Hailiang Yang

Research output

Research output per year 1991 2004 2005 2006 2007 2008 2010 2011 2012 2013 2014 2017 2018 2024

• 185 Article
• 5 Conference article
• 4 Editorial
• 3 Chapter
• 2 More
  • 2 Conference Proceeding

Research output per year

Research output per year

Search results

• 2014

  On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

  Cai, J. & Yang, H., 2014, In: Annals of Operations Research. 212, p. 61-77

  Research output: Contribution to journal › Article › peer-review

  • Ruin Probability 100%
  • Surplus Process 100%
  • Oscillation 40%
  • Renewal Equation 40%
  • Defectives 40%
  5 Citations (Scopus)

• Optimal risk and dividend control problem with fixed costs and salvage value: Variance premium principle

  Yao, D., Yang, H. & Wang, R., 2014, In: Economic Modelling. 37, p. 53-64

  Research output: Contribution to journal › Article › peer-review

  • Costs 100%
  • Problem 100%
  • Risk 100%
  • Control 100%
  • Transaction Cost 100%
  24 Citations (Scopus)

• Portfolio optimization in a regime-switching market with derivatives

  Fu, J., Wei, J. & Yang, H., Feb 2014, In: European Journal of Operational Research. 233, p. 184-192 9 p.

  Research output: Contribution to journal › Article › peer-review

  • Portfolio Selection 100%
  • Regime Switching 100%
  • Function Value 100%
  • Derivatives 100%
  • Explicit Form 40%
  40 Citations (Scopus)
• 2013

  A CONVERSE COMPARISON THEOREM FOR DISCRETE-TIME FINITE-STATE BSDES AND RISK MEASURES USING g-EXPECTATION

  Elliott, R., Lin, Y. & Yang, H., 2013, In: Communications on Stochastic Analysis. 7, 2, p. 227-244

  Research output: Contribution to journal › Article › peer-review

  • Comparison 100%
  • Time 100%
  • Risk 100%
  • Theorem 100%
  • State 100%

• AMERICAN TYPE GEOMETRIC STEP OPTIONS

  Xing, X. & Yang, H., 2013, In: Journal of Industrial and Management Optimization. 9, 3, p. 549-560

  Research output: Contribution to journal › Article › peer-review

  • Option Price 100%
  • Variational Inequality 50%
  • Finite Difference Method 50%
  • Asset Price 50%
  • Price 42%

• Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

  Zhang, Z. & Yang, H., 2013, In: Insurance: Mathematics and Economics. 53, p. 24-35

  Research output: Contribution to journal › Article › peer-review

  • Risk Model 100%
  • Ruin Probability 100%
  • Estimation Theory 100%
  • Samples 50%
  • Simulation Study 50%
  32 Citations (Scopus)

• Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

  Jin, Z., Yang, H. & Yin, G., Aug 2013, In: Automatica. 40, p. 2317 - 2329 13 p.

  Research output: Contribution to journal › Article › peer-review

  • Model 100%
  • Strategy 100%
  • Regime 100%
  • Mathematical Method 100%
  • Injection 100%
  40 Citations (Scopus)

• On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process

  Zhang, Z., Yang, H. & Yang, H., 2013, In: Scandinavian Actuarial Journal. 2013, 3, p. 213-239

  Research output: Contribution to journal › Article › peer-review

  • Renewal Equation 100%
  • Defectives 100%
  4 Citations (Scopus)

• Optimal dividends with debts and nonlinear insurance risk processes

  Meng, H., Siu, K. & Yang, H., 2013, In: Insurance: Mathematics and Economics. 53, p. 110-121

  Research output: Contribution to journal › Article › peer-review

  • Nonlinear 100%
  • Risk Process 100%
  • Dividend 100%
  • Debt 100%
  • Function Value 100%
  18 Citations (Scopus)

• OPTIMAL PORTFOLIO IN A CONTINUOUS-TIME SELF-EXCITING THRESHOLD MODEL

  Meng, H., Yuen, F. L., Siu, K. & Yang, H., 2013, In: Journal of Industrial and Management Optimization. 9, 2, p. 487-504

