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Author ID: yang.hailiang Recent zbMATH articles by "Yang, Hailiang"
Published as: Yang, Hailiang; Yang, H.; Yang, Hai Liang; Yang, Hai-liang; Yang, Hai-Liang
Homepage: https://www.scifac.hku.hk/people/yang-hailiang
External Links: MGP · Google Scholar · ResearchGate
all top 5

Co-Authors

9 single-authored
26 Siu, Tak Kuen
13 Gerber, Hans U.
13 Wang, Rongming
9 Jin, Zhuo
9 Zhang, Zhimin
9 Zhu, Jinxia
8 Wei, Jiaqin
8 Yin, Gang George
7 Elliott, Robert James
7 Ng, Kai Wang
7 Shiu, Elias S. W.
7 Yam, Sheung Chi Phillip
7 Zhang, Lihong
6 Cheung, Ka Chun
6 Yuen, Fei Lung
5 Lau, John Wei
5 Li, Zhongfei
5 Tan, Ken Seng
5 Tang, Qihe
5 Tong, Howell
5 Yang, Hu
4 Cai, Jun
4 Chen, Ping
4 Meng, Hui
4 Ng, Andrew Cheuk-Yin
3 Chan, Gary K. C.
3 Fu, Jun
3 Lin, X. Sheldon
3 Siu, Chi Chung
3 Yao, Dingjun
3 Zhang, Lianzeng
2 Chau, Ki Wai
2 Cheung, Eric C. K.
2 Madan, Dilip B.
2 Yam, Phillip S. C.
2 Yan, Jia-An
2 Yin, George Gang
2 Yuen, Kam Chuen
2 Zeng, Yan
1 Abdelaty, M. A.
1 Albrecher, Hansjörg
1 Alpert, Hannah
1 Barchiesi, Emilio
1 Bensoussan, Alain
1 Boyle, Phelim P.
1 Chan, Wai-Sum
1 Chen, Lv
1 Chen, Shumin
1 Cheng, Xiang
1 Cheng, Yebin
1 Chesney, Marc
1 Ching, Wa-Ki
1 Chu, Kut Leung
1 Cohen, Samuel N.
1 Deng, Xiao-Tie
1 Deng, Xiaothie
1 Dong, Jing
1 Elliot, Robert J.
1 Gao, Lian Sheng
1 Guo, Fenglong
1 Han, Xixuan
1 Hu, Xiang
1 Jovanis, P. P.
1 Kaas, Rob
1 Karunamuni, Rohana J.
1 Kwan, Isaac K. M.
1 Laeven, Roger J. A.
1 Li, Danping
1 Li, Xiaolong
1 Lin, Sheldon
1 Lin, Yin
1 Liu, Chi Sang
1 Liu, Guo
1 Liu, Yuanjin
1 Lungyuen, Fei
1 Nevo, N.
1 Placidi, Luca
1 Qi, Jianxun
1 Qian, Linyi
1 Reddy, P. D. V. G.
1 Shi, Yifan
1 Siu, Kin Bong
1 Song, Na
1 Song, Qingshuo
1 Sun, Lijuan
1 Tran, Ca
1 Tsoi, Allanus H.
1 Tucker, N.
1 Vaughn, K. M.
1 Wang, Dingcheng
1 Wang, Guanqing
1 Wang, Guojing
1 Wang, Hanxing
1 Wang, Shouyang
1 Wei, Boyu
1 Willmot, Gordon E.
1 Wong, Heung
1 Woo, Jae-Kyung
1 Wright, John Alexander
1 Xing, Xiaoyu
...and 6 more Co-Authors
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Serials

30 Insurance Mathematics & Economics
15 North American Actuarial Journal
11 ASTIN Bulletin
8 Journal of Computational and Applied Mathematics
7 Scandinavian Actuarial Journal
7 Journal of Industrial and Management Optimization
6 European Journal of Operational Research
6 Journal of Inner Mongolia University
5 Advances in Applied Probability
5 Journal of Applied Probability
5 Acta Mathematicae Applicatae Sinica. English Series
4 Journal of Optimization Theory and Applications
4 Communications in Statistics. Theory and Methods
3 Statistics & Probability Letters
3 Stochastic Analysis and Applications
3 International Journal of Theoretical and Applied Finance
3 Probability in the Engineering and Informational Sciences
2 Automatica
2 Mathematical and Computer Modelling
2 Annals of Operations Research
2 Stochastic Processes and their Applications
2 Applied Mathematical Finance
2 Applied Stochastic Models in Business and Industry
2 Asia-Pacific Financial Markets
1 International Journal of Theoretical Physics
1 Applied Mathematics and Optimization
1 IEEE Transactions on Automatic Control
1 Scandinavian Actuarial Journal
1 Soochow Journal of Mathematics
1 Statistics & Decisions
1 Communications in Statistics. Stochastic Models
1 Journal of Applied Mathematics and Stochastic Analysis
1 Japan Journal of Industrial and Applied Mathematics
1 Computational Geometry
1 Applications of Mathematics
1 Stochastics and Stochastics Reports
1 SIAM Journal on Scientific Computing
1 Mitteilungen. Schweizerische Aktuarvereinigung (SAV)
1 Mathematics and Mechanics of Solids
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Methodology and Computing in Applied Probability
1 Dynamics of Continuous, Discrete & Impulsive Systems. Series B. Applications & Algorithms
1 Discrete and Continuous Dynamical Systems. Series B
1 International Mathematical Journal
1 Advances and Applications in Statistics
1 Stochastic Models
1 Journal of Actuarial Practice
1 Statistical Methodology
1 Frontiers of Mathematics in China
1 Applied Mathematical Sciences (Ruse)
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Communications on Stochastic Analysis
1 Risk and Decision Analysis
1 European Actuarial Journal
1 Mathematical Control and Related Fields
1 Advances in Statistics, Probability and Actuarial Science

Publications by Year

Citations contained in zbMATH Open

145 Publications have been cited 1,882 times in 1,291 Documents Cited by Year
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
155
2005
Precise large deviations for sums of random variables with consistently varying tails. Zbl 1051.60032
Ng, Kai W.; Tang, Qihe; Yan, Jia-An; Yang, Hailiang
76
2004
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
71
2008
