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

• 2003

  Precise large deviations for the prospective-loss process

  Ng, K., Tang, Q., Yan, J. & Yang, H., 2003, In: Journal of Applied Probability. 40, 2, p. 391-400

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

  • Models 100%
  • Random Variable 100%
  • Potential Customer 100%
  • Arrival Process 100%
  • Large Deviations 100%
  36 Citations (Scopus)

• Ruin theory in a financial corporation model with credit risk

  Yang, H., 2003, In: Insurance: Mathematics and Economics. 33, 1, p. 135-145

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

  • Ruin Probability 100%
  • Credit Risk 100%
  • Risk Model 50%
  • Ruin Time 50%
  • Equation System 50%
  7 Citations (Scopus)

• Some results on ruin probabilities in a two-dimensional risk model

  Chan, W., Yang, H. & Zhang, L., 21 Jul 2003, In: Insurance: Mathematics and Economics. 32, 3, p. 345-358 14 p.

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

  • Ruin Probability 100%
  • Bounds 40%
  • Bivariate 20%
  • Numerical Simulation 20%
  • Risk Process 20%
  75 Citations (Scopus)
• 2002

  Approximations for moments of de"cit at ruin with exponential and subexponential claims

  Cheng, Y., Tang, Q. & Yang, H., 2002, In: Statistics and Probability Letters. 59, 4, p. 367-378

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

  • Approximation 100%
  • Risk Model 100%
  • Claim Size 100%
  • Asymptotic Behavior 100%
  • Initial Surplus 100%

• Approximations for moments of deficit at ruin with exponential and subexponential claims

  Cheng, Y., Tang, Q. & Yang, H., 15 Oct 2002, In: Statistics and Probability Letters. 59, 4, p. 367-378 12 p.

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

  • Approximation 100%
  • Risk Model 100%
  • Claim Size 100%
  • Asymptotic Behavior 100%
  • Asymptotics 100%
  11 Citations (Scopus)

• Maxima of sums of heavy-tailed random variables

  Ng, K., Tang, Q. & Yang, H., 2002, In: ASTIN Bulletin. 32, 1, p. 43-55

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

  • Sums Of Independent Random Variables 100%
  39 Citations (Scopus)

• Two-level binomial trees

  Yang, H., 2002, In: Risk. 2002, 7, p. 53-57

  Research output: Contribution to journal › Article › peer-review
• 2001

  BAYESIAN RISK MEASURES FOR DERIVATIVES VIA RANDOM ESSCHER TRANSFORM

  Siu, T. K., Tong, H. & Yang, H., 2001, In: North American Actuarial Journal. 5, 3, p. 78-91

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

  Open Access

  • Models 100%
  • Contexts 100%
  • Real World 100%
  • Option Pricing 100%
  • closed-form expression 100%
  22 Citations (Scopus)

• COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY

  Yang, H. & Siu, K., 2001, In: International Journal of Theoretical and Applied Finance. 4, 5, p. 819-835

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

  • Economy 100%
  • Probability 100%
  • Managers 50%
  • Transaction Costs 50%
  • Risk Attitude 50%

• CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE

  Yang, H., 2001, In: Stochastic Analysis and Applications. 19, 2, p. 207-214

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

  • Ruin Probability 100%
  • Conditionals 100%
  • Partial Differential Equation 50%
  • Diffusion Process 50%
  2 Citations (Scopus)

• On the distribution of surplus immediately after ruin under interest force

  Yang, H. & Zhang, L., 2001, In: Insurance: Mathematics and Economics. 29, 2, p. 247-255

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

  • Constant 100%
  • Force 100%
  • Poisson Model 100%
  • Interest Rate 100%
  21 Citations (Scopus)

• On the distribution of surplus immediately before ruin under interest force

  Yang, H. & Zhang, L., 2001, In: Statistics and Probability Letters. 55, 3, p. 329-338

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

  • Force 100%
  • Constant 50%
  • Bounds 50%
  • Laplace Transform 50%
  • Surplus Process 50%
  8 Citations (Scopus)

• Spectrally negative Lévy processes with applications in risk theory

  Yang, H. & Zhang, L., 2001, In: Advances in Applied Probability. 33, 1, p. 281-291

