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Author ID: dong.yinghui Recent zbMATH articles by "Dong, Yinghui"
Published as: Dong, Yinghui
Documents Indexed: 61 Publications since 2004
Co-Authors: 29 Co-Authors with 56 Joint Publications
1,010 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

37 Publications have been cited 124 times in 88 Documents Cited by Year
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan. Zbl 1431.91358
Dong, Yinghui; Zheng, Harry
22
2020
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. Zbl 1419.91357
Dong, Yinghui; Zheng, Harry
13
2019
A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations. Zbl 1437.93128
Tian, Zhaolu; Wang, Junxin; Dong, Yinghui; Liu, Zhongyun
7
2020
Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps. Zbl 1217.91195
Dong, Yinghui; Wang, Guojing; Wu, Rong
6
2011
Fair valuation of life insurance contracts under a correlated jump diffusion model. Zbl 1251.91038
Dong, Yinghui
6
2011
On a compound assets model with positive jumps. Zbl 1164.91029
Dong, Yinghui; Wang, Guojing
5
2008
Ruin probability for renewal risk model with negative risk sums. Zbl 1135.91367
Dong, Yinghui; Wang, Guojing
5
2006
A reduced-form model for correlated defaults with regime-switching shot noise intensities. Zbl 1343.60117
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng
5
2016
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model. Zbl 1287.91138
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
4
2014
On the renewal risk model under a threshold strategy. Zbl 1170.91014
Dong, Yinghui; Wang, Guojing; Yuen, Kam C.
4
2009
A contagion model with Markov regime-switching intensities. Zbl 1343.60116
Dong, Yinghui; Wang, Guojing
4
2014
Pricing credit derivatives under a correlated regime-switching hazard processes model. Zbl 1361.91060
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing
4
2017
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives. Zbl 1282.91339
Liang, Xue; Wang, Guojing; Dong, Yinghui
3
2013
A regime-switching model with jumps and its application to bond pricing and insurance. Zbl 1352.60111
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen
3
2016
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee. Zbl 1511.91136
Wu, Sang; Dong, Yinghui; Lv, Wenxin; Wang, Guojing
3
2020
The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier. Zbl 07530016
Xu, Chao; Dong, Yinghui; Wang, Guojing
3
2019
Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model. Zbl 1289.91075
Dong, Yinghui
2
2013
The classical risk model with constant interest and threshold strategy. Zbl 1154.91499
Dong, Yinghui; Yuen, Kam C.
2
2008
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
2
2020
Regime-switching shot-noise processes and longevity bond pricing. Zbl 1341.60069
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
2
2014
Correlated default models driven by a multivariate regime-switching shot noise process. Zbl 07110050
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen
2
2018
Some relaxed iteration methods for solving matrix equation \(AXB=C\). Zbl 1510.65083
Tian, Zhaolu; Li, Xiaojing; Dong, Yinghui; Liu, Zhongyun
2
2021
A hyper-exponential jump-diffusion model under the barrier dividend strategy. Zbl 1340.91045
Dong, Yinghui; Chen, Yao; Zhu, Haifei
1
2015
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. Zbl 1307.91186
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
1
2014
Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier. Zbl 1429.91317
Dong, Yinghui; Xu, Chao; Wu, Sang
1
2019
Ruin probability for the risk process with correlated negative risk sums. Zbl 1155.62462
Dong, Yinghui; Wang, Guojing
1
2004
Ruin probability for correlated negative risk sums model with Erlang processes. Zbl 1199.62036
Dong, Yinghui
1
2009
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358
Dong, Yinghui; Liang, Xue; Wang, Guojing
1
2012
Pricing dynamic fund protections under a stochastic boundary. Zbl 1424.91141
Xu, Chao; Dong, Yinghui
1
2018
The dependence of assets and default threshold with thinning-dependence structure. Zbl 1364.49020
Dong, Yinghui; Wang, Guojing
1
2012
Fair valuation of life insurance contracts under a two-sided jump diffusion model. Zbl 1277.91082
Dong, Yinghui; Wang, Guojing
1
2013
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities. Zbl 1416.91389
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing
1
2017
A Markov chain copula model for credit default swaps with bilateral counterparty risk. Zbl 06599064
Liang, Xue; Dong, Yinghui
1
2014
First passage time under a regime-switching jump-diffusion model and its application in the valuation of participating contracts. Zbl 1426.91214
Dong, Yinghui; Lv, Wenxin; Wu, Sang
1
2019
Basket CDS pricing with default intensities using a regime-switching shot-noise model. Zbl 1508.91589
Guo, Jie; Dong, Yinghui; Wang, Guojing
1
2018
Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level. Zbl 1476.91194
Xu, Chao; Dong, Yinghui; Tian, Zhaolu; Wang, Guojing
1
2020
New results of the IO iteration algorithm for solving Sylvester matrix equation. Zbl 1502.65020
Tian, Zhaolu; Wang, Yudong; Dong, Yinghui; Wang, Shiyu
1
2022
