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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
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
4 Yin, Gang George
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 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 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 Li, Xiaolong
1 Lin, Sheldon
1 Lin, Yin
1 Liu, Chi Sang
1 Liu, Guo
1 Liu, Yuanjin
1 Lungyuen, Fei
1 Qi, Jianxun
1 Qian, Linyi
1 Shi, Yifan
1 Siu, Kin Bong
1 Song, Na
1 Song, Qingshuo
1 Sun, Lijuan
1 Tsoi, Allanus H.
1 Wang, Dingcheng
1 Wang, Guanqing
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 Alexander
1 Xing, Xiaoyu
1 Xu, Lin
1 Xu, Ran
1 Yeung, Shu-Ngai
1 Yong, Yaodi
1 Zhao, Hui
1 Zhao, Yongxia
1 Zhou, Xian
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 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 SIAM Journal on Scientific Computing
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

149 Publications have been cited 2,139 times in 1,442 Documents Cited by Year
Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020
Yang, Hailiang; Zhang, Lihong
170
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
78
2004
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
76
2008
Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511
Liu, Chi Sang; Yang, Hailiang
57
2004
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
56
2006
Some results on ruin probabilities in a two-dimensional risk model. Zbl 1055.91041
Chan, Wai-Sum; Yang, Hailiang; Zhang, Lianzeng
55
2003
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
52
2014
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
50
2011
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
43
2010
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
39
2018
Spectrally negative Lévy processes with applications in risk theory. Zbl 0978.60104
Yang, Hailiang; Zhang, Lianzeng
36
2001
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
35
2008
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
34
2012
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
34
2006
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
31
2011
Maxima of sums of heavy-tailed random variables. Zbl 1098.60505
Ng, K. W.; Tang, Q. H.; Yang, Hailiang
31
2002
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
29
2013
Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090
Cai, Jun; Yang, Hailiang
29
2005
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
29
2012
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
28
2004
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
28
2013
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
26
2015
Precise large deviations for the prospective-loss process. Zbl 1028.60024
Ng, Kai W.; Tang, Qihe; Yan, Jiaan; Yang, Hailiang
26
2003
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
26
2014
Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. Zbl 1479.91308
Cai, Jun; Gerber, Hans U.; Yang, Hailiang
25
2006
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
24
2009
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
24
2017
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
23
2013
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
21
2010
Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100
Zhu, Jinxia; Yang, Hailiang
21
2008
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
21
2014
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang
21
2008
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
21
2015
Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208
Gerber, Hans U.; Yang, Hailiang
20
2007
Ordering optimal proportions in the asset allocation problem with dependent default risks. Zbl 1117.91347
Cheung, Ka Chun; Yang, Hailiang
19
2004
Non-exponential bounds for ruin probabilities with interest effect included. Zbl 0922.62113
Yang, Hailiang
18
1999
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
18
2017
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
17
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
17
2012
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
17
2018
Martingale method for ruin probability in an autoregressive model with constant interest rate. Zbl 1065.62182
Yang, Hailiang; Zhang, Lihong
17
2003
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 compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
15
2018
Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
15
2009
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
Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
13
2013
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
On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421
Zhu, Jinxia; Yang, Hailiang
13
2009
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
13
2016
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
12
2010
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 the distribution of surplus immediately after ruin under interest force. Zbl 1012.91027
Yang, Hailiang; Zhang, Lihong
11
2001
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
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
11
2020
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
10
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
10
2005
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
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
10
2015
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
10
2016
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
10
2016
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
Approximations for moments of deficit at ruin with exponential and subexponential claims. Zbl 1092.62599
Cheng, Yebin; Tang, Qihe; Yang, Hailiang
9
2002
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
9
2017
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
9
2015
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
9
2010
Authors’ reply: “Pricing annuity guarantees under a regime-switching model”. Zbl 1483.91202
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
9
2009
On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
8
2011
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
8
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
8
2015
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
A PDE approach to risk measures of derivatives. Zbl 1013.91060
Siu, Tak Kuen; Yang, Hailiang
7
2000
On the distribution of surplus immediately after ruin under interest force and subexponential claims. Zbl 1122.91347
Wang, Rongming; Yang, Hailiang; Wang, Hanxing
7
2004
Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang
7
2006
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
7
2010
Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080
Yin, G.; Yang, H.
