Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 233 159 0
Risk and probability measures 175 132 0
Optimal insurance risk control with multiple reinsurers 277 265 0
Optimal dividends with debts and nonlinear insurance risk processes 283 220 0
Optimal portfolio in a continuous-time self-exciting threshold model 348 553 173
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 143 147 0
On Bayesian value at risk : from linear to non-linear portfolios 188 120 0
Asset allocation under threshold autoregressive models 504 384 0
Martingale representation for contingent claims with regime switching 430 239 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 428 208 0
On the optimal dividend strategy in a regime-switching diffusion model 212 260 0
Insurance claims modulated by a hidden marked point process 259 270 88
Option pricing under threshold autoregressive models by threshold Esscher transform 382 395 190
On Bayesian mixture credibility 312 183 0
Portfolio optimization in a regime-switching market with derivatives 222 219 0
Option valuation by a self-exciting threshold binomial model 200 158 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 124 113 0
On the Markov-modulated insurance risk model with tax 31 36 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 299 323 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 198 85 0
On pricing derivatives under nonlinear time series models 193 173 1
Ruin theory in a hidden Markov-modulated risk model 425 283 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 179 95 0
A Partial differential equation approach to multivariate risk theory 107 133 0
Ruin theory under a generalized jump-diffusion model with regime switching 296 208 0
Option pricing when the regime-switching risk is priced 306 177 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 292 263 0
On a generalized form of risk measure 114 89 0
Filtering a Markov modulated random measure 218 187 59
Pricing participating products under a generalized jump-diffusion model 146 268 69
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Yang, Hailiang

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