Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 205 131 0
Risk and probability measures 137 95 0
Optimal insurance risk control with multiple reinsurers 233 222 0
Optimal dividends with debts and nonlinear insurance risk processes 253 190 0
Optimal portfolio in a continuous-time self-exciting threshold model 325 515 156
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 129 133 0
On Bayesian value at risk : from linear to non-linear portfolios 147 79 0
Asset allocation under threshold autoregressive models 470 350 0
Martingale representation for contingent claims with regime switching 345 154 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 378 158 0
On the optimal dividend strategy in a regime-switching diffusion model 180 228 0
Insurance claims modulated by a hidden marked point process 219 219 75
Option pricing under threshold autoregressive models by threshold Esscher transform 316 321 180
On Bayesian mixture credibility 256 127 0
Portfolio optimization in a regime-switching market with derivatives 196 193 0
Option valuation by a self-exciting threshold binomial model 185 143 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 96 85 0
On the Markov-modulated insurance risk model with tax 26 31 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 239 263 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 173 60 0
On pricing derivatives under nonlinear time series models 158 138 1
Ruin theory in a hidden Markov-modulated risk model 364 222 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 152 68 0
A Partial differential equation approach to multivariate risk theory 91 120 0
Ruin theory under a generalized jump-diffusion model with regime switching 228 140 0
Option pricing when the regime-switching risk is priced 265 136 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 273 244 0
On a generalized form of risk measure 81 56 0
Filtering a Markov modulated random measure 169 112 29
Pricing participating products under a generalized jump-diffusion model 100 217 62
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Yang, Hailiang

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