Edit Profile (opens in new tab) Yam, Sheung Chi Phillip Co-Author Distance Author ID: yam.sheung-chi-phillip Published as: Yam, Sheung Chi Phillip; Yam, S. C. P.; Phillip Yam, Sheung Chi more...less Further Spellings: Yam, Phillip Sheung Chi Homepage: http://www.sta.cuhk.edu.hk/scpy/ External Links: MGP · ORCID · Google Scholar · dblp Documents Indexed: 91 Publications since 2009, including 13 Additional arXiv Preprints Co-Authors: 66 Co-Authors with 90 Joint Publications 1,789 Co-Co-Authors all top 5 Co-Authors 0 single-authored 38 Bensoussan, Alain 14 Cheung, Ka Chun 11 Yung, Siu Pang 7 Yang, Hailiang 6 Chan, Kwun Chuen Gary 6 Siu, Chi Chung 6 Wong, Kwok Chuen 5 Chau, Man Ho Michael 5 Ling, Hok Kan 5 Wong, Tak Kwong 4 Frehse, Jens 4 Mertz, Laurent 4 Sung, K. C. J. 4 Yuen, Fei Lung 4 Zhang, Zheng 3 Chong, Wing Fung 3 Huang, Ziyu 3 Li, Yiqun 3 Ma, Guiyuan 3 Zhang, Yiying 2 Cheung, Pak-Leong 2 Han, Jinhui 2 Li, Xiaolong 2 Liu, Fangda 2 Ng, Tuen-Wai 2 Rong, Yian 2 Sethi, Suresh P. 2 Shi, Yifan 2 Sit, Tony 2 Tai, Ho-Man 2 Tsai, Jonathan 2 Wang, Yiwen 2 Wright, John Alexander 2 Yang, Zaiyue 2 Yuan, Hongwei 1 Cass, Thomas Richard 1 Chen, Ping 1 Chen, Shaokuan 1 Chen, Yongzhao 1 Cheung, Hang 1 Choi, Hugo Ming Cheung 1 Chu, Dantong 1 Chutani, Anshuman 1 Dhaene, Jan 1 Dinh Phan Cao Nguyen 1 Djehiche, Boualem 1 Feau, Cyril 1 Han, Jiayue 1 Jasso-Fuentes, Héctor 1 Lee, Wing Yan 1 Li, Bohan 1 Liu, Hao 1 Minh-Binh Tran 1 Ng, Kenneth Tsz Hin 1 Peng, Shige 1 Privault, Nicolas 1 Tang, Chuan-Fa 1 Tang, Qihe 1 Tang, Shanjian 1 Tembine, Hamidou 1 Wei, Jiaqin 1 Zhao, Hui 1 Zheng, Harry H. 1 Zhou, Wang 1 Zhou, Wei 1 Zhou, Zeyu all top 5 Serials 12 Insurance Mathematics & Economics 5 SIAM Journal on Control and Optimization 4 Stochastic Processes and their Applications 4 Scandinavian Actuarial Journal 3 European Journal of Operational Research 3 ASTIN Bulletin 2 Applied Mathematics and Optimization 2 Automatica 2 IEEE Transactions on Automatic Control 2 Journal of Computational and Applied Mathematics 2 Journal de Mathématiques Pures et Appliquées. Neuvième Série 2 Finance and Stochastics 2 Mathematical Finance 2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 2 AMRX. Applied Mathematics Research eXpress 2 Electronic Journal of Statistics 2 Risk and Decision Analysis 2 Dynamic Games and Applications 1 Theory of Probability and its Applications 1 The Annals of Statistics 1 Journal of Applied Probability 1 Journal of Optimization Theory and Applications 1 Mathematics of Operations Research 1 SIAM Journal on Numerical Analysis 1 Statistics & Probability Letters 1 Acta Mathematicae Applicatae Sinica. English Series 1 Statistical Science 1 SIAM Journal on Mathematical Analysis 1 International Journal of Robust and Nonlinear Control 1 SIAM Journal on Scientific Computing 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Comptes Rendus. Mathématique. Académie des Sciences, Paris 1 Computational Methods and Function Theory 1 Stochastics 1 SIAM Journal on Financial Mathematics 1 Annals of Mathematical Sciences and Applications all top 5 Fields 50 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 42 Probability theory and stochastic processes (60-XX) 23 Calculus of variations and optimal control; optimization (49-XX) 23 Systems theory; control (93-XX) 13 Statistics (62-XX) 11 Partial differential equations (35-XX) 6 Operations research, mathematical programming (90-XX) 4 Mechanics of deformable solids (74-XX) 3 Functions of a complex variable (30-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Numerical analysis (65-XX) 2 Ordinary differential equations (34-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Computer science (68-XX) 