7
2004
Martingale representation for contingent claims with regime switching. Zbl 1328.91291
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
7
2007
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
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 Bayesian mixture credibility. Zbl 1162.91422
Lau, John W.; Siu, Tak Kuen; Yang, Hailiang
6
2006
Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
6
2011
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
6
2016
Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125
Siu, Tak Kuen; Yang, Hailiang
5
1999
Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139
Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang
5
2013
Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084
Yang, Hailiang; Zhang, Lihong
5
2006
Optimal stopping behavior of equity-linked investment products with regime switching. Zbl 1129.60065
Cheung, Ka Chun; Yang, Hailiang
5
2005
Optimal surrender strategies for equity-indexed annuity investors with partial information. Zbl 1246.91121
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
5
2012
Optimal threshold dividend strategies under the compound Poisson model with regime switching. Zbl 1248.93175
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
5
2011
Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
5
2016
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065
Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang
5
2020
Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang
5
2021
Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang
5
2021
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. Zbl 1460.91226
Jin, Zhuo; Yang, Hailiang; Yin, G.
2
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
11
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
3
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
Optimal dividend policy with liability constraint under a hidden Markov regime-switching model. Zbl 1438.90187
Wei, Jiaqin; Jin, Zhuo; 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
39
2018
Stochastic differential games between two insurers with generalized mean-variance premium principle. Zbl 1390.91171
Chen, Shumin; Yang, Hailiang; Zeng, Yan
17
2018
On the compound Poisson risk model with periodic capital injections. Zbl 1390.91220
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
15
2018
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
24
2017
Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang
18
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
9
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
Optimal reinsurance and investment strategy with two piece utility function. Zbl 1406.91197
Chen, Lv; Yang, Hailiang
3
2017
Gerber-Shiu analysis with two-sided acceptable levels. Zbl 1364.91071
Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang
3
2017
A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
2
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
Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032
Zhu, Jinxia; Yang, Hailiang
13
2016
Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang
10
2016
Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113
Zhu, Jinxia; Yang, Hailiang
10
2016
On a multi-dimensional risk model with regime switching. Zbl 1369.91099
Wang, Guanqing; Wang, Guojing; Yang, Hailiang
8
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
26
2015
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
21
2015
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
17
2015
Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149
Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng
10
2015
Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156
Jin, Zhuo; Yang, Hailiang; Yin, G.
9
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
8
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
52
2014
Portfolio optimization in a regime-switching market with derivatives. Zbl 1339.91108
Fu, Jun; Wei, Jiaqin; Yang, Hailiang
26
2014
On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217
Zhang, Zhimin; Yang, Hailiang; Yang, Hu
24
2014
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088
Zhang, Zhimin; Yang, Hailiang
21
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
Discrete-time BSDEs with random terminal horizon. Zbl 1308.60073
Lin, Yin; Yang, Hailiang
1
2014
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
29
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
28
2013
Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245
Zhang, Zhimin; Yang, Hailiang
23
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
4
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
34
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
29
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
17
2012
Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073
Fu, Jun; Yang, Hailiang
10
2012
On the optimal dividend strategy in a regime-switching diffusion model. Zbl 1251.93143
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
9
2012
Optimal surrender strategies for equity-indexed annuity investors with partial information. Zbl 1246.91121
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang
5
2012
Optimal asset allocation: a worst scenario expectation approach. Zbl 1267.91090
Yuen, Fei Lung; Yang, Hailiang
2
2012
Stochastic processes, finance and control. A Festschrift in honor of Robert J. Elliott. Zbl 1253.00011
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
50
2011
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
31
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
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
3
2011
Option pricing with regime switching by trinomial tree method. Zbl 1181.91315
Lungyuen, Fei; Yang, Hailiang
43
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
21
2010
Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112
Yao, Dingjun; Yang, Hailiang; Wang, Rongming
15
2010
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
12
2010
On the Markov-modulated insurance risk model with tax. Zbl 1195.91071
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
11
2010
Filtering a Markov modulated random measure. Zbl 1368.93711
Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang
9
2010
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148
Wei, Jiaqin; Yang, Hailiang; Wang, Rongming
7
2010
Asymptotically optimal dividend policy for regime-switching compound Poisson models. Zbl 1204.91061
Yin, G.; Jin, Zhuo; Yang, Hailiang
4
2010
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050
Chen, Ping; 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
24
2009
Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
15
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
13
2009
Authors’ reply: “Pricing annuity guarantees under a regime-switching model”. Zbl 1483.91202
Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang
9
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
76
2008
Pricing currency options under two-factor Markov-modulated stochastic volatility models. Zbl 1152.91550
Siu, Tak Kuen; Yang, Hailiang; Lau, John W.