New results of the IO iteration algorithm for solving Sylvester matrix equation. Zbl 1502.65020
Tian, Zhaolu; Wang, Yudong; Dong, Yinghui; Wang, Shiyu
1
2022
Some relaxed iteration methods for solving matrix equation \(AXB=C\). Zbl 1510.65083
Tian, Zhaolu; Li, Xiaojing; Dong, Yinghui; Liu, Zhongyun
2
2021
Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan. Zbl 1431.91358
Dong, Yinghui; Zheng, Harry
22
2020
A multi-step Smith-inner-outer iteration algorithm for solving coupled continuous Markovian jump Lyapunov matrix equations. Zbl 1437.93128
Tian, Zhaolu; Wang, Junxin; Dong, Yinghui; Liu, Zhongyun
7
2020
Optimal asset allocation for participating contracts with mortality risk under minimum guarantee. Zbl 1511.91136
Wu, Sang; Dong, Yinghui; Lv, Wenxin; Wang, Guojing
3
2020
Optimal asset allocation for participating contracts under the VaR and PI constraint. Zbl 1433.91129
Dong, Yinghui; Wu, Sang; Lv, Wenxin; Wang, Guojing
2
2020
Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level. Zbl 1476.91194
Xu, Chao; Dong, Yinghui; Tian, Zhaolu; Wang, Guojing
1
2020
Optimal investment of DC pension plan under short-selling constraints and portfolio insurance. Zbl 1419.91357
Dong, Yinghui; Zheng, Harry
13
2019
The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier. Zbl 07530016
Xu, Chao; Dong, Yinghui; Wang, Guojing
3
2019
Pricing a chained dynamic fund protection under Vasicek interest rate model with stochastic barrier. Zbl 1429.91317
Dong, Yinghui; Xu, Chao; Wu, Sang
1
2019
First passage time under a regime-switching jump-diffusion model and its application in the valuation of participating contracts. Zbl 1426.91214
Dong, Yinghui; Lv, Wenxin; Wu, Sang
1
2019
Correlated default models driven by a multivariate regime-switching shot noise process. Zbl 07110050
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen
2
2018
Pricing dynamic fund protections under a stochastic boundary. Zbl 1424.91141
Xu, Chao; Dong, Yinghui
1
2018
Basket CDS pricing with default intensities using a regime-switching shot-noise model. Zbl 1508.91589
Guo, Jie; Dong, Yinghui; Wang, Guojing
1
2018
Pricing credit derivatives under a correlated regime-switching hazard processes model. Zbl 1361.91060
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing
4
2017
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities. Zbl 1416.91389
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing
1
2017
A reduced-form model for correlated defaults with regime-switching shot noise intensities. Zbl 1343.60117
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng
5
2016
A regime-switching model with jumps and its application to bond pricing and insurance. Zbl 1352.60111
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen
3
2016
A hyper-exponential jump-diffusion model under the barrier dividend strategy. Zbl 1340.91045
Dong, Yinghui; Chen, Yao; Zhu, Haifei
1
2015
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model. Zbl 1287.91138
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
4
2014
A contagion model with Markov regime-switching intensities. Zbl 1343.60116
Dong, Yinghui; Wang, Guojing
4
2014
Regime-switching shot-noise processes and longevity bond pricing. Zbl 1341.60069
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
2
2014
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. Zbl 1307.91186
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng
1
2014
A Markov chain copula model for credit default swaps with bilateral counterparty risk. Zbl 06599064
Liang, Xue; Dong, Yinghui
1
2014
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives. Zbl 1282.91339
Liang, Xue; Wang, Guojing; Dong, Yinghui
3
2013
Pricing dynamic guaranteed funds with stochastic barrier under Vasicek interest rate model. Zbl 1289.91075
Dong, Yinghui
2
2013
Fair valuation of life insurance contracts under a two-sided jump diffusion model. Zbl 1277.91082
Dong, Yinghui; Wang, Guojing
1
2013
Unilateral counterparty risk valuation for CDS under a regime switching interacting intensities model. Zbl 1282.91358
Dong, Yinghui; Liang, Xue; Wang, Guojing
1
2012
The dependence of assets and default threshold with thinning-dependence structure. Zbl 1364.49020
Dong, Yinghui; Wang, Guojing
1
2012
Pricing the zero-coupon bond and its fair premium under a structural credit risk model with jumps. Zbl 1217.91195
Dong, Yinghui; Wang, Guojing; Wu, Rong
6
2011
Fair valuation of life insurance contracts under a correlated jump diffusion model. Zbl 1251.91038
Dong, Yinghui
6
2011
On the renewal risk model under a threshold strategy. Zbl 1170.91014
Dong, Yinghui; Wang, Guojing; Yuen, Kam C.
4
2009
Ruin probability for correlated negative risk sums model with Erlang processes. Zbl 1199.62036
Dong, Yinghui
1
2009
On a compound assets model with positive jumps. Zbl 1164.91029
Dong, Yinghui; Wang, Guojing
5
2008
The classical risk model with constant interest and threshold strategy. Zbl 1154.91499
Dong, Yinghui; Yuen, Kam C.
2
2008
Ruin probability for renewal risk model with negative risk sums. Zbl 1135.91367
Dong, Yinghui; Wang, Guojing
5
2006
Ruin probability for the risk process with correlated negative risk sums. Zbl 1155.62462
Dong, Yinghui; Wang, Guojing
1
2004
all top 5