1 Difference and functional equations (39-XX) 1 Mechanics of particles and systems (70-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 69 Publications have been cited 883 times in 663 Documents Cited by ▼ Year ▼ Linear-quadratic mean field games. Zbl 1343.91010 Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 87 2016 A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180 Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 63 2014 The master equation in mean field theory. Zbl 1325.35232 Bensoussan, Alain; Frehse, Jens; Yam, Sheung Chi Phillip 55 2015 Markowitz’s mean-variance asset-liability management with regime switching: a time-consistent approach. Zbl 1284.91533 Wei, Jiaqin; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 47 2013 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110 Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 46 2014 Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096 Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 42 2014 On the interpretation of the master equation. Zbl 1379.60063 Bensoussan, A.; Frehse, J.; Yam, S. C. P. 40 2017 Well-posedness of mean-field type forward-backward stochastic differential equations. Zbl 1327.60114 Bensoussan, A.; Yam, S. C. P.; Zhang, Z. 33 2015 Mean field games with a dominating player. Zbl 1348.49031 Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P. 31 2016 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211 Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 30 2015 Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting. Zbl 1414.62107 Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip; Zhang, Zheng 29 2016 Mean field Stackelberg games: aggregation of delayed instructions. Zbl 1320.91028 Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P. 26 2015 Behavioral optimal insurance. Zbl 1229.91167 Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.; Zhou, J. H. 24 2011 Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079 Chen, Ping; Yam, S. C. P. 24 2013 Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235 Chau, K. W.; Yam, S. C. P.; Yang, H. 21 2015 Linear-quadratic mean field Stackelberg games with state and control delays. Zbl 1372.91021 Bensoussan, A.; Chau, M. H. M.; Lai, Y.; Yam, S. C. P. 20 2017 Fourier-cosine method for ruin probabilities. Zbl 1305.91163 Chau, K. W.; Yam, S. C. P.; Yang, H. 17 2015 Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272 Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying 17 2019 Oracle, multiple robust and multipurpose calibration in a missing response problem. Zbl 1331.62070 Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip 15 2014 Linear-quadratic time-inconsistent mean field games. Zbl 1314.91040 Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P. 15 2013 The optimal insurance under disappointment theories. Zbl 1348.91133 Cheung, K. C.; Chong, W. F.; Yam, S. C. P. 15 2015 A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240 Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip 13 2019 Average value-at-risk minimizing reinsurance under Wang’s premium principle with constraints. Zbl 1277.91076 Cheung, K. C.; Liu, F.; Yam, S. C. P. 12 2012 Universal repetitive learning control for nonparametric uncertainty and unknown state-dependent control direction matrix. Zbl 1368.93232 Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen 10 2010 Control problem on space of random variables and master equation. Zbl 1450.35305 Bensoussan, Alain; Yam, Sheung Chi Phillip 10 2019 A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215 Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui 10 2017 Game call options revisited. Zbl 1304.91228 