Edit Profile (opens in new tab) Yang, Hailiang Compute Distance To: Compute Author ID: yang.hailiang Published as: Yang, Hailiang; Yang, H.; Yang, Hai Liang; Yang, Hai-liang; Yang, Hai-Liang more...less Homepage: https://www.scifac.hku.hk/people/yang-hailiang External Links: MGP · Google Scholar · ResearchGate Documents Indexed: 176 Publications since 1986 3 Contributions as Editor Co-Authors: 99 Co-Authors with 166 Joint Publications 2,948 Co-Co-Authors 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 Wang, Gang 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 Wei, Li 1 Willmot, Gordon E. 1 Wong, Heung 1 Woo, Jae-Kyung ...and 9 more Co-Authors all top 5 Serials 30 Insurance Mathematics & Economics 15 North American Actuarial Journal 11 ASTIN Bulletin 8 Journal of Computational and Applied Mathematics 8 Journal of Industrial and Management Optimization 7 Scandinavian Actuarial Journal 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 all top 5 Fields 150 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 95 Probability theory and stochastic processes (60-XX) 37 Statistics (62-XX) 36 Systems theory; control (93-XX) 16 Calculus of variations and optimal control; optimization (49-XX) 10 Operations research, mathematical programming (90-XX) 8 Numerical analysis (65-XX) 3 Partial differential equations (35-XX) 3 Computer science (68-XX) 2 General and overarching topics; collections (00-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Integral equations (45-XX) 1 History and biography (01-XX) 1 Combinatorics (05-XX) 1 Ordinary differential equations (34-XX) 1 Geometry (51-XX) 1 Algebraic topology (55-XX) 1 Mechanics of deformable solids (74-XX) 1 Quantum theory (81-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 147 Publications have been cited 1,928 times in 1,321 Documents Cited by ▼ Year ▼ Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020Yang, Hailiang; Zhang, Lihong 159 2005 Precise large deviations for sums of random variables with consistently varying tails. Zbl 1051.60032Ng, 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 1152.91496Chen, Ping; Yang, Hailiang; Yin, George 71 2008 Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511Liu, Chi Sang; Yang, Hailiang 54 2004 Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng 53 2003 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, 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 1237.91143Yao, Dingjun; Yang, Hailiang; Wang, Rongming 48 2011 A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 44 2014 Option pricing with regime switching by trinomial tree method. Zbl 1181.91315Lungyuen, Fei; Yang, Hailiang 41 2010 Spectrally negative Lévy processes with applications in risk theory. Zbl 0978.60104Yang, Hailiang; Zhang, Lianzeng 36 2001 On the joint distribution of surplus before and after ruin under a Markovian regime switching model. Zbl 1093.60051Ng, Andrew C. Y.; Yang, Hailiang 33 2006 Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550Siu, 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 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 32 2018 Maxima of sums of heavy-tailed random variables. Zbl 1098.60505Ng, K. W.; Tang, Q. H.; Yang, Hailiang 31 2002 Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 31 2012 Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137Chen, Ping; Yang, Hailiang 29 2011 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 27 2004 Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090Cai, Jun; Yang, Hailiang 27 2005 The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 27 2012 Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 27 2013 Precise large deviations for the prospective-loss process. Zbl 1028.60024Ng, Kai W.; Tang, Qihe; Yan, Jiaan; Yang, Hailiang 26 2003 Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. Zbl 1364.93863Jin, Zhuo; Yang, Hailiang; Yin, Gang George 26 2013 Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558Zhu, Jinxia; Yang, Hailiang 24 2008 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 24 2014 Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298Yuen, Fei Lung; Yang, Hailiang 23 2009 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 23 2015 Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching. Zbl 1203.91118Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 22 2010 Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108Fu, Jun; Wei, Jiaqin; Yang, Hailiang 22 2014 Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245Zhang, Zhimin; Yang, Hailiang 22 2013 Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 21 2008 Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100Zhu, Jinxia; Yang, Hailiang 21 2008 Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145Yuen, Fei Lung; Yang, Hailiang 21 2010 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243Zhao, Yongxia; Chen, Ping; Yang, Hailiang 20 2017 Ordering optimal proportions in the asset allocation problem with dependent default risks. Zbl 1117.91347Cheung, Ka Chun; Yang, Hailiang 19 2004 Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088Zhang, Zhimin; Yang, Hailiang 19 2014 A direct approach to the discounted penalty function. Zbl 1219.91063Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 19 2010 Martingale method for ruin probability in an autoregressive