Personal Information

Hailiang Yang, Professor, Department of Statistics and Actuarial Science, The University of Hongkong.


EDUCATION

1995 M.Math., Actuarial Science, University of Waterloo

1993 Ph.D., Statistics and Applied Probability, University of Alberta

1982 B.Sc., Mathematics, Inner Mongolia University(China)


SELECTED PUBLICATIONS

  1. Z. Jin, G. Yin and H. Yang, Numerical Methods for Dividend Policy of Regime-Switching Jump-Diusion Models, Mathematical Control and Related Fields, Vol. 1, No. 1, 21-40, March 2011
  2. D. Yao, H. Yang and R. Wang, Optimal dividend and capital injection problem in the dual model with proportional and xed transaction costs, European Journal of Operational Research, Vol. 211, No. 3, 568-576, June 2011
  3. Z. Zhang, Hailiang Yang and Hu Yang, On the absolute ruin in a MAP risk model with debit interest, Advances in Applied Probability, Vol. 43, No. 1, 77-96, March 2011
  4. J. Wei, H. Yang and R. Wang, Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching, Journal of Optimization Theory and Applications, Vol. 147, No 2, November 2010
  5. J. Dong, K. C. Cheung and H. Yang, Upper comonotonicity and convex upper bounds for sums of random variables, Insurance; Mathematics and Economics, Vol. 47, No. 2, 159-166, October 2010
  6. H.U. Gerber and H. Yang, Obtaining the dividends-penalty identity by interpretation, Insurance; Mathematics and Economics, Vol. 47, No. 2, 206-207, October 2010
  7. H. Albrecher, H.U. Gerber and H. Yang, A direct approach to the discounted penalty function, North American Actuarial Journal, to appear
  8. F.L. Yuen and H. Yang, Pricing Asian Options and Equity-Indexed Annuities with Regime-switching by Trinomial Tree Method, North American Actuarial Journal, Vol. 14, No. 2, April 2010
  9. H.U. Gerber, E. S. W. Shiu and H. Yang, An Elementary Approach to Discrete Models of Dividend Strategies, Insurance; Mathematics and Economics, Vol. 46, No. 1, 109-116, Feb. 2010
  10. D. Yao, H. Yang and R. Wang, Optimal nancing and dividend strategies in a dual model with proportional costs, Journal of Industrial and Management Optimization (JIMO), Vol. 6, No. 4, 761-777, November 2010
  11. X.S. Lin, K.S. Tan and H. Yang, Pricing Annuity Guarantees under a Regime-Switching Model, North American Actuarial Journal, Vol. 13, No 4, 316-332; Discussions, 333-338, 2009
  12. R.J. Elliott, T.K. Siu and H. Yang, Filtering a Markov Modulated Random Measure, IEEE Transactions on Automatic Control, Vol. 55, No. 1, 74-88, January 2010
  13. F.L. Yuen and H. Yang, Option Pricing in a Jump-diusion Model with Regime-switching, ASTIN Bulletin,Vol. 39, No. 2, 515-539, November 2009
  14. J. Zhu and H. Yang, Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest, Journal of Applied Probability, Vol. 45, No. 3, 818-830, 2008
  15. P. Chen, H. Yang and G. Yin, Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model, Insurance; Mathematics and Economics, Vol. 43, No. 3, 456-465, 2008
  16. T.K. Siu, H. Yang and J. Lau, Pricing Currency Options Under Two-Factor Markov-modulated Stochastic Volatility Models, Insurance; Mathematics and Economics, Vol. 43. No.3, 295-302, 2008
  17. K. C. Cheung and H. Yang Ordering of Optimal Portfolio Allocations in a Model with Mixture of Fundamental Risks, Journal of Applied Probability, Vol. 45, No. 1, 55-66, 2008
  18. J. Zhu and H. Yang, On Di erentiability of Ruin Functions under Markovmodulated models, Stochastic Processes and Their Applications, Vol. 119, 1673-1695, 2009
  19. Z.F. Li, K.S. Tan and H. Yang, Multiperiod Optimal Consumption-Investment Strategies with Mortality Risk and Environmental Uncertainty, North American Actuarial Journal, Vol. 12, No 1, 47-64, 2008
  20. H.U. Gerber and H. Yang, Absolute Ruin Probabilities in a Jump Di usion Risk Model with Investment, North American Actuarial Journal, Vol. 11, No. 3, 159-169, 2007