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Yang, Hailiang

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Author ID: yang.hailiang Recent zbMATH articles by "Yang, Hailiang"
Published as: Yang, H.; Yang, Hai Liang; Yang, Hai-Liang; Yang, Hai-liang; Yang, Hailiang
Homepage: https://www.scifac.hku.hk/people/yang-hailiang
External Links: MGP · ResearchGate
Documents Indexed: 167 Publications since 1986, including 2 Books
all top 5

Co-Authors

8 single-authored
26 Siu, Tak Kuen
13 Wang, Rongming
10 Gerber, Hans U.
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 Zhang, Lihong
6 Cheung, Ka Chun
6 Yam, Sheung Chi Phillip
6 Yuen, Fei Lung
5 Lau, John Wei
5 Tang, Qihe
5 Tong, Howell
5 Yang, Hu
4 Chen, Ping
4 Li, Zhongfei
4 Meng, Hui
3 Chan, Gary K. C.
3 Fu, Jun
3 Ng, Andrew Cheuk-Yin
3 Siu, Chi Chung
3 Yao, Dingjun
3 Zhang, Lianzeng
2 Cai, Jun
2 Chau, Ki Wai
2 Cheung, Eric C. K.
2 Madan, Dilip B.
2 Tan, Ken Seng
2 Wang, Gang
2 Yam, Phillip S. C.
2 Yan, Jia-An
2 Yin, George Gang
2 Yuen, Kam Chuen
2 Zeng, Yan
1 Albrecher, Hansjörg
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 Kaas, Rob
1 Karunamuni, Rohana J.
1 Kwan, Isaac K. M.
1 Laeven, Roger J. A.
1 Li, Danping
1 Lin, Sheldon
1 Lin, Xiaolong
1 Lin, Yin
1 Liu, Chi Sang
1 Liu, Guo
1 Liu, Yuanjin
1 Lungyuen, Fei
1 Qi, Jianxun
1 Qian, Linyi
1 Siu, Kin Bong
1 Song, Na
1 Song, Qingshuo
1 Sun, Lijuan
1 Tsoi, Allanus H.
1 Wang, Dingcheng
1 Wang, Gang
1 Wang, Guanqing
1 Wang, Guojing
1 Wang, Hanxing
1 Wang, Shouyang
1 Wei, Boyu
1 Wei, Li
1 Willmot, Gordon E.
1 Wong, Heung
1 Woo, Jae-Kyung
1 Wright, John A.
1 Xing, Xiaoyu
1 Xu, Lin
1 Xu, Ran
1 Yeung, Shu-Ngai
1 Zhao, Hui
1 Zhao, Yongxia
1 Zhou, Xian
all top 5

Serials

30 Insurance Mathematics & Economics
11 ASTIN Bulletin
8 Journal of Computational and Applied Mathematics
7 Scandinavian Actuarial Journal
7 North American 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 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 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 Mathematical and Computer Modelling
1 Journal of Applied Mathematics and Stochastic Analysis
1 Japan Journal of Industrial and Applied Mathematics
1 Applications of Mathematics
1 Stochastics and Stochastics Reports
1 Mitteilungen. Schweizerische Aktuarvereinigung (SAV)
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

