Macquarie University, Sydney Macquarie University ResearchOnline

Yang, Hailiang

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On valuing participating life insurance contracts with conditional heteroscedasticity 227 153 0
Risk and probability measures 166 123 0
Optimal insurance risk control with multiple reinsurers 263 252 0
Optimal dividends with debts and nonlinear insurance risk processes 278 215 0
Optimal portfolio in a continuous-time self-exciting threshold model 342 542 168
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model 139 143 0
On Bayesian value at risk : from linear to non-linear portfolios 182 114 0
Asset allocation under threshold autoregressive models 496 376 0
Martingale representation for contingent claims with regime switching 410 219 0
Pricing currency options under two-factor Markov-modulated stochastic volatility models 416 196 0
On the optimal dividend strategy in a regime-switching diffusion model 198 246 0
Insurance claims modulated by a hidden marked point process 248 258 87
Option pricing under threshold autoregressive models by threshold Esscher transform 367 378 188
On Bayesian mixture credibility 296 167 0
Portfolio optimization in a regime-switching market with derivatives 214 211 0
Option valuation by a self-exciting threshold binomial model 198 156 0
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching 119 108 0
On the Markov-modulated insurance risk model with tax 30 35 0
Optimal surrender strategies for equity-indexed annuity investors with partial information 284 308 0
Stochastic processes, finance and control : a festschrift in honor of Robert J. Elliott 194 81 0
On pricing derivatives under nonlinear time series models 188 168 1
Ruin theory in a hidden Markov-modulated risk model 412 270 0
On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach 174 90 0
A Partial differential equation approach to multivariate risk theory 104 130 0
Ruin theory under a generalized jump-diffusion model with regime switching 283 195 0
Option pricing when the regime-switching risk is priced 293 164 0
Optimal threshold dividend strategies under the compound Poisson model with regime switching 287 258 0
On a generalized form of risk measure 109 84 0
Filtering a Markov modulated random measure 205 174 57
Pricing participating products under a generalized jump-diffusion model 136 258 69
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Yang, Hailiang

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