model with constant interest rate. Zbl 1065.62182Yang, Hailiang; Zhang, Lihong 17 2003 Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235Chau, K. W.; Yam, S. C. P.; Yang, H. 17 2015 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 17 2017 Non-exponential bounds for ruin probabilities with interest effect included. Zbl 0922.62113Yang, Hailiang 16 1999 Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171Chen, Shumin; Yang, Hailiang; Zeng, Yan 16 2018 On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090Zhang, Zhimin; Yang, Hailiang; Yang, Hu 16 2012 Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112Yao, Dingjun; Yang, Hailiang; Wang, Rongming 15 2010 Fourier-cosine method for ruin probabilities. Zbl 1305.91163Chau, K. W.; Yam, S. C. P.; Yang, H. 15 2015 Option pricing when the regime-switching risk is priced. Zbl 1188.91222Siu, Tak Kuen; Yang, Hailiang 14 2009 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest. Zbl 1149.60063Zhu, Jinxia; Yang, Hailiang 13 2008 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564Meng, 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 1054.60017Sun, Lijuan; Yang, Hailiang 12 2004 On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421Zhu, Jinxia; Yang, Hailiang 12 2009 Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491Cheung, Ka Chun; Yang, Hailiang 11 2007 On the Markov-modulated insurance risk model with tax. Zbl 1195.91071Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 11 2010 On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 11 2018 An elementary approach to discrete models of dividend strategies. Zbl 1231.91433Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 11 2010 On the distribution of surplus immediately after ruin under interest force. Zbl 1012.91027Yang, Hailiang; Zhang, Lihong 10 2001 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113Zhu, Jinxia; Yang, Hailiang 10 2016 Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032Zhu, Jinxia; Yang, Hailiang 10 2016 The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force. Zbl 1083.62547Yang, Hailiang; Zhang, Lihong 10 2001 Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073Fu, Jun; Yang, Hailiang 10 2012 Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606Yang, H.; Siu, T. K. 9 2001 Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the Sparre Andersen model. With discussions. Zbl 1085.60517Ng, Andrew C. Y.; Yang, Hailiang 9 2005 On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143Wei, Jiaqin; Wang, Rongming; Yang, Hailiang 9 2012 Approximations for moments of deficit at ruin with exponential and subexponential claims. Zbl 1092.62599Cheng, Yebin; Tang, Qihe; Yang, Hailiang 9 2002 Filtering a Markov modulated random measure. Zbl 1368.93711Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 9 2010 On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171Zhang, Zhimin; Yang, Hailiang; Yang, Hu 8 2011 A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui 8 2017 Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080Yin, G.; Yang, H. 7 2004 A PDE approach to risk measures of derivatives. Zbl 1013.91060Siu, Tak Kuen; Yang, Hailiang 7 2000 Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 7 2006 Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 7 2010 Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 7 2015 Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156Jin, Zhuo; Yang, Hailiang; Yin, G. 7 2015 On a multi-dimensional risk model with regime switching. Zbl 1369.91099Wang, Guanqing; Wang, Guojing; Yang, Hailiang 7 2016 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 7 2016 Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 7 2013 Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. Zbl 1366.91097Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang 7 2017 Computation of brittle fracture propagation in strain gradient materials by the FEniCS library. Zbl 07357405Barchiesi, E.; Yang, H.; Tran, Ca; Placidi, L.; Müller, W. H. 7 2021 Asset allocation with time variation in expected returns. Zbl 0914.90014Boyle, Phelim P.; Yang, Hailiang 6 1997 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2011 How to count and guess well: Discrete adaptive filters. Zbl 0810.93062Elliot, R. J.; Yang, Hailiang 6 1994 On convergence rates of monotone empirical Bayes tests for the continuous one-parameter exponential family. Zbl 0820.62008Karunamuni, Rohana J.; Yang, Hailiang 6 1995 On the distribution of surplus immediately after ruin under interest force and subexponential claims. Zbl 1122.91347Wang, Rongming; Yang, Hailiang; Wang, Hanxing 6 2004 On Bayesian mixture credibility. Zbl 1162.91422Lau, John W.; Siu, Tak Kuen; Yang, Hailiang 6 2006 Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung 6 2016 Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng 6 2015 Martingale representation for contingent claims with regime switching. Zbl 1328.91291Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2007 Optimal stopping behavior of equity-linked investment products with regime switching. Zbl 1129.60065Cheung, Ka Chun; Yang, Hailiang 5 2005 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 5 2020 Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218Yao, Dingjun; Yang, Hailiang; Wang, Rongming 5 2016 Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125Siu, Tak Kuen; Yang, Hailiang 5 1999 Design of an artificial simulator for analyzing route choice behavior in the presence of information system. Zbl 0838.90040Reddy, P. D. V. G.; Yang, H.; Vaughn, K. M.; Abdel-Aty, M. A.; Kitamura, R.; Jovanis, P. P. 5 1995 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. Zbl 1431.91361Jin, Zhuo; Liu, Guo; Yang, Hailiang 5 2020 Optimal threshold dividend strategies under the compound Poisson model with regime switching. Zbl 1248.93175Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 5 2011 Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying. Zbl 0884.90018Chesney, Marc; Elliott, Robert J.; Madan, Dilip; Yang, Hailiang 4 1993 Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang 4 2009 Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under a Markov-modulated risk model. Zbl 1101.62102Ng, Andrew C. Y.; Yang, Hailiang 4 2005 Asymptotically optimal dividend policy for regime-switching compound Poisson models. Zbl 1204.91061Yin, G.; Jin, Zhuo; Yang, Hailiang 4 2010 Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084Yang, Hailiang; Zhang, Lihong 4 2006 Computation of brittle fracture propagation in strain gradient materials by the FEniCS library. Zbl 07357405Barchiesi, E.; Yang, H.; Tran, Ca; Placidi, L.; Müller, W. H. 7 2021 A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226Jin, Zhuo; Yang, Hailiang; Yin, G. 2 2021 Fourier-cosine method for finite-time Gerber-shiu functions. Zbl 07364336Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang 2 2021 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 5 2020 Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models. Zbl 1431.91361Jin, Zhuo; Liu, Guo; Yang, Hailiang 5 2020 Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129Cheng, Xiang; Jin, Zhuo; Yang, Hailiang 2 2020 A constraint-free approach to optimal reinsurance. Zbl 1418.91238Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 A martingale approach for asset allocation with derivative security and hidden economic risk. Zbl 1425.91408Siu, 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 1416.91203Li, Danping; Zeng, Yan; Yang, Hailiang 32 2018 Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171Chen, Shumin; Yang, Hailiang; Zeng, Yan 16 2018 On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 11 2018 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243Zhao, Yongxia; Chen, Ping; Yang, Hailiang 20 2017 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 17 2017 A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui 8 2017 Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. Zbl 1366.91097Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang 7 2017 Optimal reinsurance and investment strategy with two piece utility function. Zbl 1406.91197Chen, Lv; Yang, Hailiang 3 2017 Gerber-Shiu analysis with two-sided acceptable levels. Zbl 1364.91071Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang 1 2017 A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 1 2017 A numerical approach to optimal dividend policies with capital injections and transaction costs. Zbl 1360.91153Jin, Zhuo; Yang, Hai-liang; Yin, G. 1 2017 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113Zhu, Jinxia; Yang, Hailiang 10 2016 Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032Zhu, Jinxia; Yang, Hailiang 10 2016 On a multi-dimensional risk model with regime switching. Zbl 1369.91099Wang, Guanqing; Wang, Guojing; Yang, Hailiang 7 2016 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 7 2016 Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung 6 2016 Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218Yao, Dingjun; Yang, Hailiang; Wang, Rongming 5 2016 On a nonparametric estimator for the finite time survival probability with zero initial surplus. Zbl 1360.91096Zhang, Zhi-Min; Yang, Hai-Liang; Yang, Hu 1 2016 Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 23 2015 Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235Chau, K. W.; Yam, S. C. P.; Yang, H. 17 2015 Fourier-cosine method for ruin probabilities. Zbl 1305.91163Chau, K. W.; Yam, S. C. P.; Yang, H. 15 2015 Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 7 2015 Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156Jin, Zhuo; Yang, Hailiang; Yin, G. 7 2015 Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng 6 2015 A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 44 2014 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217Zhang, Zhimin; Yang, Hailiang; Yang, Hu 24 2014 Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108Fu, Jun; Wei, Jiaqin; Yang, Hailiang 22 2014 Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088Zhang, Zhimin; Yang, Hailiang 19 2014 On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest. Zbl 1291.91096Cai, Jun; Yang, Hailiang 3 2014 Cox risk model with variable premium rate and stochastic return on investment. Zbl 1314.91147Xu, Lin; Yang, Hailiang; Wang, Rongming 2 2014 Discrete-time BSDEs with random terminal horizon. Zbl 1308.60073Lin, Yin; Yang, Hailiang 1 2014 Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 27 2013 Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. Zbl 1364.93863Jin, Zhuo; Yang, Hailiang; Yin, Gang George 26 2013 Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245Zhang, Zhimin; Yang, Hailiang 