136 Publications have been cited 1,549 times in 1,083 Documents Cited by Year
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
131
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
66
2004
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
58
2008
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
47
2004
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
45
2003
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X.; Yang, Hailiang
43
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
42
2011
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
36
2010
Spectrally negative Lévy processes with applications in risk theory. Zbl 0978.60104
Yang, Hailiang; Zhang, Lianzeng
32
2001
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
30
2014
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
30
2002
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
26
2006
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
24
2008
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
24
2005
Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558
Zhu, Jinxia; Yang, Hailiang
23
2008
Precise large deviations for the prospective-loss process. Zbl 1028.60024
Ng, Kai W.; Tang, Qihe; Yan, Jiaan; Yang, Hailiang
23
2003
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
22
2018
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
22
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
21
2012
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
21
2011
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
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
21
2009
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
21
2008
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
21
2004
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
20
2014
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
19
2014
Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100
Zhu, Jinxia; Yang, Hailiang
19
2008
Ordering optimal proportions in the asset allocation problem with dependent default risks. Zbl 1117.91347
Cheung, Ka Chun; Yang, Hailiang
19
2004
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
17
2010
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
16
2013
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
15
2013
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
15
2013
Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
15
2010
Non-exponential bounds for ruin probabilities with interest effect included. Zbl 0922.62113
Yang, Hailiang
15
1999
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
14
2014
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
14
2010
Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
14
2001
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
13
2012
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
Martingale method for ruin probability in an autoregressive model with constant interest rate. Zbl 1065.62182
Yang, Hailiang; Zhang, Lihong
13
2003
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
12
2017
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
12
2013
Option pricing when the regime-switching risk is priced. Zbl 1188.91222
Siu, Tak Kuen; Yang, Hailiang
12
2009
On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421
Zhu, Jinxia; Yang, Hailiang
12
2009
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
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
11
2017
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
11
2015
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
10
2010
Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491
Cheung, Ka Chun; Yang, Hailiang
10
2007
A PDE approach to risk measures of derivatives. Zbl 1013.91060
Siu, Tak Kuen; Yang, Hailiang
10
2000
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
9
2016
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
9
2015
On the Markov-modulated insurance risk model with tax. Zbl 1195.91071
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
9
2010
Approximations for moments of deficit at ruin with exponential and subexponential claims. Zbl 1092.62599
Cheng, Yebin; Tang, Qihe; Yang, Hailiang
9
2002
Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606
Yang, H.; Siu, T. K.
9
2001
The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547
Yang, Hailiang; Zhang, Lihong
9
2001
On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
8
2012
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
8
2005
On the distribution of surplus immediately after ruin under interest force. Zbl 1012.91027
Yang, Hailiang; Zhang, Lihong
8
2001
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
7
2018
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
7
2016
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
7
2015
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
7
2012
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2010
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2007
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
6
2016
On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
6
2011
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
6
2010
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
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
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
How to count and guess well: Discrete adaptive filters. Zbl 0810.93062
Elliot, R. J.; Yang, Hailiang
6
1994
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
5
2018
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
5
2016
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; 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
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
5
2011
On Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
5
2006
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
5
2006
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
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
4
2017
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
4
2016
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
4
2015
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
4
2013
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Zbl 1222.93237
Jin, Zhuo; Yin, George; Yang, Hailiang
4
2011
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
Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084
Yang, Hailiang; Zhang, Lihong
4
2006
Asset allocation with regime-switching: discrete-time case. Zbl 1098.91049
Cheung, Ka Chun; Yang, Hailiang
4
2004
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
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
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
3
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
3
2015
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
Obtaining the dividends-penalty identities by interpretation. Zbl 1231.91487
Gerber, Hans U.; Yang, Hailiang
3
2010
Upper comonotonicity and convex upper bounds for sums of random variables. Zbl 1231.60016
Dong, Jing; Cheung, Ka Chun; Yang, Hailiang
3
2010
Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks. Zbl 1137.62071
Cheung, Ka Chun; Yang, Hailiang
3
2008
Bounds of ruin probability for regime-switching models using time scale separation. Zbl 1129.91028
Yin, G.; Liu, Y. J.; Yang, H.
3
2006
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129
Cheng, Xiang; Jin, Zhuo; Yang, Hailiang
1
2020
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang
1
2020
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
1
2020
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
2
2019
A martingale approach for asset allocation with derivative security and hidden economic risk. Zbl 1425.91408
Siu, Tak Kuen; Zhu, Jinxia; Yang, Hailiang
1
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
22
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
7
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
5
2018
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
12
2017
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
11
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
4
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
1
2017
Optimal reinsurance and investment strategy with two piece utility function. Zbl 1406.91197
Chen, Lv; Yang, Hailiang
1
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
A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
1
2017
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
9
2016
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
7
2016
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
6
2016
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
5
2016
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
4
2016
Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
1
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
11
2015
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
9
2015
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
7
2015
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
4
2015
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
3
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
3
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
30
2014
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
20
2014
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
19
2014
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
14
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
1
2014
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
16
2013
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
15
2013
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
15
2013
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
12
2013
Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
5
2013
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
4
2013
American type geometric step options. Zbl 1275.91138
Xing, Xiaoyu; Yang, Hailiang
2
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
22
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
21
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
13
2012
On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
8
2012
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
7
2012
Optimal surrender strategies for equity-indexed annuity investors with partial information. Zbl 1246.91121
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
2
2012
Optimal asset allocation: a worst scenario expectation approach. Zbl 1267.91090
Yuen, Fei Lung; 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
42
2011
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
21
2011
On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
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
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
5
2011
Numerical methods for dividend optimization using regime-switching jump-diffusion models. Zbl 1222.93237
Jin, Zhuo; Yin, George; Yang, Hailiang
4
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
Ruin probabilities for the perturbed compound Poisson risk process with investment. Zbl 1315.91034
Zhu, Jinxia; Yang, Hailiang; Ng, Kai Wang
1
2011
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
36
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
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
17
2010
Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
15
2010
A direct approach to the discounted penalty function. Zbl 1219.91063
Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang
14
2010
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
10
2010
On the Markov-modulated insurance risk model with tax. Zbl 1195.91071
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
9
2010
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2010
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
6
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
Obtaining the dividends-penalty identities by interpretation. Zbl 1231.91487
Gerber, Hans U.; Yang, Hailiang
3
2010
Upper comonotonicity and convex upper bounds for sums of random variables. Zbl 1231.60016
Dong, Jing; Cheung, Ka Chun; Yang, Hailiang
3
2010
Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298
Yuen, Fei Lung; Yang, Hailiang
21
2009
Option pricing when the regime-switching risk is priced. Zbl 1188.91222
Siu, Tak Kuen; Yang, Hailiang
12
2009
On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421
Zhu, Jinxia; Yang, Hailiang
12
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
58
2008
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
24
2008
Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558
Zhu, Jinxia; Yang, Hailiang
23
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
19
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
10
2007
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2007
On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
2
2007
Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019
Li, Z. F.; Yang, H.; Deng, X. T.
1
2007
Expected shortfall under a model with market and credit risks. Zbl 1311.91175
Siu, Kin Bong; Yang, Hailiang
1
2007
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X.; Yang, Hailiang
43
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
26
2006
On Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
5
2006
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; 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
On valuation of derivative securities: A Lie group analytical approach. Zbl 1164.60359
Yam, Phillip S. C.; Yang, Hailiang
1
2006
Upper bounds for ruin probability under time series models. Zbl 1183.62182
Chan, Gary K. C.; Yang, Hailiang
1
2006
Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection. Zbl 1138.91460
Li, Zhong-Fei; Ng, Kai W.; Tan, Ken Seng; Yang, Hailiang
1
2006
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
131
2005
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
24
2005
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
8
2005
Optimal stopping behavior of equity-linked investment products with regime switching. Zbl 1129.60065
Cheung, Ka Chun; Yang, Hailiang
5
2005
...and 36 more Documents
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Cited by 1,198 Authors