Yam, S. C. P.; Yung, S. P.; Zhou, W. 9 2014 Utility-deviation-risk portfolio selection. Zbl 1366.91147 Wong, K. C.; Yam, S. C. P.; Zheng, H. 7 2017 Convex ordering for insurance preferences. Zbl 1348.91134 Cheung, K. C.; Chong, W. F.; Yam, S. C. P. 7 2015 Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223 Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung 6 2016 Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142 Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying 6 2020 Mean-field-type games with jump and regime switching. Zbl 1437.91050 Bensoussan, Alain; Djehiche, Boualem; Tembine, Hamidou; Yam, Sheung Chi Phillip 6 2020 A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144 Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip 6 2021 Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058 Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip 5 2018 Borch’s theorem from the perspective of comonotonicity. Zbl 1403.91191 Cheung, K. C.; Rong, Yian; Yam, S. C. P. 5 2014 Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042 Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang 5 2021 Two rationales behind the ‘buy-and-hold or sell-at-once’ strategy. Zbl 1186.60039 Yam, S. C. P.; Yung, S. P.; Zhou, W. 4 2009 Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising. Zbl 1427.49045 Bensoussan, Alain; Chen, Shaokuan; Chutani, Anshuman; Sethi, Suresh P.; Siu, Chi Chung; Phillip Yam, Sheung Chi 4 2019 On additivity of tail comonotonic risks. Zbl 1426.91210 Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung 4 2019 Relative performance evaluation for dynamic contracts in a large competitive market. Zbl 1507.91201 Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip 4 2022 Robust control for uncertain nonlinear systems with state-dependent control direction. Zbl 1207.93031 Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen 3 2011 Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities. Zbl 1381.37063 Bensoussan, Alain; Li, Yiqun; Yam, Sheung Chi Phillip 3 2018 Mean-variance pre-commitment policies revisited via a mean-field technique. Zbl 1314.91189 Bensoussan, A.; Wong, K. C.; Yam, S. C. P. 3 2014 Long cycle behavior of the plastic deformation of an elasto-perfectly-plastic oscillator with noise. Zbl 1310.74011 Bensoussan, Alain; Mertz, Laurent; Yam, S. C. P. 3 2012 Reinsurance contract design with adverse selection. Zbl 1426.91211 Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. 3 2019 Mean field games with parametrized followers. Zbl 1483.91031 Bensoussan, Alain; Cass, Thomas; Chau, Man Ho Michael; Yam, Sheung Chi Phillip 3 2020 Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise. Zbl 1456.74061 Bensoussan, A.; Mertz, L.; Yam, S. C. P. 3 2016 Dynamic mean-variance problem with frictions. Zbl 1484.91414 Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip 3 2022 Disappointment aversion premium principle. Zbl 1390.91131 Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip 2 2015 An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise. Zbl 1337.60148 Bensoussan, Alain; Feau, Cyril; Mertz, Laurent; Yam, Sheung Chi Phillip 2 2015 Mean-risk portfolio management with bankruptcy prohibition. Zbl 1419.91596 Wong, K. C.; Yam, S. C. P.; Zeng, J. 2 2019 A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management. Zbl 1490.60162 Han, Jinhui; Phillip Yam, Sheung Chi 2 2022 Critical points of random finite Blaschke products with independent and identically distributed zeros. Zbl 1350.30074 Cheung, Pak-Leong; Ng, Tuen Wai; Yam, S. C. P. 2 2014 Mean field approach to stochastic control with partial information. Zbl 1476.93156 Bensoussan, Alain; Yam, Sheung Chi Phillip 2 2021 Value-gradient based formulation of optimal control problem and machine learning algorithm. Zbl 1523.49031 Bensoussan, Alain; Han, Jiayue; Yam, Sheung Chi Phillip; Zhou, Xiang 2 2023 Estimation of a monotone density in \(s\)-sample biased sampling models. Zbl 1407.62117 Chan, Kwun Chuen Gary; Ling, Hok Kan; Sit, Tony; Yam, Sheung Chi Phillip 2 2018 Discrete-time mean field partially observable controlled systems subject to common noise. Zbl 1378.49013 Chau, M. H. M.; Lai, Y.; Yam, S. C. P. 1 2017 Higher-order, polar and Sz.