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
54
2004
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
53
2003
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
49
2006
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. Zbl 1237.91143
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
46
2011
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
42
2014
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
41
2010
Spectrally negative Lévy processes with applications in risk theory. Zbl 0978.60104
Yang, Hailiang; Zhang, Lianzeng
36
2001
On the joint distribution of surplus before and after ruin under a Markovian regime switching model. Zbl 1093.60051
Ng, Andrew C. Y.; Yang, Hailiang
32
2006
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
32
2008
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203
Li, Danping; Zeng, Yan; Yang, Hailiang
31
2018
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
30
2002
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
29
2011
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
27
2005
Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
27
2012
Precise large deviations for the prospective-loss process. Zbl 1028.60024
Ng, Kai W.; Tang, Qihe; Yan, Jiaan; Yang, Hailiang
26
2003
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
26
2004
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
26
2012
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. Zbl 1364.93863
Jin, Zhuo; Yang, Hailiang; Yin, Gang George
25
2013
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558
Zhu, Jinxia; Yang, Hailiang
24
2008
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
23
2009
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
22
2014
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching. Zbl 1203.91118
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
22
2010
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
22
2013
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
22
2013
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145
Yuen, Fei Lung; Yang, Hailiang
21
2010
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
21
2008
Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100
Zhu, Jinxia; Yang, Hailiang
21
2008
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
20
2017
Ordering optimal proportions in the asset allocation problem with dependent default risks. Zbl 1117.91347
Cheung, Ka Chun; Yang, Hailiang
19
2004
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
19
2010
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
19
2014
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
18
2015
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
17
2017
Martingale method for ruin probability in an autoregressive model with constant interest rate. Zbl 1065.62182
Yang, Hailiang; Zhang, Lihong
16
2003
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
16
2015
Non-exponential bounds for ruin probabilities with interest effect included. Zbl 0922.62113
Yang, Hailiang
16
1999
Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
15
2010
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
15
2015
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
15
2012
Option pricing when the regime-switching risk is priced. Zbl 1188.91222
Siu, Tak Kuen; Yang, Hailiang
14
2009
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
14
2018
Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest. Zbl 1149.60063
Zhu, Jinxia; Yang, Hailiang
13
2008
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
13
2013
On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. Zbl 1054.60017
Sun, Lijuan; Yang, Hailiang
12
2004
On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421
Zhu, Jinxia; Yang, Hailiang
12
2009
On the Markov-modulated insurance risk model with tax. Zbl 1195.91071
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
11
2010
Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491
Cheung, Ka Chun; Yang, Hailiang
11
2007
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
11
2010
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
10
2016
The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547
Yang, Hailiang; Zhang, Lihong
10
2001
On the distribution of surplus immediately after ruin under interest force. Zbl 1012.91027
Yang, Hailiang; Zhang, Lihong
10
2001
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
10
2016
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
10
2018
Approximations for moments of deficit at ruin with exponential and subexponential claims. Zbl 1092.62599
Cheng, Yebin; Tang, Qihe; Yang, Hailiang
9
2002
Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the Sparre Andersen model. With discussions. Zbl 1085.60517
Ng, Andrew C. Y.; Yang, Hailiang
9
2005
Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606
Yang, H.; Siu, T. K.
