Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 198 124 0
Risk and probability measures 130 88 0
Optimal insurance risk control with multiple reinsurers 227 216 0
Optimal dividends with debts and nonlinear insurance risk processes 225 162 0
Optimal portfolio in a continuous-time self-exciting threshold model 315 499 150
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 126 130 0
On Bayesian value at risk : from linear to non-linear portfolios 141 73 0
Asset allocation under threshold autoregressive models 452 332 0
Martingale representation for contingent claims with regime switching 326 135 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 364 144 0
On the optimal dividend strategy in a regime-switching diffusion model 172 220 0
Insurance claims modulated by a hidden marked point process 207 203 71
Option pricing under threshold autoregressive models by threshold Esscher transform 288 288 171
On Bayesian mixture credibility 251 122 0
Portfolio optimization in a regime-switching market with derivatives 183 180 0
Option valuation by a self-exciting threshold binomial model 164 122 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 94 83 0
On the Markov-modulated insurance risk model with tax 25 30 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 237 261 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 124 53 0
On pricing derivatives under nonlinear time series models 152 132 1
Ruin theory in a hidden Markov-modulated risk model 349 207 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 150 66 0
A Partial differential equation approach to multivariate risk theory 88 117 0
Ruin theory under a generalized jump-diffusion model with regime switching 222 134 0
Option pricing when the regime-switching risk is priced 258 129 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 246 241 0
On a generalized form of risk measure 77 52 0
Filtering a Markov modulated random measure 158 98 26
Pricing participating products under a generalized jump-diffusion model 95 208 58
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Yang, Hailiang

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