22 2013 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 2013 Optimal portfolio in a continuous-time self-exciting threshold model. Zbl 1274.91389Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 7 2013 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 American type geometric step options. Zbl 1275.91138Xing, Xiaoyu; Yang, Hailiang 3 2013 Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 31 2012 The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 27 2012 On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation. Zbl 1253.91090Zhang, Zhimin; Yang, Hailiang; Yang, Hu 16 2012 Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073Fu, Jun; Yang, Hailiang 10 2012 On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143Wei, Jiaqin; Wang, Rongming; Yang, Hailiang 9 2012 Optimal asset allocation: a worst scenario expectation approach. Zbl 1267.91090Yuen, Fei Lung; Yang, Hailiang 2 2012 Optimal surrender strategies for equity-indexed annuity investors with partial information. Zbl 1246.91121Wei, Jiaqin; Wang, Rongming; Yang, Hailiang 2 2012 Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Zbl 1253.00011 1 2012 Asset allocation under threshold autoregressive models. Zbl 1286.91127Song, 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 1237.91143Yao, Dingjun; Yang, Hailiang; Wang, Rongming 48 2011 Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137Chen, Ping; Yang, Hailiang 29 2011 On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171Zhang, Zhimin; Yang, Hailiang; Yang, Hu 8 2011 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2011 Optimal threshold dividend strategies under the compound Poisson model with regime switching. Zbl 1248.93175Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 5 2011 Numerical methods for dividend optimization using regime-switching jump-diffusion models. Zbl 1222.93237Jin, Zhuo; Yin, George; Yang, Hailiang 4 2011 Ruin probabilities for the perturbed compound Poisson risk process with investment. Zbl 1315.91034Zhu, 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 1271.62247Qian, Linyi; Yang, Hailiang; Wang, Rongming 2 2011 Option pricing with regime switching by trinomial tree method. Zbl 1181.91315Lungyuen, Fei; Yang, Hailiang 41 2010 Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching. 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Zbl 1219.93148Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 7 2010 Asymptotically optimal dividend policy for regime-switching compound Poisson models. Zbl 1204.91061Yin, G.; Jin, Zhuo; Yang, Hailiang 4 2010 Upper comonotonicity and convex upper bounds for sums of random variables. Zbl 1231.60016Dong, Jing; Cheung, Ka Chun; Yang, Hailiang 4 2010 Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050Chen, Ping; Yang, Hailiang 4 2010 Obtaining the dividends-penalty identities by interpretation. Zbl 1231.91487Gerber, Hans U.; Yang, Hailiang 3 2010 Dependent insurance risk model: deterministic threshold. Zbl 1188.62298Kwan, Isaac K. M.; Yang, Hailiang 1 2010 Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298Yuen, Fei Lung; Yang, Hailiang 23 2009 Option pricing when the regime-switching risk is priced. 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Zbl 1141.91558Zhu, Jinxia; Yang, Hailiang 24 2008 Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 21 2008 Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100Zhu, Jinxia; Yang, Hailiang 21 2008 Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest. Zbl 1149.60063Zhu, Jinxia; Yang, Hailiang 13 2008 Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks. Zbl 1137.62071Cheung, Ka Chun; Yang, Hailiang 3 2008 Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491Cheung, Ka Chun; Yang, Hailiang 11 2007 Martingale representation for contingent claims with regime switching. Zbl 1328.91291Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2007 On valuing participating life insurance contracts with conditional heteroscedasticity. Zbl 1136.91488Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 2 2007 Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208Gerber, Hans U.; Yang, Hailiang 1 2007 Expected shortfall under a model with market and credit risks. Zbl 1311.91175Siu, Kin Bong; Yang, Hailiang 1 2007 Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019Li, Z. F.; Yang, H.; Deng, X. T. 1 2007 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, 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 1093.60051Ng, Andrew C. Y.; Yang, Hailiang 33 2006 Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 7 2006 On Bayesian mixture credibility. Zbl 1162.91422Lau, John W.; Siu, Tak Kuen; Yang, Hailiang 6 2006 ...and 47 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,389 Authors 68 Yang, Hailiang 60 Siu, Tak Kuen 38 Jin, Zhuo 30 Zhang, Zhimin 29 Yuen, Kam Chuen 28 Wang, Rongming 27 Elliott, Robert James 26 Li, Zhongfei 23 Cheung, Eric C. K. 21 Chen, Ping 21 Li, Shuanming 21 Tang, Qihe 21 Yin, Chuancun 20 Guo, Junyi 20 Shen, Yang 20 Zeng, Yan 20 Zhao, Hui 19 Cai, Jun 19 Liang, Zhibin 18 Wei, Jiaqin 17 Gerber, Hans U. 17 Rong, Ximin 16 Yao, Dingjun 15 Qian, Linyi 15 Wang, Wenyuan 15 Yang, Yang 14 Albrecher, Hansjörg 14 Šiaulys, Jonas 14 Yao, Haixiang 13 Shiu, Elias S. 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