-Nagy’s generalized derivatives of random polynomials with independent and identically distributed zeros on the unit circle. Zbl 1311.30001 Cheung, Pak-Leong; Ng, Tuen Wai; Tsai, Jonathan; Yam, S. C. P. 1 2015 Dynamic trading with Markov liquidity switching. Zbl 1520.91373 Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip; Zhou, Zeyu 1 2023 Evolutionary credibility risk premium. Zbl 1446.91057 Chen, Yongzhao; Cheung, Ka Chun; Choi, Hugo Ming Cheung; Yam, Sheung Chi Phillip 1 2020 Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108 Privault, N.; Yam, S. C. P.; Zhang, Z. 1 2019 A unified “bang-bang” principle with respect to \({\mathcal R}\)-invariant performance benchmarks. Zbl 1273.91432 Yam, S. C. P.; Yung, S. P.; Zhou, W. 1 2013 Optimal selling time in stock market over a finite time horizon. Zbl 1254.91730 Yam, S. C. P.; Yung, Siu Pang; Zhou, Wei 1 2012 Control in Hilbert space and first-order mean field type problem. Zbl 1502.93005 Bensoussan, Alain; Cheung, Hang; Yam, Sheung Chi Phillip 1 2022 Machine learning and control theory. Zbl 1493.68292 Bensoussan, Alain; Li, Yiqun; Dinh Phan Cao Nguyen; Minh-Binh Tran; Yam, Sheung Chi Phillip; Zhou, Xiang 1 2022 Satisficing credibility for heterogeneous risks. Zbl 1490.91168 Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying 1 2022 A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result. Zbl 1263.91049 Yam, S. C. P.; Yung, S. P.; Zhou, J. H. 1 2013 Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise. Zbl 1295.93074 Jasso-Fuentes, Héctor; Mertz, Laurent; Yam, Sheung Chi Phillip 1 2014 Inter-temporal mutual-fund management. Zbl 1522.91208 Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip 1 2022 Value-gradient based formulation of optimal control problem and machine learning algorithm. Zbl 1523.49031 Bensoussan, Alain; Han, Jiayue; Yam, Sheung Chi Phillip; Zhou, Xiang 2 2023 Dynamic trading with Markov liquidity switching. Zbl 1520.91373 Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip; Zhou, Zeyu 1 2023 Relative performance evaluation for dynamic contracts in a large competitive market. Zbl 1507.91201 Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip 4 2022 Dynamic mean-variance problem with frictions. Zbl 1484.91414 Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip 3 2022 A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management. Zbl 1490.60162 Han, Jinhui; Phillip Yam, Sheung Chi 2 2022 Control in Hilbert space and first-order mean field type problem. Zbl 1502.93005 Bensoussan, Alain; Cheung, Hang; Yam, Sheung Chi Phillip 1 2022 Machine learning and control theory. Zbl 1493.68292 Bensoussan, Alain; Li, Yiqun; Dinh Phan Cao Nguyen; Minh-Binh Tran; Yam, Sheung Chi Phillip; Zhou, Xiang 1 2022 Satisficing credibility for heterogeneous risks. Zbl 1490.91168 Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying 1 2022 Inter-temporal mutual-fund management. Zbl 1522.91208 Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip 1 2022 A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144 Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip 6 2021 Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042 Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang 5 2021 Mean field approach to stochastic control with partial information. Zbl 1476.93156 Bensoussan, Alain; Yam, Sheung Chi Phillip 2 2021 Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142 Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying 6 2020 Mean-field-type games with jump and regime switching. Zbl 1437.91050 Bensoussan, Alain; Djehiche, Boualem; Tembine, Hamidou; Yam, Sheung Chi Phillip 6 2020 Mean field games with parametrized followers. Zbl 1483.91031 Bensoussan, Alain; Cass, Thomas; Chau, Man Ho Michael; Yam, Sheung Chi Phillip 3 2020 Evolutionary credibility risk premium. Zbl 1446.91057 Chen, Yongzhao; Cheung, Ka Chun; Choi, Hugo Ming Cheung; Yam, Sheung Chi Phillip 1 2020 Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272 Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying 17 2019 A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240 Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip 13 2019 Control problem on space of random variables and master equation. Zbl 1450.35305 Bensoussan, Alain; Yam, Sheung Chi Phillip 10 2019 Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising. Zbl 1427.49045 Bensoussan, Alain; Chen, Shaokuan; Chutani, Anshuman; Sethi, Suresh P.; Siu, Chi Chung; Phillip Yam, Sheung Chi 4 2019 On additivity of tail comonotonic risks. Zbl 1426.91210 Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung 4 2019 Reinsurance contract design with adverse selection. Zbl 1426.91211 Cheung, K. C.; Yam, S. C. P.; Yuen, F. L. 3 2019 Mean-risk portfolio management with bankruptcy prohibition. Zbl 1419.91596 Wong, K. C.; Yam, S. C. P.; Zeng, J. 2 2019 Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108 Privault, N.; Yam, S. C. P.; Zhang, Z. 1 2019 Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058 Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip 5 2018 Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities. Zbl 1381.37063 Bensoussan, Alain; Li, Yiqun; Yam, Sheung Chi Phillip 3 2018 Estimation of a monotone density in \(s\)-sample biased sampling models. Zbl 1407.62117 Chan, Kwun Chuen Gary; Ling, Hok Kan; Sit, Tony; Yam, Sheung Chi Phillip 2 2018 On the interpretation of the master equation. Zbl 1379.60063 Bensoussan, A.; Frehse, J.; Yam, S. C. P. 40 2017 Linear-quadratic mean field Stackelberg games with state and control delays. Zbl 1372.91021 Bensoussan, A.; Chau, M. H. M.; Lai, Y.; Yam, S. C. P. 20 2017 A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215 Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui 10 2017 Utility-deviation-risk portfolio selection. Zbl 1366.91147 Wong, K. C.; Yam, S. C. P.; Zheng, H. 7 2017 Discrete-time mean field partially observable controlled systems subject to common noise. Zbl 1378.49013 Chau, M. H. M.; Lai, Y.; Yam, S. C. P. 1 2017 Linear-quadratic mean field games. Zbl 1343.91010 Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 87 2016 Mean field games with a dominating player. Zbl 1348.49031 Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P. 31 2016 Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting. Zbl 1414.62107 Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip; Zhang, Zheng 29 2016 Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223 Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung 6 2016 Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise. Zbl 1456.74061 Bensoussan, A.; Mertz, L.; Yam, S. C. P. 3 2016 The master equation in mean field theory. Zbl 1325.35232 Bensoussan, Alain; Frehse, Jens; Yam, Sheung Chi Phillip 55 2015 Well-posedness of mean-field type forward-backward