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

  • Risk Process 100%
  • Lvy Process 100%
  • Risk Theory 100%
  • Ruin Probability 33%
  • Ruin Time 33%
  40 Citations (Scopus)

• THE JOINT DISTRIBUTION OF SURPLUS IMMEDIATELY BEFORE RUIN AND THE DEFICIT AT RUIN UNDER INTEREST FORCE

  Yang, H. & Zhang, L., 2001, In: North American Actuarial Journal. 5, 3, p. 92-103

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

  • Joint Distribution Function 100%
  18 Citations (Scopus)
• 2000

  An Integrated Risk Management Method: VaR Approach

  Yang, H., 2000, In: Multinational Finance Journal. 4, 3, p. 201-219

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

  • Risk Management 100%
  • Value at Risk 100%
  • Market Risk 66%
  • Credit 50%
  • Credit Rating 50%

• A PDE approach to risk measures of derivatives

  Siu, T. K. & Yang, H., 2000, In: Applied Mathematical Finance. 7, 3, p. 211-228

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

  • Partial Differential Equation 100%
  • Derivatives 100%
  • Risk Measure 100%
  • Risk 100%
  • Measure 100%
  13 Citations (Scopus)

• European option pricing when the riskfree interest rate follows a jump process

  Tsoi, A. H., Yang, H. & Yeung, S. N., 2000, In: Communications in Statistics. Part C: Stochastic Models. 16, 1, p. 143-166 24 p.

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

  • Option Pricing 100%
  • General Formulation 100%
  • Jump Process 100%
  • Volatility 100%
  • Pricing 100%
  7 Citations (Scopus)
• 1999

  Exponential stabilizability of stochastic systems with Markovian jumping parameters

  Boukas, E. K. & Yang, H., 1999, In: Automatica. 35, 8, p. 1437-1441

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

  • Parameters 100%
  • Stochastic System 100%
  • Classes 33%
  • Stability 33%
  • Optimal Control Theory 33%
  79 Citations (Scopus)

• Non-exponential bounds for ruin probability with interest effect included

  Yang, H., 1999, In: Scandinavian Actuarial Journal. 1999, 1, p. 66-79

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

  • Ruin Probability 100%
  • Exponential Bound 100%
  • Probability Theory 50%
  • Discrete Time 50%
  • Risk Model 50%
  46 Citations (Scopus)

• Robust LQ regulator for jump linear systems with uncertain parameters

  Boukas, E. K. & Yang, H., 1999, In: Dynamics and Control. 9, 2, p. 125-134 10 p.

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

  • Parameters 100%
  • Linear System 100%
  • Classes 66%
  • System State 33%
  • Complete 33%
  4 Citations (Scopus)

• Subjective risk measures: Bayesian predictive scenarios analysis

  Siu, K. & Yang, H., 1999, In: Insurance: Mathematics and Economics. 25, 2, p. 157-169

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

  • Bayesian 100%
  • Risk Measure 100%
  • Finance 50%
  • Credibility Theory 50%
  • Points 16%
  10 Citations (Scopus)
• 1997

  Asset allocation with time variation in expected returns

  Boyle, P. & Yang, H., 1997, In: Insurance: Mathematics and Economics. 21, p. 201-218

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

  • Return 100%
  • Portfolio Selection 100%
  • Investors 66%
  • Stock 33%
  • Investment 33%
  7 Citations (Scopus)

• ON THE ROBUSTNESS OF JUMP LINEAR QUADRATIC CONTROL

  Boukas, E. K., Swierrniak, A. & Yang, H., 1997, In: INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL. 7

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

  • Control Law 100%
  • Linear Quadratic Control 100%
  • Control 100%
  • Robustness 100%
  • Performance 50%
  7 Citations (Scopus)

• Robust stability of nonlinear piecewise deterministic systems under matching conditions

  Boukas, E. K. & Yang, H., 1997, In: Mathematical Problems in Engineering. 3, 3, p. 203-215 13 p.

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

  Open Access

  • Classes 100%
  • Nonlinear 100%
  • Stability 100%
  • Piecewise 100%
  • Matching Condition 100%
  10 Citations (Scopus)

• Robust stabilization and guaranteed cost control of large scale linear systems with jumps

  Boukas, E. K., Swierniak, A., Simek, K. & Yang, H., 1997, In: Kybernetika. 33, 1, p. 121-131 11 p.