  Research output: Contribution to journal › Article › peer-review

  • Price 100%
  • Continuous Time 100%
  • Economy 50%
  • Portfolio Selection 50%
  • Regime Switching 50%
  8 Citations (Scopus)

• Option valuation by a self-exciting threshold binomial model

  Yuen, F. L., Siu, K. & Yang, H., 2013, In: Mathematical and Computer Modelling. 58, 1, p. 28-37

  Research output: Contribution to journal › Article › peer-review

  • Binomial Model 100%
  • Price 50%
  • Securities 50%
  • Pricing 50%
  • Regime Switching 50%
  9 Citations (Scopus)

• Valuing equity-linked death benefits in jump diffusion models

  Gerber, H., Shiu, E. & Yang, H., Nov 2013, In: Insurance: Mathematics and Economics. 53, 3, p. 615-623 9 p.

  Research output: Contribution to journal › Article › peer-review

  • Diffusion Model 100%
  • Exponential Distribution 100%
  • Death Benefit 100%
  • Benefits 100%
  • Share 100%
  47 Citations (Scopus)
• 2012

  Asset allocation under threshold autoregressive models

  Song, N., Siu, T. K., Ching, W. K., Tong, H. & Yang, H., Jan 2012, In: Applied Stochastic Models in Business and Industry. 28, 1, p. 60-72 13 p.

  Research output: Contribution to journal › Article › peer-review

  • Autoregressive Model 100%
  • Portfolio Selection 100%
  • Linear Time Series 50%
  • Wealth 33%
  • Dynamic Programming 33%
  8 Citations (Scopus)

• Elasticity approach to asset allocation in discrete time

  Fu, J. & Yang, H., 2012, In: Risk and Decision Analysis. 3, 1-2, p. 139-146 8 p.

  Research output: Contribution to journal › Article › peer-review

  • discrete-time 100%
  • Asset Allocation 100%
  • Portfolio Selection 100%
  • Optimization Problem 75%
  • Allocation Problem 50%

• Equilibrium approach of asset pricing under Levy process

  Fu, J. & Yang, H., Dec 2012, In: European Journal of Operational Research. 223, 3, p. 701-708 8 p.

  Research output: Contribution to journal › Article › peer-review

  • Equilibrium Model 100%
  • Levy Process 100%
  • Asset Pricing 100%
  • Risk Premium 75%
  • Pricing 50%
  16 Citations (Scopus)

• On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation

  Zhang, Z., Yang, H. & Yang, H., 2012, In: Methodology and Computing in Applied Probability. 14, p. 973-995

  Research output: Contribution to journal › Article › peer-review

  • Risk Model 100%
  • Claim Size 100%
  • Diffusion Process 66%
  • Measures 33%
  • Explicit Expression 33%
  17 Citations (Scopus)

• ON THE OPTIMAL DIVIDEND STRATEGY IN A REGIME-SWITCHING DIFFUSION MODEL

  Wei, J., Wang, R. & Yang, H., 2012, In: Advances in Applied Probability. 44, p. 886-906

  Research output: Contribution to journal › Article › peer-review

  • Diffusion Model 100%
  • Dividend 100%
  • Diffusion 100%
  • Regime Switching 100%
  • Function Value 50%
  14 Citations (Scopus)

• Optimal Asset Allocation: A Worst Scenario Expectation Approach

  Yuen, F. L. & Yang, H., 2012, In: Journal of Optimization Theory and Applications. 153, p. 794-811

  Research output: Contribution to journal › Article › peer-review

  • Investors 100%
  • Portfolio Selection 100%
  • Capital Market Returns 25%
  • Return 25%
  • Measure of Dispersion 25%
  2 Citations (Scopus)

• Optimal surrender strategies for equity-indexed annuity investors with partial information

  Wei, J., Wang, R. & Yang, H., 2012, In: Statistics and Probability Letters. 82, p. 1251-1258

  Research output: Contribution to journal › Article › peer-review

  • Optimal Stopping Problem 100%
  7 Citations (Scopus)

• The interplay between finance and actuarial science

  Yang, H., 2012, In: Risk and Decision Analysis. 3, 1-2, p. 1 1 p.