stochastic differential equations. Zbl 1327.60114 Bensoussan, A.; Yam, S. C. P.; Zhang, Z. 33 2015 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211 Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 30 2015 Mean field Stackelberg games: aggregation of delayed instructions. Zbl 1320.91028 Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P. 26 2015 Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235 Chau, K. W.; Yam, S. C. P.; Yang, H. 21 2015 Fourier-cosine method for ruin probabilities. Zbl 1305.91163 Chau, K. W.; Yam, S. C. P.; Yang, H. 17 2015 The optimal insurance under disappointment theories. Zbl 1348.91133 Cheung, K. C.; Chong, W. F.; Yam, S. C. P. 15 2015 Convex ordering for insurance preferences. Zbl 1348.91134 Cheung, K. C.; Chong, W. F.; Yam, S. C. P. 7 2015 Disappointment aversion premium principle. Zbl 1390.91131 Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip 2 2015 An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise. Zbl 1337.60148 Bensoussan, Alain; Feau, Cyril; Mertz, Laurent; Yam, Sheung Chi Phillip 2 2015 Higher-order, polar and Sz.-Nagy’s generalized derivatives of random polynomials with independent and identically distributed zeros on the unit circle. Zbl 1311.30001 Cheung, Pak-Leong; Ng, Tuen Wai; Tsai, Jonathan; Yam, S. C. P. 1 2015 A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180 Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 63 2014 Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110 Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P. 46 2014 Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096 Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 42 2014 Oracle, multiple robust and multipurpose calibration in a missing response problem. Zbl 1331.62070 Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip 15 2014 Game call options revisited. Zbl 1304.91228 Yam, S. C. P.; Yung, S. P.; Zhou, W. 9 2014 Borch’s theorem from the perspective of comonotonicity. Zbl 1403.91191 Cheung, K. C.; Rong, Yian; Yam, S. C. P. 5 2014 Mean-variance pre-commitment policies revisited via a mean-field technique. Zbl 1314.91189 Bensoussan, A.; Wong, K. C.; Yam, S. C. P. 3 2014 Critical points of random finite Blaschke products with independent and identically distributed zeros. Zbl 1350.30074 Cheung, Pak-Leong; Ng, Tuen Wai; Yam, S. C. P. 2 2014 Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise. Zbl 1295.93074 Jasso-Fuentes, Héctor; Mertz, Laurent; Yam, Sheung Chi Phillip 1 2014 Markowitz’s mean-variance asset-liability management with regime switching: a time-consistent approach. Zbl 1284.91533 Wei, Jiaqin; Wong, K. C.; Yam, S. C. P.; Yung, S. P. 47 2013 Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079 Chen, Ping; Yam, S. C. P. 24 2013 Linear-quadratic time-inconsistent mean field games. Zbl 1314.91040 Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P. 15 2013 A unified “bang-bang” principle with respect to \({\mathcal R}\)-invariant performance benchmarks. Zbl 1273.91432 Yam, S. C. P.; Yung, S. P.; Zhou, W. 1 2013 A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result. Zbl 1263.91049 Yam, S. C. P.; Yung, S. P.; Zhou, J. H. 1 2013 Average value-at-risk minimizing reinsurance under Wang’s premium principle with constraints. Zbl 1277.91076 Cheung, K. C.; Liu, F.; Yam, S. C. P. 12 2012 Long cycle behavior of the plastic deformation of an elasto-perfectly-plastic oscillator with noise. Zbl 1310.74011 Bensoussan, Alain; Mertz, Laurent; Yam, S. C. P. 3 2012 Optimal selling time in stock market over a finite time horizon. Zbl 1254.91730 Yam, S. C. P.; Yung, Siu Pang; Zhou, Wei 1 2012 Behavioral optimal insurance. Zbl 1229.91167 Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.; Zhou, J. H. 24 2011 Robust control for uncertain nonlinear systems with state-dependent control direction. Zbl 1207.93031 Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen 3 2011 Universal repetitive learning control for nonparametric uncertainty and unknown state-dependent control direction matrix. Zbl 1368.93232 Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen 10 2010 Two rationales behind the ‘buy-and-hold or sell-at-once’ strategy. Zbl 1186.60039 Yam, S. C. P.; Yung, S. P.; Zhou, W. 4 2009 all cited Publications top 5 cited Publications all top 5 Cited by 876 Authors 42 Yam, Sheung Chi Phillip 21 Bensoussan, Alain 21 Zhang, Zhimin 15 Cheung, Ka Chun 14 Huang, Jianhui 14 Jin, Zhuo 13 Shen, Yang 11 Boonen, Tim J. 11 Wei, Jiaqin 10 Pham, Huyên 10 Wu, Zhen 10 Zeng, Yan 9 Carmona, René A. 9 Ghossoub, Mario 9 Yang, Hailiang 8 Delarue, François 8 Laurière, Mathieu 8 Wong, Hoi Ying 8 Zhang, Yiying 7 Hu, Duni 7 Qian, Linyi 7 Wang, Bingchang 7 Wang, Hailong 7 Weng, Chengguo 7 Xiao, Helu 7 Yu, Wenguang 7 Yu, Zhiyong 7 Zhou, Zhongbao 6 Averboukh, Yuriĭ Vladimirovich 6 Bai, Yanfei 6 Cai, Jun 6 Chi, Yichun 6 Chong, Wing Fung 6 Forsyth, Peter A. 6 Han, Peisong 6 Lacker, Daniel 6 Li, Danping 6 Li, Shuanming 6 Li, Xun 6 Nie, Tianyang 6 Siu, Chi Chung 6 Tan, Ken Seng 6 Wang, Guangchen 6 Wang, Shujun 6 Xie, Jiayi 6 Yung, Siu Pang 6 Zhang, Huanshui 6 Zhao, Hui 6 Zhuang, Shengchao 5 Ai, Meiqiao 5 Asimit, Alexandru V. 5 Chen, Ping 5 Chen, Sixia 5 Chiu, Mei Choi 5 Dang, Duy Minh 5 Feng, Xinwei 5 Guo, Xin 5 Haziza, David 5 Huang, Minyi 5 Jiang, Wenjun 5 Li, Zhongfei 5 Liu, Fangda 5 Liu, Haiyan 5 Ma, Guiyuan 5 Moon, Jun-Hee 5 Shi, Jingtao 5 Wang, Tianxiao 5 Zhang, Zheng 4 Assa, Hirbod 4 Başar, Tamer 4 Caines, Peter Edwin 4 Cardaliaguet, Pierre 4 Cecchin, Alekos 4 Chau, Man Ho Michael 4 Chen, Lv 4 Chen, Zhiping 4 Cosso, Andrea 4 Gao, Rui 4 Han, Jinhui 4 Li, Juan 4 Liang, Zhibin 4 Lindensjö, Kristoffer 4 Lo, Ambrose 4 Mertz, Laurent 4 Peng, Xingchun 4 Pun, Chi Seng 4 Stadje, Mitja 4 Sun, Jingrui 4 Sung, K. C. J. 4 Tembine, Hamidou 4 Van Staden, Pieter M. 4 Wang, Ning 4 Wang, Rongming 4 Wei, Xiaoli 4 Wong, Kwok Chuen 4 Yang, Shu 4 Yin, Chuancun 4 Zhang, Jiannan 4 Zhang, Nan 4 Zhu, Dan ...and 776 more Authors all top 5 Cited in 148 Serials 97 Insurance Mathematics & Economics 35 SIAM Journal on Control and Optimization 32 Scandinavian Actuarial Journal 27 Applied Mathematics and Optimization 22 Automatica 22 Journal of Computational and Applied Mathematics 22 Journal of Industrial and Management Optimization 16 Communications in Statistics. Theory and Methods 14 European Journal of Operational Research 14 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations 13 Journal of Optimization Theory and Applications 12 ASTIN Bulletin 12 Dynamic Games and Applications 10 Journal of Mathematical Analysis and Applications 10 Stochastic Processes and their Applications 9 International Journal of Control 8 Mathematical Problems in Engineering 8 SIAM Journal on Financial Mathematics 7 Mathematics of Operations Research 7 The Annals of Applied Probability 6 Journal of Applied Probability 5 Applied Mathematics and Computation 5 Journal of Differential Equations 5 Transactions of the American Mathematical Society 5 Systems & Control Letters 5 SIAM Journal on Mathematical Analysis 5 Mathematical Control and Related Fields 4 The Annals of Probability 4 The Annals of Statistics 4 Biometrics 4 Stochastic Analysis and Applications 4 Optimization 4 Journal de Mathématiques Pures et Appliquées. Neuvième Série 4 Electronic Journal of Probability 4 Finance and Stochastics 4 Mathematical Finance 4 