9
2001
On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
9
2012
On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
8
2011
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
8
2010
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
7
2016
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
7
2006
A PDE approach to risk measures of derivatives. Zbl 1013.91060
Siu, Tak Kuen; Yang, Hailiang
7
2000
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
7
2004
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
7
2016
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
7
2015
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
7
2010
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
7
2012
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. Zbl 1366.91097
Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang
7
2017
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
7
2013
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
6
2016
How to count and guess well: Discrete adaptive filters. Zbl 0810.93062
Elliot, R. J.; Yang, Hailiang
6
1994
On the distribution of surplus immediately after ruin under interest force and subexponential claims. Zbl 1122.91347
Wang, Rongming; Yang, Hailiang; Wang, Hanxing
6
2004
Asset allocation with time variation in expected returns. Zbl 0914.90014
Boyle, Phelim P.; Yang, Hailiang
6
1997
On convergence rates of monotone empirical Bayes tests for the continuous one-parameter exponential family. Zbl 0820.62008
Karunamuni, Rohana J.; Yang, Hailiang
6
1995
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
6
2017
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2007
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2011
Optimal stopping behavior of equity-linked investment products with regime switching. Zbl 1129.60065
Cheung, Ka Chun; Yang, Hailiang
5
2005
Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125
Siu, Tak Kuen; Yang, Hailiang
5
1999
Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
5
2016
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2015
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
5
2015
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. Zbl 1431.91361
Jin, Zhuo; Liu, Guo; Yang, Hailiang
5
2020
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
5
2013
Optimal threshold dividend strategies under the compound Poisson model with regime switching. Zbl 1248.93175
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
5
2011
On Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
5
2006
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang
5
2020
Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under a Markov-modulated risk model. Zbl 1101.62102
Ng, Andrew C. Y.; Yang, Hailiang
4
2005
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Zbl 0884.90018
Chesney, Marc; Elliott, Robert J.; Madan, Dilip; Yang, Hailiang
4
1993
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050
Chen, Ping; Yang, Hailiang
4
2010
Asymptotically optimal dividend policy for regime-switching compound Poisson models. Zbl 1204.91061
Yin, G.; Jin, Zhuo; Yang, Hailiang
4
2010
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Zbl 1222.93237
Jin, Zhuo; Yin, George; Yang, Hailiang
4
2011
European option pricing when the riskfree interest rate follows a jump process. Zbl 0960.91031
Tsoi, Allanus H.; Yang, Hailiang; Yeung, Shu-Ngai
4
2000
Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084
Yang, Hailiang; Zhang, Lihong
4
2006
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226
Jin, Zhuo; Yang, Hailiang; Yin, G.
2
2021
Fourier-cosine method for finite-time Gerber-shiu functions. Zbl 07364336
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang
2
2021
Computation of brittle fracture propagation in strain gradient materials by the FEniCS library. Zbl 07357405
Barchiesi, E.; Yang, H.; Tran, Ca; Placidi, L.; Müller, W. H.
1
2021
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. Zbl 1431.91361
Jin, Zhuo; Liu, Guo; Yang, Hailiang
5
2020
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang
5
2020
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang
2
2020
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
A martingale approach for asset allocation with derivative security and hidden economic risk. Zbl 1425.91408
Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang
2
2019
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203
Li, Danping; Zeng, Yan; Yang, Hailiang
31
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
14
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
10
2018
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
20
2017
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
17
2017
Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. Zbl 1366.91097
Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang
7
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
6
2017
Optimal reinsurance and investment strategy with two piece utility function. Zbl 1406.91197
Chen, Lv; Yang, Hailiang
3
2017
A numerical approach to optimal dividend policies with capital injections and transaction costs. Zbl 1360.91153
Jin, Zhuo; Yang, Hai-liang; Yin, G.