Cited by 169 Authors

18 Dong, Yinghui
14 Wang, Guojing
5 Tian, Zhaolu
5 Yuen, Kam Chuen
4 Escobar Anel, Marcos
4 Guo, Jie
4 Lv, Wenxin
4 Wu, Sang
4 Zagst, Rudi
3 Kschonnek, Michel
3 Liang, Zongxia
3 Liu, Zhongyun
3 Qian, Xiaosong
3 Wang, Yudong
3 Yang, Hailiang
3 Zhou, Jieming
2 Deelstra, Griselda
2 Deng, Yingchun
2 Dharmaraja, Selvamuthu
2 Huang, Ya
2 Li, Xun
2 Li, Zhongfei
2 Liang, Xue
2 Liu, Yang
2 Pasricha, Puneet
2 Qu, Gangrong
2 Siu, Chi Chung
2 Song, Caiqin
2 Wang, Kaiyong
2 Wang, Wenli
2 Wang, Yijun
2 Wen, Yuzhen
2 Xu, Chao
2 Yao, Haixiang
2 Yin, Chuancun
2 Zhi, Kangquan
1 Agarwal, Ankush
1 Aranishi, Futoshi
1 Armstrong, John
1 Avanzi, Benjamin
1 Barucci, Emilio
1 Bazyari, Abouzar
1 Bielecki, Tomasz R.
1 Biffis, Enrico
1 Bohnert, Alexander
1 Brigo, Damiano
1 Cai, Xiaorong
1 Chen, Dengsheng
1 Chen, Fenge
1 Chen, Jingjing
1 Chen, Ping
1 Chen, Yong
1 Chen, Yuhuan
1 Chen, Yuqun
1 Chen, Zheng
1 Cheng, Yangjin
1 Deng, Chao
1 Dimitrova, Dimitrina S.
1 Duan, Xuefeng
1 Ewald, Christian-Oliver
1 Feng, Runhuan
1 Ferreira, Carla
1 Fujihara, Masayuki
1 Gan, Xiaoting
1 Gao, Hengxuan
1 Gao, Jinggui
1 Gatzert, Nadine
1 Gerrard, Russell
1 Goel, Anubha
1 Gou, Jianwei
1 Guan, Guohui
1 Hainaut, Donatien
1 Havrylenko, Yevhen
1 Hieber, Peter
1 Izumi, Tomoki
1 Jakubowski, Jacek
1 Jin, Xi
1 Kaishev, Vladimir K.
1 Kijima, Masaaki
1 Kolkovska, Ekaterina Todorova
1 Koshkin, Gennady M.
1 Kyriakou, Ioannis
1 Li, Danping
1 Li, Hong
1 Li, Jun
1 Li, Rui
1 Li, Xukuan
1 Li, Ying
1 Li, Yongjun
1 Li, Ziqiang
1 Liang, Liang
1 Lin, Feng
1 Liu, Duo
1 Liu, Yingan
1 Liu, Zilan
1 Løchte Jørgensen, Peter
1 Lopukhin, Yaroslav
1 Lu, Zhengyang
1 Ma, Jingtang
1 Ma, Ming
...and 69 more Authors
all top 5

Cited in 41 Serials

11 Communications in Statistics. Theory and Methods
7 European Journal of Operational Research
6 Journal of Industrial and Management Optimization
5 Journal of the Franklin Institute
5 Insurance Mathematics & Economics
4 Journal of Computational and Applied Mathematics
4 Methodology and Computing in Applied Probability
3 Quantitative Finance
3 Frontiers of Mathematics in China
2 Journal of Statistical Physics
2 Applied Mathematics and Computation
2 Computational and Applied Mathematics
2 Mathematical Problems in Engineering
2 Scandinavian Actuarial Journal
2 ASTIN Bulletin
1 SIAM Journal on Control and Optimization
1 Acta Mathematicae Applicatae Sinica
1 Bulletin of the Korean Mathematical Society
1 Statistics & Probability Letters
1 Annals of Operations Research
1 Japan Journal of Industrial and Applied Mathematics
1 Stochastic Processes and their Applications
1 Applied Mathematics. Series B (English Edition)
1 Abstract and Applied Analysis
1 Mathematical Methods of Operations Research
1 Discrete Dynamics in Nature and Society
1 International Journal of Theoretical and Applied Finance
1 Probability in the Engineering and Informational Sciences
1 Applied Stochastic Models in Business and Industry
1 Journal of Systems Science and Complexity
1 Journal of Applied Mathematics
1 Stochastics and Dynamics
1 North American Actuarial Journal
1 Computational Management Science
1 Advances in Difference Equations
1 Stochastics
1 Journal of Biological Dynamics
1 Mathematics and Financial Economics
1 SIAM Journal on Financial Mathematics
1 Advances in Applied Mathematics and Mechanics
1 Frontiers of Mathematics

Citations by Year