Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 182 110 0
Risk and probability measures 112 70 0
Optimal insurance risk control with multiple reinsurers 204 193 0
Optimal dividends with debts and nonlinear insurance risk processes 178 117 0
Optimal portfolio in a continuous-time self-exciting threshold model 306 439 97
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 130 62 0
Asset allocation under threshold autoregressive models 414 294 0
Martingale representation for contingent claims with regime switching 288 97 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 330 110 0
On the optimal dividend strategy in a regime-switching diffusion model 154 202 0
Insurance claims modulated by a hidden marked point process 174 164 65
Option pricing under threshold autoregressive models by threshold Esscher transform 252 224 140
On Bayesian mixture credibility 220 91 0
Portfolio optimization in a regime-switching market with derivatives 136 133 0
Option valuation by a self-exciting threshold binomial model 149 107 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 46 44 0
On pricing derivatives under nonlinear time series models 137 117 1
Ruin theory in a hidden Markov-modulated risk model 324 182 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 133 49 0
A Partial differential equation approach to multivariate risk theory 84 113 0
Ruin theory under a generalized jump-diffusion model with regime switching 191 103 0
Option pricing when the regime-switching risk is priced 241 112 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 220 215 0
On a generalized form of risk measure 63 38 0
Filtering a Markov modulated random measure 132 66 20
Pricing participating products under a generalized jump-diffusion model 78 151 17
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Yang, Hailiang

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