63 Yang, Hailiang
57 Siu, Tak Kuen
29 Jin, Zhuo
29 Zhang, Zhimin
26 Wang, Rongming
25 Elliott, Robert James
24 Yuen, Kam Chuen
23 Li, Zhongfei
21 Cheung, Eric C. K.
21 Tang, Qihe
21 Yin, Chuancun
20 Zeng, Yan
19 Liang, Zhibin
19 Shen, Yang
18 Cai, Jun
17 Chen, Ping
17 Guo, Junyi
16 Yao, Dingjun
15 Li, Shuanming
15 Zhao, Hui
14 Wei, Jiaqin
13 Gerber, Hans U.
13 Yao, Haixiang
12 Qian, Linyi
12 Rong, Ximin
12 Šiaulys, Jonas
12 Yin, Gang George
11 Albrecher, Hansjörg
11 Landriault, David
11 Leipus, Remigijus
11 Li, Xiaohu
11 Zhou, Xiaowen
11 Zhu, Jinxia
10 Cheung, Ka Chun
10 Shiu, Elias S. W.
10 Willmot, Gordon E.
10 Xu, Lin
10 Yam, Sheung Chi Phillip
10 Yang, Xiangqun
10 Zhang, Xin
9 Ching, Wai-Ki
9 Ma, Jingtang
9 Ng, Kai Wang
9 Shen, Xinmei
9 Wang, Guojing
9 Wu, Huiling
8 Bai, Lihua
8 Chen, Yiqing
8 Li, Danping
8 Wang, Dingcheng
8 Wang, Wenyuan
8 Wu, Rong
8 Young, Virginia R.
8 Zhou, Ming
7 Avram, Florin
7 Feng, Runhuan
7 Guan, Guohui
7 Liang, Zongxia
7 Lin, Xiang
7 Lu, Dawei
7 Meng, Hui
7 Palmowski, Zbigniew
7 Renaud, Jean-François
7 Wang, Kaiyong
7 Zhou, Jieming
6 Avanzi, Benjamin
6 Dong, Hua
6 Fu, Ke’ang
6 Huang, Ya
6 Li, Xun
6 Song, Lixin
6 Wang, Wei
6 Wang, Yongjin
6 Wong, Bernard
6 Wong, Hoi Ying
6 Yang, Hu
6 Yin, George Gang
6 Yu, Wenguang
6 Zhang, Nan
6 Zhu, Songping
5 Badescu, Alexandru M.
5 Bi, Junna
5 Bo, Lijun
5 Boxma, Onno Johan
5 Chan, Leunglung
5 Chen, Lv
5 Cheng, Jianhua
5 Guo, Fenglong
5 Hu, Duni
5 Hu, Yijun
5 Liang, Xiaoqing
5 Lu, Yi
5 Luo, Shangzhen
5 Ng, Andrew Cheuk-Yin
5 Su, Wen
5 Wang, Chou-Wen
5 Wang, Dehui
5 Wang, Hailong
5 Wang, Wensheng
5 Wang, Yuebao
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238 Insurance Mathematics & Economics
63 Journal of Computational and Applied Mathematics
48 Scandinavian Actuarial Journal
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27 European Journal of Operational Research
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15 International Journal of Theoretical and Applied Finance
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3 Applied Mathematical Finance
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2 Science in China. Series A
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