Mathematical Methods of Operations Research 4 Discrete Dynamics in Nature and Society 4 Probability in the Engineering and Informational Sciences 4 Quantitative Finance 4 Journal of Systems Science and Complexity 4 North American Actuarial Journal 4 Electronic Journal of Statistics 3 Journal of the Franklin Institute 3 Scandinavian Journal of Statistics 3 Journal of Econometrics 3 Optimal Control Applications & Methods 3 Computational Statistics and Data Analysis 3 International Journal of Theoretical and Applied Finance 3 Communications in Nonlinear Science and Numerical Simulation 3 Advances in Difference Equations 3 Mathematics and Financial Economics 3 Journal of Function Spaces 3 Statistical Theory and Related Fields 2 International Statistical Review 2 Journal of Multivariate Analysis 2 Journal of Statistical Planning and Inference 2 Mathematics and Computers in Simulation 2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 2 Statistics & Probability Letters 2 Operations Research Letters 2 Acta Mathematicae Applicatae Sinica. English Series 2 Probability Theory and Related Fields 2 Annals of Operations Research 2 Communications in Partial Differential Equations 2 International Journal of Robust and Nonlinear Control 2 SIAM Journal on Scientific Computing 2 Applied Mathematics. Series B (English Edition) 2 Statistica Sinica 2 Lifetime Data Analysis 2 Abstract and Applied Analysis 2 Journal of Inequalities and Applications 2 Journal of the European Mathematical Society (JEMS) 2 Methodology and Computing in Applied Probability 2 Decisions in Economics and Finance 2 Stochastic Models 2 Comptes Rendus. Mathématique. Académie des Sciences, Paris 2 Set-Valued and Variational Analysis 2 Science China. Mathematics 2 Games 2 European Actuarial Journal 2 Modern Stochastics. Theory and Applications 2 Minimax Theory and its Applications 2 Probability, Uncertainty and Quantitative Risk 1 Advances in Applied Probability 1 Computers & Mathematics with Applications 1 Journal d’Analyse Mathématique 1 Journal of Fluid Mechanics 1 Journal of Statistical Physics 1 Mathematics of Computation 1 Chaos, Solitons and Fractals 1 Annals of the Institute of Statistical Mathematics 1 Journal of Mathematical Economics 1 Memoirs of the American Mathematical Society 1 Metron 1 Numerische Mathematik 1 Operations Research 1 Osaka Journal of Mathematics 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Numerical Analysis ...and 48 more Serials all top 5 Cited in 29 Fields 492 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 213 Probability theory and stochastic processes (60-XX) 195 Systems theory; control (93-XX) 166 Calculus of variations and optimal control; optimization (49-XX) 108 Statistics (62-XX) 54 Partial differential equations (35-XX) 42 Operations research, mathematical programming (90-XX) 14 Ordinary differential equations (34-XX) 13 Numerical analysis (65-XX) 13 Computer science (68-XX) 5 Integral equations (45-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Global analysis, analysis on manifolds (58-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 3 Biology and other natural sciences (92-XX) 2 Real functions (26-XX) 2 Functions of a complex variable (30-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Mechanics of deformable solids (74-XX) 2 Fluid mechanics (76-XX) 2 Information and communication theory, circuits (94-XX) 1 Mathematical logic and foundations (03-XX) 1 Measure and integration (28-XX) 1 Difference and functional equations (39-XX) 1 Abstract harmonic analysis (43-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Operator theory (47-XX) 1 Mechanics of particles and systems (70-XX) Citations by Year