Edit Profile (opens in new tab) Yang, Hailiang Co-Author Distance 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: 173 Publications since 1986, including 1 Additional arXiv Preprint 3 Contributions as Editor Co-Authors: 97 Co-Authors with 166 Joint Publications 2,652 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 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 all top 5 Fields 151 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 96 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) 9 Operations research, mathematical programming (90-XX) 8 Numerical analysis (65-XX) 3 Partial differential equations (35-XX) 2 General and overarching topics; collections (00-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Integral equations (45-XX) 2 Computer science (68-XX) 1 History and biography (01-XX) 1 Ordinary differential equations (34-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 149 Publications have been cited 2,232 times in 1,498 Documents Cited by ▼ Year ▼ Optimal investment for insurer with jump-diffusion risk process. Zbl 1129.91020 Yang, Hailiang; Zhang, Lihong 177 2005 Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496 Chen, Ping; Yang, Hailiang; Yin, George 81 2008 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 81 2004 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 63 2014 Optimal investment for an insurer to minimize its probability of ruin. Zbl 1085.60511 Liu, Chi Sang; Yang, Hailiang 58 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 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 52 2011 Option pricing with regime switching by trinomial tree method. Zbl 1181.91315 Lungyuen, Fei; Yang, Hailiang 45 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 44 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. 36 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 35 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 35 2006 Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137 Chen, Ping; Yang, Hailiang 35 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 a regime-switching framework. Zbl 1390.91211 Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang 30 2015 Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 30 2013 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243 Zhao, Yongxia; Chen, Ping; Yang, Hailiang 30 2017 The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 30 2012 Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. Zbl 1364.93863 Jin, Zhuo; Yang, Hailiang; Yin, Gang George 29 2013 Ruin in the perturbed compound Poisson risk process under interest force. Zbl 1074.60090 Cai, Jun; Yang, Hailiang 29 2005 On pricing derivatives under GARCH models: a dynamic Gerber-Shiu approach. Zbl 1085.91531 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 28 2004 Precise large deviations for the prospective-loss process. Zbl 1028.60024 Ng, Kai W.; Tang, Qihe; Yan, Jiaan; Yang, Hailiang 27 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 26 2006 On a nonparametric estimator for ruin probability in the classical risk model. Zbl 1401.91217 Zhang, Zhimin; Yang, Hailiang; Yang, Hu 24 2014 Option pricing in a jump-diffusion model with regime-switching. Zbl 1180.91298 Yuen, Fei Lung; Yang, Hailiang 24 2009 Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Zbl 1141.91558 Zhu, Jinxia; Yang, Hailiang 24 2008 Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model. Zbl 1284.62245 Zhang, Zhimin; Yang, Hailiang 23 2013 Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation. Zbl 1306.91088 Zhang, Zhimin; Yang, Hailiang 22 2014 A direct approach to the discounted penalty function. Zbl 1219.91063 Albrecher, Hansjörg; Gerber, Hans U.; Yang, Hailiang 22 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 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216 Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 21 2017 Ruin probabilities of a dual Markov-modulated risk model. Zbl 1292.91100 Zhu, Jinxia; 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 Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method. Zbl 1219.91145 Yuen, Fei Lung; Yang, Hailiang 21 2010 Pricing participating products under a generalized jump-diffusion model. Zbl 1141.91386 Siu, Tak Kuen; Lau, John W.; Yang, Hailiang 21 2008 Ordering optimal proportions in the asset allocation problem with dependent default risks. Zbl 1117.91347 Cheung, Ka Chun; Yang, Hailiang 20 2004 Absolute ruin probabilities in a jump diffusion risk model with investment. Zbl 1480.91208 Gerber, Hans U.; Yang, Hailiang 20 2007 Non-exponential bounds for ruin probabilities