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

  • Control 100%
  • Linear System 100%
  • Linear Systems 100%
  • Local Decision 50%
  • Nonlinear 25%
  16 Citations (Scopus)

• Robust Stabilization by Dynamic Combined State and Output Feedback Compensator for Nonlinear Systems with Jumps

  Boukas, E. K. & Yang, H., 1997, In: Journal of Optimization Theory and Applications. 92, 1, p. 63-75

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

  • Classes 100%
  • System State 100%
  • Parameters 100%
  • Complete 100%
  • Stability Result 100%
  3 Citations (Scopus)
• 1996

  Optimal control of manufacturing flow and preventive maintenance

  Boukas, E. K. & Yang, H., 1996, In: IEEE Transactions on Automatic Control. 41, 6, p. 881-885

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

  • Control 100%
  • Production Rate 100%
  • Preventive Maintenance 100%
  • Functions 50%
  • Optimization Problem 50%
  46 Citations (Scopus)

• Robust stabilizability of uncertain linear time-delay systems with markovian jumping parameters

  Benjelloun, K., Boukas, E. K. & Yang, H., Dec 1996, In: Journal of Dynamic Systems, Measurement and Control, Transactions of the ASME. 118, 4, p. 776-783 8 p.

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

  • Classes 100%
  • Parameters 100%
  • Delay-Differential Equation 100%
  • Linear Time 100%
  • Robustness 100%
  21 Citations (Scopus)

• Stability of Stochastic Systems with Jumps

  Boukas, E. K. & Yang, H., 1996, In: Mathematical Problems in Engineering. 3, 2, p. 173-185 13 p.

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

  Open Access

  • Stochastic System 100%
  • Sufficient Condition 50%
  • Control 50%
  • Feedback Control 50%
  • Nonlinear System 50%
  15 Citations (Scopus)
• 1995

  Minimax Production Planning in Failure-Prone Manufacturing Systems

  Boukas, E. K., Yang, H. & Zhang, Q., Nov 1995, In: Journal of Optimization Theory and Applications. 87, 2, p. 269-286 18 p.

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

  • Minimax 100%
  • Value Function 100%
  • Function Value 66%
  • Minimizes 33%
  • Optimal Control Theory 33%
  31 Citations (Scopus)

• On convergence rates of monotone empirical bayes tests for the continuous one-parameter exponential family

  Karunamuni, R. J. & Yang, H., Feb 1995, In: Statistics and Risk Modeling. 13, 2, p. 181-192 12 p.

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

  • Convergence Rate 100%
  • Parameter Exponential Family 100%
  • Empirical Bayes Procedure 100%
  • Parameters 25%
  • Piecewise Linear 25%
  15 Citations (Scopus)

• Stability of discrete-time linear systems with Markovian jumping parameters

  Boukas, E. K. & Yang, H., 1995, In: Mathematics of Control, Signals and Systems . 8, 4, p. 390-402

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

  Open Access

  • Parameters 100%
  • Linear System 100%
  • Discrete Time 100%
  • Stability 100%
  • Classes 66%
  42 Citations (Scopus)
• 1994

  How to count and guess well: discrete adaptive filters

  Elliott, R. & Yang, H., 1994, In: Applied Mathematics and Optimization. 30, 1, p. 51 - 78

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

  • Markov Chain 100%
  • And-States 100%
  • Adaptive Filter 100%
  • State 100%
  • Hidden Markov Model 100%
  16 Citations (Scopus)
• 1993

  Diffusion coefficient estimation and asset pricing when risk premia and sensitive are time varying

  Chesney, M., Elliott, R., Madan, D. & Yang, H., 1993, In: Mathematical Finance . 3, 2, p. 85 - 99

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

  • Diffusion 100%
  • Asset Pricing 100%
  • Diffusivity 100%
  • Scalar 50%
  • Point Estimate 50%
  13 Citations (Scopus)
• 1991

  Control of Partially Observed Diffusions

  Elliott, R. & Yang, H., 1991, In: Journal of Optimization Theory and Applications. 71, 3, p. 485-501

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

  • Facilitated Diffusion 100%
  • Diffusion Coefficient 50%
  6 Citations (Scopus)