1
2017
Gerber-Shiu analysis with two-sided acceptable levels. Zbl 1364.91071
Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang
1
2017
A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
1
2017
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
10
2016
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
10
2016
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
7
2016
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
7
2016
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
6
2016
Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
5
2016
On a nonparametric estimator for the finite time survival probability with zero initial surplus. Zbl 1360.91096
Zhang, Zhi-Min; Yang, Hai-Liang; Yang, Hu
1
2016
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
18
2015
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
16
2015
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
15
2015
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
7
2015
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2015
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
5
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
42
2014
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
22
2014
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
19
2014
On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest. Zbl 1291.91096
Cai, Jun; Yang, Hailiang
3
2014
Cox risk model with variable premium rate and stochastic return on investment. Zbl 1314.91147
Xu, Lin; Yang, Hailiang; Wang, Rongming
2
2014
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. Zbl 1364.93863
Jin, Zhuo; Yang, Hailiang; Yin, Gang George
25
2013
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
22
2013
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
22
2013
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
13
2013
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
7
2013
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
5
2013
American type geometric step options. Zbl 1275.91138
Xing, Xiaoyu; Yang, Hailiang
3
2013
Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
27
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
26
2012
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
15
2012
On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
9
2012
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
7
2012
Optimal asset allocation: a worst scenario expectation approach. Zbl 1267.91090
Yuen, Fei Lung; Yang, Hailiang
2
2012
Optimal surrender strategies for equity-indexed annuity investors with partial information. Zbl 1246.91121
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
2
2012
Asset allocation under threshold autoregressive models. Zbl 1286.91127
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang
1
2012
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. Zbl 1237.91143
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
46
2011
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
29
2011
On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
8
2011
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2011
Optimal threshold dividend strategies under the compound Poisson model with regime switching. Zbl 1248.93175
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
5
2011
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Zbl 1222.93237
Jin, Zhuo; Yin, George; Yang, Hailiang
4
2011
Ruin probabilities for the perturbed compound Poisson risk process with investment. Zbl 1315.91034
Zhu, Jinxia; Yang, Hailiang; Ng, Kai Wang
3
2011
Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model. Zbl 1271.62247
Qian, Linyi; Yang, Hailiang; Wang, Rongming
2
2011
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
41
2010
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching. Zbl 1203.91118
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
22
2010
Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145
Yuen, Fei Lung; Yang, Hailiang
21
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
19
2010
Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
15
2010
On the Markov-modulated insurance risk model with tax. Zbl 1195.91071
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
11
2010
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
11
2010
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
8
2010
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
7
2010
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050
Chen, Ping; Yang, Hailiang
4
2010
Asymptotically optimal dividend policy for regime-switching compound Poisson models. Zbl 1204.91061
Yin, G.; Jin, Zhuo; Yang, Hailiang
4
2010
Upper comonotonicity and convex upper bounds for sums of random variables. Zbl 1231.60016
Dong, Jing; Cheung, Ka Chun; Yang, Hailiang
4
2010
Obtaining the dividends-penalty identities by interpretation. Zbl 1231.91487
Gerber, Hans U.; Yang, Hailiang
3
2010
Dependent insurance risk model: deterministic threshold. Zbl 1188.62298
Kwan, Isaac K. M.; Yang, Hailiang
1
2010
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
23
2009
Option pricing when the regime-switching risk is priced. Zbl 1188.91222
Siu, Tak Kuen; Yang, Hailiang
14
2009
On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421
Zhu, Jinxia; Yang, Hailiang
12
2009
Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
3
2009
Crossing time of annuities with exponential payment rates. Zbl 1333.91027
Gerber, H. U.; Shiu, E. S. W.; Yang, H.
2
2009
Stochastic optimization algorithms for barrier dividend strategies. Zbl 1152.91559
Yin, G.; Song, Q. S.; Yang, H.
