Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 186 114 0
Risk and probability measures 115 73 0
Optimal insurance risk control with multiple reinsurers 206 195 0
Optimal dividends with debts and nonlinear insurance risk processes 178 117 0
Optimal portfolio in a continuous-time self-exciting threshold model 307 442 99
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 119 123 0
On Bayesian value at risk : from linear to non-linear portfolios 131 63 0
Asset allocation under threshold autoregressive models 420 300 0
Martingale representation for contingent claims with regime switching 296 105 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 334 114 0
On the optimal dividend strategy in a regime-switching diffusion model 156 204 0
Insurance claims modulated by a hidden marked point process 184 175 66
Option pricing under threshold autoregressive models by threshold Esscher transform 260 236 144
On Bayesian mixture credibility 226 97 0
Portfolio optimization in a regime-switching market with derivatives 138 135 0
Option valuation by a self-exciting threshold binomial model 150 108 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 88 77 0
On the Markov-modulated insurance risk model with tax 25 30 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 147 171 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 47 45 0
On pricing derivatives under nonlinear time series models 139 119 1
Ruin theory in a hidden Markov-modulated risk model 327 185 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 138 54 0
A Partial differential equation approach to multivariate risk theory 84 113 0
Ruin theory under a generalized jump-diffusion model with regime switching 197 109 0
Option pricing when the regime-switching risk is priced 244 115 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 224 219 0
On a generalized form of risk measure 64 39 0
Filtering a Markov modulated random measure 135 69 20
Pricing participating products under a generalized jump-diffusion model 81 156 19
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Yang, Hailiang

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