Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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Title Hits Visitors Downloads
On valuing participating life insurance contracts with conditional heteroscedasticity 255 180 0
Risk and probability measures 185 142 0
Optimal insurance risk control with multiple reinsurers 280 268 0
Optimal dividends with debts and nonlinear insurance risk processes 299 236 0
Optimal portfolio in a continuous-time self-exciting threshold model 357 563 174
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 147 151 0
On Bayesian value at risk : from linear to non-linear portfolios 192 124 0
Asset allocation under threshold autoregressive models 513 393 0
Martingale representation for contingent claims with regime switching 439 248 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 443 222 0
On the optimal dividend strategy in a regime-switching diffusion model 214 262 0
Insurance claims modulated by a hidden marked point process 265 277 89
Option pricing under threshold autoregressive models by threshold Esscher transform 394 407 190
On Bayesian mixture credibility 322 193 0
Portfolio optimization in a regime-switching market with derivatives 226 223 0
Option valuation by a self-exciting threshold binomial model 205 163 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 125 114 0
On the Markov-modulated insurance risk model with tax 31 36 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 303 327 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 203 90 0
On pricing derivatives under nonlinear time series models 197 177 1
Ruin theory in a hidden Markov-modulated risk model 474 332 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 181 97 0
A Partial differential equation approach to multivariate risk theory 108 134 0
Ruin theory under a generalized jump-diffusion model with regime switching 304 216 0
Option pricing when the regime-switching risk is priced 326 197 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 298 269 0
On a generalized form of risk measure 117 92 0
Filtering a Markov modulated random measure 221 191 60
Pricing participating products under a generalized jump-diffusion model 149 271 69
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Yang, Hailiang

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