with interest effect included. Zbl 0922.62113 Yang, Hailiang 19 1999 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 17 2018 Fourier-cosine method for ruin probabilities. Zbl 1305.91163 Chau, K. W.; Yam, S. C. P.; Yang, H. 17 2015 Martingale method for ruin probability in an autoregressive model with constant interest rate. Zbl 1065.62182 Yang, Hailiang; Zhang, Lihong 17 2003 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 Pricing annuity guarantees under a regime-switching model. Zbl 1483.91201 Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang 16 2009 Optimal financing and dividend strategies in a dual model with proportional costs. Zbl 1218.93112 Yao, Dingjun; Yang, Hailiang; Wang, Rongming 15 2010 Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032 Zhu, Jinxia; Yang, Hailiang 14 2016 Bayesian risk measures for derivatives via random Esscher transform. Zbl 1083.62544 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 14 2001 Option pricing when the regime-switching risk is priced. Zbl 1188.91222 Siu, Tak Kuen; Yang, Hailiang 14 2009 Optimal dividends with debts and nonlinear insurance risk processes. Zbl 1284.91564 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 13 2013 On differentiability of ruin functions under Markov-modulated models. Zbl 1168.91421 Zhu, Jinxia; Yang, Hailiang 13 2009 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 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 An elementary approach to discrete models of dividend strategies. Zbl 1231.91433 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 12 2010 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 12 2016 On the distribution of surplus immediately after ruin under interest force. Zbl 1012.91027 Yang, Hailiang; Zhang, Lihong 11 2001 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 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113 Zhu, Jinxia; Yang, Hailiang 11 2016 Optimal investment-consumption strategy in a discrete-time model with regime switching. Zbl 1151.91491 Cheung, Ka Chun; Yang, Hailiang 11 2007 On the Markov-modulated insurance risk model with tax. Zbl 1195.91071 Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 11 2010 Optimal debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156 Jin, Zhuo; Yang, Hailiang; Yin, G. 10 2015 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 10 2017 Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149 Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng 10 2015 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 Equilibrium approach of asset pricing under Lévy process. Zbl 1292.91073 Fu, Jun; Yang, Hailiang 10 2012 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 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 9 2015 Filtering a Markov modulated random measure. Zbl 1368.93711 Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 9 2010 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 Authors’ reply: “Pricing annuity guarantees under a regime-switching model”. Zbl 1483.91202 Lin, X. Sheldon; Tan, Ken Seng; Yang, Hailiang 9 2009 Coherent risk measures for derivatives under Black–Scholes economy. Zbl 1153.91606 Yang, H.; Siu, T. K. 9 2001 On a multi-dimensional risk model with regime switching. Zbl 1369.91099 Wang, Guanqing; Wang, Guojing; Yang, Hailiang 8 2016 Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns. Zbl 1366.91097 Guo, Fenglong; Wang, Dingcheng; Yang, Hailiang 8 2017 How to count and guess well: Discrete adaptive filters. Zbl 0810.93062 Elliot, R. J.; Yang, Hailiang 8 1994 Two-time-scale jump-diffusion models with Markovian switching regimes. Zbl 1060.60080 Yin, G.; Yang, H. 8 2004 On the absolute ruin in a map risk model with debit interest. Zbl 1229.91171 Zhang, Zhimin; Yang, Hailiang; Yang, Hu 8 2011 Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Zbl 1219.93148 Wei, Jiaqin; Yang, Hailiang; Wang, Rongming 8 2010 Martingale representation for contingent claims with regime switching. Zbl 1328.91291 Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 7 2007 A PDE approach to risk measures of derivatives. Zbl 1013.91060 Siu, Tak Kuen; Yang, Hailiang 7 2000 Option pricing under threshold autoregressive models by threshold Esscher transform. Zbl 1135.91362 Siu, Tak Kuen; Tong, Howell; Yang, Hailiang 7 2006 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 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 Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Zbl 1441.91065 Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang 7 2020 Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223 Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung 6 2016 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 Ruin theory in a hidden Markov-modulated risk model. Zbl 1237.91127 Elliott, Robert J.; Siu, Tak Kuen; Yang, Hailiang 6 2011 On Bayesian mixture credibility. Zbl 1162.91422 Lau, John W.; Siu, Tak Kuen; Yang, Hailiang 6 2006 Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129 Cheng, Xiang; Jin, Zhuo; Yang, Hailiang 6 2020 Optimal dividend and reinsurance strategies with financing and liquidation value. Zbl 1390.91218 Yao, Dingjun; Yang, Hailiang; Wang, Rongming 5 2016 Subjective risk measures: Bayesian predictive scenarios analysis. Zbl 0954.62125 Siu, Tak Kuen; Yang, Hailiang 5 1999 Optimal stopping behavior of equity-linked investment products with regime switching. Zbl 1129.60065 Cheung, Ka Chun; Yang, Hailiang 5 2005 A constraint-free approach to optimal reinsurance. Zbl 1418.91238 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 Option valuation by a self-exciting threshold binomial model. Zbl 1297.91139 Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang 5 2013 Optimal 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 Ruin problems for a discrete time risk model with random interest rate. Zbl 1115.60084 Yang, Hailiang; Zhang, Lihong 5 2006 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. 3 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 7 2020 Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach. Zbl 1447.91129 Cheng, Xiang; Jin, Zhuo; Yang, Hailiang 6 2020 A constraint-free approach to optimal reinsurance. Zbl 1418.91238 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 5 2019 Optimal dividend policy with liability constraint under a hidden Markov regime-switching model. Zbl 1438.90187 Wei, Jiaqin; Jin, Zhuo; 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 2 2019 Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Zbl 1416.91203 Li, Danping; Zeng, Yan; Yang, Hailiang 44 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 17 2018 Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243 Zhao, Yongxia; Chen, Ping; Yang, Hailiang 30 2017 Lévy insurance risk process with Poissonian taxation. Zbl 1401.91216 Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang 21 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 10 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 8 2017 A note on optimal insurance risk control with multiple reinsurers. Zbl 1357.93105 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 4 2017 Gerber-Shiu analysis with two-sided acceptable levels. Zbl 1364.91071 Woo, Jae-Kyung; Xu, Ran; Yang, Hailiang 3 2017 Optimal reinsurance and investment strategy with two piece utility function. Zbl 1406.91197 Chen, Lv; Yang, Hailiang 3 2017 A numerical approach to optimal dividend policies with capital injections and transaction costs. Zbl 1360.91153 Jin, Zhuo; Yang, Hai-liang; Yin, G. 1 2017 Optimal financing and dividend distribution in a general diffusion model with regime switching. Zbl 1343.49032 Zhu, Jinxia; Yang, Hailiang 14 2016 Optimal insurance risk control with multiple reinsurers. Zbl 1339.93124 Meng, Hui; Siu, Tak Kuen; Yang, Hailiang 12 2016 Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy. Zbl 1371.91113 Zhu, Jinxia; Yang, Hailiang 11 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 30 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 debt ratio and dividend payment strategies with reinsurance. Zbl 1348.91156 Jin, Zhuo; Yang, Hailiang; Yin, G. 10 2015 Optimal retention for a stop-loss reinsurance with incomplete information. Zbl 1348.91149 Hu, Xiang; Yang, Hailiang; Zhang, Lianzeng 10 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 9 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 63 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 22 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 Discrete-time BSDEs with random terminal horizon. Zbl 1308.60073 Lin, Yin; Yang, Hailiang 2 2014 Cox risk model with variable premium rate and stochastic return on investment. Zbl 1314.91147 Xu, Lin; Yang, Hailiang; Wang, Rongming 2 2014 Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 30 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 29 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 35 2012 The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057 Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang 30 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 Asset allocation under threshold autoregressive models. Zbl 1286.91127 Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang 2 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 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 52 2011 Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137 Chen, Ping; Yang, Hailiang 35 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 Ruin probabilities for the perturbed compound Poisson risk process with investment. Zbl 1315.91034 Zhu, Jinxia; Yang, Hailiang; Ng, Kai Wang 4 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 3 2011 Option pricing with regime switching by trinomial tree method. 