  Research output: Contribution to journal › Editorial

  Open Access

• The Omega model: from bankruptcy to occupation times in the red

  Gerber, H., Siu, E. & Yang, H., 2012, In: European Actuarial Journal. 2, p. 259–272

  Research output: Contribution to journal › Article › peer-review

  • Model 100%
  • Occupation 100%
  • Time 100%
  • Bankruptcy 100%
  • Brownian Motion 50%
  39 Citations (Scopus)

• Valuing equity-linked death benefits and other contingent options: A Discounted Density Approach

  Gerber, H., Shiu, E. & Yang, H., Jul 2012, In: Insurance: Mathematics and Economics. 51, 1, p. 73-92 20 p.

  Research output: Contribution to journal › Article › peer-review

  • Benefits 100%
  • Share 100%
  • Option Trading 83%
  • Payment System 66%
  • Stock Price 50%
  52 Citations (Scopus)
• 2011

  Coherent risk measure for derivatives under Black-Scholes economy with regime switching

  Hao, F. & Yang, H., 27 Sept 2011, In: Managerial Finance. 37, 11, p. 1011-1024 14 p.

  Research output: Contribution to journal › Article › peer-review

  • Economy 100%
  • Regime Switching 100%
  • Option Trading 100%
  • Risk Management 40%
  • Securities 40%
  3 Citations (Scopus)

• Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model

  Qian, L., Yang, H. & Wang, R., Dec 2011, In: Frontiers of Mathematics in China. 6, 6, p. 1185-1202 18 p.

  Research output: Contribution to journal › Article › peer-review

  • Minimizing 100%
  • Hedging Strategy 100%
  • Risk 100%
  • Contract Law 100%
  • State 100%
  5 Citations (Scopus)

• Markowitz’s Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

  Chen, P. & Yang, H., 2011, In: Applied Mathematical Finance. 18, 1, p. 29-50

  Research output: Contribution to journal › Article › peer-review

  • Measure of Dispersion 100%
  • Management 100%
  • Securities 100%
  • Regime Switching 100%
  • Economics 66%
  65 Citations (Scopus)

• NUMERICAL METHODS FOR DIVIDEND OPTIMIZATION USING REGIME-SWITCHING JUMP-DIFFUSION MODELS

  Yang, H., Jin, Z. & Yin, G., 2011, In: MATHEMATICAL CONTROL AND RELATED FIELDS. 1, 1, p. 21-40

  Research output: Contribution to journal › Article › peer-review

  • Model 100%
  • Optimization 100%
  • Value 100%
  • Time 100%
  • Regime 100%
  9 Citations (Scopus)

• ON THE ABSOLUTE RUIN IN A MAP RISK MODEL WITH DEBIT INTEREST

  Zhang, Z., Yang, H. & Yang, H., 2011, In: Advances in Applied Probability. p. 77-96

  Research output: Contribution to journal › Article › peer-review

  • Matrix (Mathematics) 100%
  • Risk Model 100%
  • Constant 50%
  • Differential Equation 50%
  • Claim Size 50%
  14 Citations (Scopus)

• On the probability of completeness for large markets

  Wright, J. A., Yam, P. S. C. & Yang, H., Aug 2011, In: Japan Journal of Industrial and Applied Mathematics. 28, 2, p. 301-313 13 p.

  Research output: Contribution to journal › Article › peer-review

  • Probability Theory 100%
  • Completeness 100%
  • Securities 50%
  • Complete 33%
  • Number 33%

• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs

  Yao, D., Yang, H. & Wang, R., 2011, In: European Journal of Operational Research. 211, p. 568-576

  Research output: Contribution to journal › Article › peer-review

  • Transaction Costs 100%
  • Dividend 100%
  • Control Problems 100%
  • Models 100%
  • Optimal Control Problem 50%
  79 Citations (Scopus)

• Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching

  Wei, J., Yang, H. & Wang, R., 2011, Progress in Probability. Birkhauser, p. 413-429 17 p. (Progress in Probability; vol. 65).

  Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review

  • Poisson Model 100%
  6 Citations (Scopus)

• Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment

  Zhu, J., Yang, H. & Ng, K. W., 2011, In: Communications in Statistics - Theory and Methods. 40, p. 3917-3934

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Ruin Probability 100%
  • Risk Process 100%
  • Brownian Motion 100%
  • Bounds 50%
  • Probability Theory 25%
  4 Citations (Scopus)

• Ruin theory in a hidden markov-modulated risk model

  Elliott, R. J., Siu, T. K. & Yang, H., Jul 2011, In: Stochastic Models. 27, 3, p. 474-489 16 p.

  Research output: Contribution to journal › Article › peer-review

  • Complete 100%
  • Partial Differential Equation 100%
  • Risk Model 100%
  • Ruin Probability 100%
  • Modeling 100%
  7 Citations (Scopus)
• 2010

  A direct approach to the discounted penalty function

  Albrecher, H., Gerber, H. & Yang, H., Oct 2010, In: North American Actuarial Journal. 14, 4, p. 420-434 28 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Surplus Process 100%
  • Exponential Distribution 100%
  • Direct Approach 100%
  • Penalty Function 100%
  • Rational Function 50%
  27 Citations (Scopus)

• An elementary approach to discrete models of dividend strategies

  Gerber, H., Siu, E. & Yang, H., Feb 2010, In: Insurance: Mathematics and Economics. 46, 1, p. 109-116 8 p.

  Research output: Contribution to journal › Article › peer-review

  • Approach 100%
  • Model 100%
  • Strategy 100%
  • Penalty 100%
  • Zeros 100%
  17 Citations (Scopus)

• Asymptotically Optimal Dividend Policy for Regime-Switching Compound Poisson Models

  Yin, G., Jin, Z. & Yang, H., 2010, In: Acta Mathematicae Applicatae Sinica. 26, 4, p. 529-542

  Research output: Contribution to journal › Article › peer-review

  • Models 100%
  • Switching 100%
  • Brownian Motion 100%
  • Markov Chain 100%
  • Poisson Model 100%
  6 Citations (Scopus)

• Authors’ Reply: A Direct Approach to the Discounted Penalty Function - Discussion by Volkmar Lautscham; Yi Lu; Eric C. K. Cheung

  Albrecher, H., Gerber, H. U. & Yang, H., 1 Oct 2010, In: North American Actuarial Journal. 14, 4, p. 445-447 3 p.

  Research output: Contribution to journal › Article › peer-review

• Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching

  Wei, J., Yang, H. & Wang, R., 2010, In: Journal of Optimization Theory and Applications. 147, p. 358-377147

  Research output: Contribution to journal › Article › peer-review

  • Optimization 100%
  • Strategy 100%
  • Regime 100%
  • Inequality 100%
  • Utility 100%
  32 Citations (Scopus)

• Dependent Insurance Risk Model: Deterministic Threshold

  Kwan, K. M. & Yang, H., 2010, In: Communications in Statistics - Theory and Methods. 39, p. 765-776

  Research output: Contribution to journal › Article › peer-review

  • Risk Model 100%
  • Claim Size 100%
  • Risk 100%
  • Size 100%
  • Ruin Probability 50%
  3 Citations (Scopus)

• Filtering a Markov modulated random measure

  Elliott, R., Siu, K. & Yang, H., Jan 2010, In: IEEE Transactions on Automatic Control. 55, 1, p. 74-88

  Research output: Contribution to journal › Article › peer-review

  • Measures 100%
  • Claim Size 50%
  • Stochastic Process 50%
  • Insurance Claim 50%
  12 Citations (Scopus)

• Obtaining the dividends-penalty identity by interpretation

  Gerber, H. & Yang, H., Oct 2010, In: Insurance: Mathematics and Economics. 47, 2, p. 206-207