35
2008
Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558
Zhu, Jinxia; Yang, Hailiang
24
2008
Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100
Zhu, Jinxia; Yang, Hailiang
21
2008
Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386
Siu, Tak Kuen; Lau, John W.; 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
Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty. Zbl 1481.91198
Li, Zhongfei; Tan, Ken Seng; Yang, Hailiang
3
2008
Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208
Gerber, Hans U.; Yang, Hailiang
20
2007
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
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. Sheldon; Yang, Hailiang
56
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
34
2006
...and 49 more Documents
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Cited by 1,491 Authors

71 Yang, Hailiang
62 Siu, Tak Kuen
44 Zhang, Zhimin
39 Jin, Zhuo
31 Yuen, Kam Chuen
30 Wang, Rongming
28 Elliott, Robert James
26 Li, Zhongfei
24 Li, Shuanming
24 Yin, Chuancun
23 Liang, Zhibin
22 Guo, Junyi
21 Tang, Qihe
21 Zhao, Hui
20 Shen, Yang
20 Wei, Jiaqin
20 Zeng, Yan
19 Chen, Ping
18 Cai, Jun
18 Gerber, Hans U.
18 Rong, Ximin
17 Yao, Dingjun
16 Albrecher, Hansjörg
16 Cheung, Eric C. K.
16 Yang, Yang
15 Qian, Linyi
15 Šiaulys, Jonas
15 Yao, Haixiang
14 Shiu, Elias S. W.
14 Wang, Wenyuan
14 Yam, Sheung Chi Phillip
14 Zhou, Ming
13 Xu, Lin
13 Zhou, Xiaowen
12 Leipus, Remigijus
12 Wang, Wei
12 Yu, Wenguang
12 Zhu, Jinxia
11 Landriault, David
11 Li, Danping
11 Li, Xiaohu
11 Wang, Dingcheng
11 Wang, Guojing
11 Zhang, Xin
10 Bai, Lihua
10 Chen, Mi
10 Lu, Dawei
10 Ma, Jingtang
10 Shen, Xinmei
10 Willmot, Gordon E.
10 Wu, Rong
10 Yang, Xiangqun
10 Yin, George Gang
9 Cheung, Ka Chun
9 Ching, Wai-Ki
9 Feng, Runhuan
9 Ng, Kai Wang
9 Palmowski, Zbigniew
9 Young, Virginia R.
8 Avanzi, Benjamin
8 Chen, Yiqing
8 Fu, Ke’ang
8 Guan, Guohui
8 Hu, Yijun
8 Huang, Ya
8 Liang, Zongxia
8 Meng, Hui
8 Song, Lixin
8 Wang, Ning
8 Zhao, Yongxia
8 Zhou, Jieming
8 Zhu, Songping
7 Avram, Florin
7 Dong, Hua
7 Guo, Fenglong
7 Hu, Duni
7 Lin, Xiang
7 Liu, Haiyan
7 Lu, Yi
7 Renaud, Jean-François
7 Tan, Ken Seng
7 Wang, Hailong
7 Wang, Kaiyong
7 Wong, Bernard
7 Wong, Hoi Ying
7 Wu, Huiling
7 Xie, Jiayi
7 Yang, Peng
7 Zhang, Nan
6 Bi, Junna
6 Boxma, Onno Johan
6 Chen, Lv
6 Chen, Shumin
6 Chen, Zhiping
6 Deng, Chao
6 Dickson, David C. M.
6 Li, Xun
6 Lin, X. Sheldon
6 Luo, Shangzhen
6 Ng, Andrew Cheuk-Yin
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40 European Journal of Operational Research
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29 ASTIN Bulletin
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23 Mathematical Problems in Engineering
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21 Discrete Dynamics in Nature and Society
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13 Automatica
13 European Actuarial Journal
11 Computers & Mathematics with Applications
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11 Journal of Systems Science and Complexity
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10 Frontiers of Mathematics in China
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8 Applied Mathematics. Series B (English Edition)
8 Acta Mathematica Sinica. English Series
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2 Decisions in Economics and Finance
2 Iranian Journal of Science and Technology. Transaction A: Science
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