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 211 137 0
Risk and probability measures 144 102 0
Optimal insurance risk control with multiple reinsurers 234 223 0
Optimal dividends with debts and nonlinear insurance risk processes 256 193 0
Optimal portfolio in a continuous-time self-exciting threshold model 326 516 156
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 153 85 0
Asset allocation under threshold autoregressive models 477 357 0
Martingale representation for contingent claims with regime switching 357 166 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 383 163 0
On the optimal dividend strategy in a regime-switching diffusion model 181 229 0
Insurance claims modulated by a hidden marked point process 227 227 75
Option pricing under threshold autoregressive models by threshold Esscher transform 322 327 180
On Bayesian mixture credibility 270 141 0
Portfolio optimization in a regime-switching market with derivatives 197 194 0
Option valuation by a self-exciting threshold binomial model 186 144 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 242 266 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 174 61 0
On pricing derivatives under nonlinear time series models 163 143 1
Ruin theory in a hidden Markov-modulated risk model 370 228 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 158 74 0
A Partial differential equation approach to multivariate risk theory 91 120 0
Ruin theory under a generalized jump-diffusion model with regime switching 237 149 0
Option pricing when the regime-switching risk is priced 272 143 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 273 244 0
On a generalized form of risk measure 86 61 0
Filtering a Markov modulated random measure 176 120 30
Pricing participating products under a generalized jump-diffusion model 107 224 62
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Yang, Hailiang

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