1
2009
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
71
2008
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
32
2008
Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558
Zhu, Jinxia; Yang, Hailiang
24
2008
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
21
2008
Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100
Zhu, Jinxia; Yang, Hailiang
21
2008
Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest. Zbl 1149.60063
Zhu, Jinxia; Yang, Hailiang
13
2008
Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks. Zbl 1137.62071
Cheung, Ka Chun; Yang, Hailiang
3
2008
Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491
Cheung, Ka Chun; Yang, Hailiang
11
2007
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2007
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
2
2007
Expected shortfall under a model with market and credit risks. Zbl 1311.91175
Siu, Kin Bong; Yang, Hailiang
1
2007
Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019
Li, Z. F.; Yang, H.; Deng, X. T.
1
2007
Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208
Gerber, Hans U.; Yang, Hailiang
1
2007
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
49
2006
On the joint distribution of surplus before and after ruin under a Markovian regime switching model. Zbl 1093.60051
Ng, Andrew C. Y.; Yang, Hailiang
32
2006
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
7
2006
On Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
5
2006
Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084
Yang, Hailiang; Zhang, Lihong
4
2006
Bounds of ruin probability for regime-switching models using time scale separation. Zbl 1129.91028
Yin, G.; Liu, Y. J.; Yang, H.
3
2006
...and 45 more Documents
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Cited by 1,357 Authors

67 Yang, Hailiang
60 Siu, Tak Kuen
37 Jin, Zhuo
32 Zhang, Zhimin
29 Yuen, Kam Chuen
28 Wang, Rongming
27 Elliott, Robert James
25 Li, Zhongfei
23 Cheung, Eric C. K.
21 Chen, Ping
21 Li, Shuanming
21 Liang, Zhibin
21 Tang, Qihe
21 Yin, Chuancun
20 Guo, Junyi
20 Shen, Yang
20 Zeng, Yan
19 Cai, Jun
19 Zhao, Hui
17 Gerber, Hans U.
17 Wei, Jiaqin
16 Rong, Ximin
16 Yao, Dingjun
15 Yang, Yang
14 Albrecher, Hansjörg
14 Qian, Linyi
14 Wang, Wenyuan
14 Yao, Haixiang
13 Shiu, Elias S. W.
13 Šiaulys, Jonas
13 Wang, Dingcheng
13 Yam, Sheung Chi Phillip
12 Wang, Guojing
12 Yin, Gang George
11 Landriault, David
11 Leipus, Remigijus
11 Li, Xiaohu
11 Xu, Lin
11 Zhou, Ming
11 Zhou, Xiaowen
11 Zhu, Jinxia
10 Lu, Dawei
10 Shen, Xinmei
10 Willmot, Gordon E.
10 Yang, Xiangqun
10 Yu, Wenguang
9 Cheung, Ka Chun
9 Ching, Wai-Ki
9 Li, Danping
9 Ma, Jingtang
9 Ng, Kai Wang
9 Wang, Wei
9 Wu, Huiling
9 Wu, Rong
9 Yin, George Gang
9 Zhang, Xin
8 Bai, Lihua
8 Chen, Mi
8 Chen, Yiqing
8 Huang, Ya
8 Palmowski, Zbigniew
8 Song, Lixin
8 Young, Virginia R.
8 Zhou, Jieming
7 Avanzi, Benjamin
7 Avram, Florin
7 Dong, Hua
7 Feng, Runhuan
7 Fu, Ke’ang
7 Guan, Guohui
7 Guo, Fenglong
7 Liang, Zongxia
7 Lin, Xiang
7 Meng, Hui
7 Renaud, Jean-François
7 Wang, Kaiyong
7 Yang, Peng
7 Zhang, Nan
7 Zhao, Yongxia
6 Bi, Junna
6 Boxma, Onno Johan
6 Chen, Zhiping
6 Hu, Yijun
6 Li, Xun
6 Lu, Yi
6 Luo, Shangzhen
6 Ng, Andrew Cheuk-Yin
6 Su, Wen
6 Sun, Zhongyang
6 Wang, Ning
6 Wang, Yongjin
6 Wang, Yuebao
6 Wong, Bernard
6 Wong, Hoi Ying
6 Xiao, Helu
6 Yang, Hu
6 Zhou, Zhongbao
6 Zhu, Songping
5 Badescu, Alexandru M.
5 Badescu, Andrei L.
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247 Insurance Mathematics & Economics
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