Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 220 146 0
Risk and probability measures 154 111 0
Optimal insurance risk control with multiple reinsurers 254 243 0
Optimal dividends with debts and nonlinear insurance risk processes 271 208 0
Optimal portfolio in a continuous-time self-exciting threshold model 338 535 165
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 135 139 0
On Bayesian value at risk : from linear to non-linear portfolios 162 94 0
Asset allocation under threshold autoregressive models 491 371 0
Martingale representation for contingent claims with regime switching 385 194 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 403 183 0
On the optimal dividend strategy in a regime-switching diffusion model 193 241 0
Insurance claims modulated by a hidden marked point process 241 248 84
Option pricing under threshold autoregressive models by threshold Esscher transform 347 357 187
On Bayesian mixture credibility 282 153 0
Portfolio optimization in a regime-switching market with derivatives 212 209 0
Option valuation by a self-exciting threshold binomial model 195 153 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 106 95 0
On the Markov-modulated insurance risk model with tax 30 35 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 277 301 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 192 79 0
On pricing derivatives under nonlinear time series models 173 153 1
Ruin theory in a hidden Markov-modulated risk model 393 251 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 167 83 0
A Partial differential equation approach to multivariate risk theory 101 127 0
Ruin theory under a generalized jump-diffusion model with regime switching 259 171 0
Option pricing when the regime-switching risk is priced 281 152 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 284 255 0
On a generalized form of risk measure 98 73 0
Filtering a Markov modulated random measure 189 153 52
Pricing participating products under a generalized jump-diffusion model 125 247 69
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Yang, Hailiang

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