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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 8 2010 Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050 Chen, Ping; Yang, Hailiang 5 2010 Upper comonotonicity and convex upper bounds for sums of random variables. Zbl 1231.60016 Dong, Jing; Cheung, Ka Chun; 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 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. 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Zbl 1481.91198 Li, Zhongfei; Tan, Ken Seng; Yang, Hailiang 4 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 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 Expected shortfall under a model with market and credit risks. Zbl 1311.91175 Siu, Kin Bong; Yang, Hailiang 1 2007 Optimal dynamic portfolio selection with earnings-at-risk. Zbl 1148.91019 Li, Z. F.; Yang, H.; Deng, X. T. 1 2007 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 35 2006 ...and 49 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,554 Authors 71 Yang, Hailiang 64 Siu, Tak Kuen 50 Zhang, Zhimin 41 Jin, Zhuo 31 Wang, Rongming 31 Yuen, Kam Chuen 30 Elliott, Robert James 26 Li, Zhongfei 25 Li, Shuanming 24 Yin, Chuancun 23 Liang, Zhibin 23 Zhao, Hui 22 Guo, Junyi 21 Tang, Qihe 20 Chen, Ping 20 Rong, Ximin 20 Shen, Yang 20 Wei, Jiaqin 20 Zeng, Yan 18 Cai, Jun 18 Gerber, Hans U. 18 Wang, Wenyuan 17 Albrecher, Hansjörg 17 Cheung, Eric C. K. 17 Yao, Dingjun 16 Qian, Linyi 16 Yang, Yang 16 Yao, Haixiang 15 Šiaulys, Jonas 14 Shiu, Elias S. W. 14 Yam, Sheung Chi Phillip 14 Zhou, Ming 13 Li, Danping 13 Xu, Lin 13 Yu, Wenguang 13 Zhou, Xiaowen 12 Landriault, David 12 Leipus, Remigijus 12 Wang, Wei 12 Zhu, Jinxia 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 Avanzi, Benjamin 9 Cheung, Ka Chun 9 Ching, Wai-Ki 9 Feng, Runhuan 9 Fu, Ke’ang 9 Guan, Guohui 9 Hu, Yijun 9 Huang, Ya 9 Liang, Zongxia 9 Ng, Kai Wang 9 Palmowski, Zbigniew 9 Wang, Ning 9 Young, Virginia R. 9 Zhou, Jieming 8 Chen, Yiqing 8 Meng, Hui 8 Song, Lixin 8 Wong, Bernard 8 Zhao, Yongxia 8 Zhu, Songping 7 Avram, Florin 7 Chen, Lv 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, Hoi Ying 7 Wu, Huiling 7 Xie, Jiayi 7 Yang, Peng 7 Zhang, Nan 6 Bi, Junna 6 Boxma, Onno Johan 6 Chen, Peimin 6 Chen, Shumin 6 Chen, Zhiping 6 Cheng, Gongpin 6 Deng, Chao 6 Dickson, David C. 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Transaction A: Science 2 Hacettepe Journal of Mathematics and Statistics 2 Review of Derivatives Research 2 Fuzzy Optimization and Decision Making 2 Journal of Statistical Theory and Practice 2 International Journal of Stochastic Analysis 2 Dynamic Games and Applications ...and 72 more Serials all top 5 Cited in 34 Fields 1,257 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 825 Probability theory and stochastic processes (60-XX) 325 Systems theory; control (93-XX) 297 Statistics (62-XX) 108 Calculus of variations and optimal control; optimization (49-XX) 85 Operations research, mathematical programming (90-XX) 52 Numerical analysis (65-XX) 30 Partial differential equations (35-XX) 23 Integral equations (45-XX) 21 Integral transforms, operational calculus (44-XX) 11 Computer science (68-XX) 9 Ordinary differential equations (34-XX) 6 Biology and other natural sciences (92-XX) 5 Operator theory (47-XX) 5 Statistical mechanics, structure of matter (82-XX) 4 Real functions (26-XX) 4 Harmonic analysis on Euclidean spaces (42-XX) 3 Difference and functional equations (39-XX) 3 Information and communication theory, circuits (94-XX) 3 Mathematics education (97-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Mechanics of particles and systems (70-XX) 1 General and overarching topics; collections (00-XX) 1 Number theory (11-XX) 1 Field theory and polynomials (12-XX) 1 Commutative algebra (13-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Special functions (33-XX) 1 Sequences, series, summability (40-XX) 1 Approximations and expansions (41-XX) 1 Functional analysis (46-XX) 1 General topology (54-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) Citations by Year