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Hailiang Yang · Study
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Author
Hailiang Yang
37 works
· latest 2019
· 2 institutions
cluster: provisional
ORCID 0000-0001-8749-5031
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37
Citations
2,783
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Most cited in this library
Optimal investment for insurer with jump-diffusion risk process
2005 · 295 citations
A class of non-zero-sum stochastic differential investment and reinsurance games
2014 · 156 citations
Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model
2008 · 138 citations
Option pricing with regime switching by trinomial tree method
2009 · 118 citations
Optimal Investment for an Insurer to Minimize Its Probability of Ruin
2004 · 117 citations
Works
37 shown
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
European Journal of Operational Research
·
2019
·
3 authors
30
citations
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Scandinavian Actuarial Journal
·
2017
·
3 authors
102
citations
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Insurance Mathematics and Economics
·
2017
·
3 authors
·
Open access
62
citations
VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
Astin Bulletin
·
2015
·
3 authors
·
Open access
41
citations
A class of non-zero-sum stochastic differential investment and reinsurance games
Automatica
·
2014
·
4 authors
·
Open access
156
citations
Valuing equity-linked death benefits in jump diffusion models
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
54
citations
Portfolio optimization in a regime-switching market with derivatives
European Journal of Operational Research
·
2013
·
2 authors
·
Open access
50
citations
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
Automatica
·
2013
·
3 authors
·
Open access
45
citations
The Omega model: from bankruptcy to occupation times in the red
European Actuarial Journal
·
2012
·
3 authors
·
Open access
51
citations
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Insurance Mathematics and Economics
·
2012
·
3 authors
·
Open access
57
citations
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
European Journal of Operational Research
·
2011
·
3 authors
100
citations
Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
Applied Mathematical Finance
·
2010
·
2 authors
81
citations
Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method
North American Actuarial Journal
·
2010
·
2 authors
40
citations
Option Pricing in a Jump-Diffusion Model with Regime Switching
Astin Bulletin
·
2009
·
2 authors
37
citations
Option pricing with regime switching by trinomial tree method
Journal of Computational and Applied Mathematics
·
2009
·
2 authors
·
Open access
118
citations
Pricing Annuity Guarantees Under a Regime-Switching Model
North American Actuarial Journal
·
2009
·
3 authors
72
citations
Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model
Insurance Mathematics and Economics
·
2008
·
3 authors
138
citations
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Insurance Mathematics and Economics
·
2008
·
3 authors
69
citations
Pricing Participating Products under a Generalized Jump‐Diffusion Model
International Journal of Stochastic Analysis
·
2008
·
3 authors
·
Open access
30
citations
Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
North American Actuarial Journal
·
2007
·
2 authors
61
citations
A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
Astin Bulletin
·
2006
·
3 authors
·
Open access
92
citations
Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
North American Actuarial Journal
·
2006
·
3 authors
72
citations
On the joint distribution of surplus before and after ruin under a Markovian regime switching model
Stochastic Processes and their Applications
·
2005
·
2 authors
·
Open access
48
citations
Ruin in the perturbed compound Poisson risk process under interest force
Advances in Applied Probability
·
2005
·
2 authors
·
Open access
51
citations
Optimal investment for insurer with jump-diffusion risk process
Insurance Mathematics and Economics
·
2005
·
1 author
295
citations
On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach
North American Actuarial Journal
·
2004
·
3 authors
90
citations
Optimal Investment for an Insurer to Minimize Its Probability of Ruin
North American Actuarial Journal
·
2004
·
2 authors
117
citations
Precise large deviations for sums of random variables with consistently varying tails
Journal of Applied Probability
·
2004
·
4 authors
112
citations
On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach
North American Actuarial Journal
·
2004
·
3 authors
86
citations
Some results on ruin probabilities in a two-dimensional risk model
Insurance Mathematics and Economics
·
2003
·
3 authors
97
citations
MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
Probability in the Engineering and Informational Sciences
·
2003
·
1 author
45
citations
Maxima of Sums of Heavy-Tailed Random Variables
Astin Bulletin
·
2002
·
2 authors
·
Open access
47
citations
Bayesian Risk Measures for Derivatives via Random Esscher Transform
North American Actuarial Journal
·
2001
·
3 authors
37
citations
Estimation in the Constant Elasticity of Variance Model
British Actuarial Journal
·
2001
·
3 authors
35
citations
Spectrally negative Lévy processes with applications in risk theory
Advances in Applied Probability
·
2001
·
2 authors
62
citations
Non-exponential Bounds for Ruin Probability with Interest Effect Included
Scandinavian Actuarial Journal
·
1999
·
1 author
66
citations
Minimax production planning in failure-prone manufacturing systems
Journal of Optimization Theory and Applications
·
1995
·
3 authors
37
citations