386 J. Appl. Math. Stochastic Anal. 2008, Article ID 474623, 30 p. (2008). MSC: 91G20 60J60 60J75 91B30 PDFBibTeX XMLCite \textit{T. K. Siu} et al., J. Appl. Math. Stochastic Anal. 2008, Article ID 474623, 30 p. (2008; Zbl 1141.91386) Full Text: DOI EuDML
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang On valuing participating life insurance contracts with conditional heteroscedasticity. (English) Zbl 1136.91488 Asia-Pac. Financ. Mark. 14, No. 3, 255-275 (2007). MSC: 91B30 PDFBibTeX XMLCite \textit{T. K. Siu} et al., Asia-Pac. Financ. Mark. 14, No. 3, 255--275 (2007; Zbl 1136.91488) Full Text: DOI
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang On Bayesian value at risk: from linear to non-linear portfolios. (English) Zbl 1188.91206 Asia-Pac. Financ. Mark. 11, No. 2, 161-184 (2004). MSC: 91G10 91B30 91G20 PDFBibTeX XMLCite \textit{T. K. Siu} et al., Asia-Pac. Financ. Mark. 11, No. 2, 161--184 (2004; Zbl 1188.91206) Full Text: DOI
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang Bayesian risk measures for derivatives via random Esscher transform. (English) Zbl 1083.62544 N. Am. Actuar. J. 5, No. 3, 78-91 (2001). MSC: 62P05 62F15 91B30 PDFBibTeX XMLCite \textit{T. K. Siu} et al., N. Am. Actuar. J. 5, No. 3, 78--91 (2001; Zbl 1083.62544) Full Text: DOI