  Research output: Contribution to journal › Article › peer-review

  • Identity 100%
  • Penalty 100%
  • Interpretation 100%
  • Classical Model 100%
  • Dividend 100%
  5 Citations (Scopus)

• On the Markov-modulated insurance risk model with tax

  Wei, J., Yang, H. & Wang, R., 2010, In: Blätter DGVFM. p. 65-78

  Research output: Contribution to journal › Article › peer-review
  17 Citations (Scopus)

• OPTIMAL FINANCING AND DIVIDEND STRATEGIES IN A DUAL MODEL WITH PROPORTIONAL COSTS

  Yao, D., Yang, H. & Wang, R., 2010, In: Journal of Industrial and Management Optimization. 6, 4, p. 761-777

  Research output: Contribution to journal › Article › peer-review

  • Share 100%
  • Dividend 100%
  • Optimal Strategy 100%
  • Optimal Control Problem 50%
  • Function Value 50%
  23 Citations (Scopus)

• Optimal Reinsurance and Dividend Strategies Under the Markov-Modulated Insurance Risk Model

  Wei, J., Yang, H. & Wang, R., 2010, In: Stochastic Analysis and Applications. 28, p. 1078-1105

  Research output: Contribution to journal › Article › peer-review

  • Risk Model 100%
  • Dividend 100%
  • Viscosity Solution 50%
  • Surplus Process 50%
  • Continuous Time Markov Chain 50%
  13 Citations (Scopus)

• Option pricing with regime switching by trinomial tree method

  Yuen, F. L. & Yang, H., 2010, In: Journal of Computational and Applied Mathematics. 233, 8, p. 18211833

  Research output: Contribution to journal › Article › peer-review

  • Pricing 100%
  • Regime Switching 100%
  • Price 25%
  • Option Trading 25%
  85 Citations (Scopus)

• Pension funding problem with regime-switching geometric Brownian motion assets and liabilities

  Chen, P. & Yang, H., 2010, In: Applied Stochastic Models in Business and Industry. 26, p. 125-141

  Research output: Contribution to journal › Article › peer-review

  • Regime Switching 100%
  • Levy Process 100%
  • Geometric Brownian Motion 100%
  • Payment System 50%
  • Dividend 50%
  7 Citations (Scopus)

• Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method

  Yuen, F. L. & Yang, H., 2010, In: North American Actuarial Journal. 14, 2, p. 256-272

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Share 100%
  • Regime Switching 100%
  • Option Trading 100%
  • Models 100%
  • Modeling 33%
  31 Citations (Scopus)

• Pricing options and equity-indexed annuities in a regime-switching model by trinomial tree method

  Yuen, F. L. & Yang, H., 2010, WMSCI 2010 - The 14th World Multi-Conference on Systemics, Cybernetics and Informatics, Proceedings. p. 321-325 5 p. (WMSCI 2010 - The 14th World Multi-Conference on Systemics, Cybernetics and Informatics, Proceedings; vol. 3).

  Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

  • Share 100%
  • Pricing 100%
  • Regime Switching 100%
  • Option Pricing 100%
  • Markov Process 100%

• Upper comonotonicity and convex upper bounds for sums of random variables

  Dong, J., Cheung, K. C. & Yang, H., 2010, In: Insurance: Mathematics and Economics. 47, 2, p. 159-166

  Research output: Contribution to journal › Article › peer-review

  • Random Variable 100%
  • Upper Bound 100%
  • Random Vector 100%
  • Vectors 100%
  • Copula 50%
  6 Citations (Scopus)
• 2009

  Crossing Time of Annuities With Exponential Payment Rates

  Gerber, H., Shiu, E. & Yang, H., 2009, In: Bulletin of the Swiss Association of Actuaries . p. 96-100

  Research output: Contribution to journal › Article › peer-review

• Nonparametric Bayesian Credibility

  Yang, H. & Siu, K., 2009, In: Australian actuarial journal. p. 209-230

  Research output: Contribution to journal › Article › peer-review

  • Bayesian 100%
  • Premium 62%
  • Characteristics 40%
  • Distribution 25%
  • Risk 25%