杨海亮个人主页

期刊杂志

[1] H.U. Gerber, X.S. Lin and H. YANG, “A Note on the Dividends-penalty Identity and the Optimal Dividend Barrier”,
      ASTIN Bulletin, Vol. 36, No. 2, 489-503, 2006.
[2] J.W. Lau, T.K. Siu and H. YANG, “On Bayesian Mixture Credibility”, ASTIN Bulletin, Vol. 36, No. 2, 573-588, 2006.
[3] K.W. Ng, H. YANG and L. Zhang, “Upper Bounds for Ruin Probability in a filtered compound Poisson model”,
      International Journal on Statistics and Systems, Vol. 1, No. 2, 201-212, August, 2006.
[4] T.K. Siu, H. Tong and H. YANG, “Option Pricing Under Threshold Autoregressive Models by Threshold Esscher
      Transform”, Journal of Industrial and Management Optimization, Vol. 2, No. 2, 177-197, 2006.
[5] Z.F. Li, H. YANG and X.T. Deng, “Optimal Dynamic Portfolio Selection with Earnings-at-Risk”, Journal of Optimization
      Theory and Applications, Vol. 132, No. 1, 2007.
[6] Z.F. Li, K.W. Ng, K.S. Tan and H. YANG, “Best CRP investment strategies for Dynamic Portfolio Selection”,
      International Journal of Theoretical and Applied Finance, Vol. 9, No. 6, 951-966, Sept. 2006.
[7] J. Cai, H.U. Gerber and H. YANG, “Optimal Dividends in an Ornstein-Uhlenbeck Type Model with Credit and Debit
      Interest”, North American Actuarial Journal, Vol. 10, No. 2, 94-108; Discussions, 109-119, 2006.
[8] T.K. Siu, H. Tong and H. YANG, “On Bayesian Value at Risk: From Linear to Nonlinear Portfolios”, Asia-Pacific Financial
      Markets, Vol. 11, No. 2, 161-184, 2004.
[9] G. Yin, Y.J. Liu and H. YANG, “Bounds of Ruin Probability for Regime-switching Models Using Time Scale Separation”,
      Scandinavian Actuarial Journal, Vol. 2006, No. 2, 111-127, March 2006.
[10] A.C.Y. Ng and H. YANG, “On the joint distribution of surplus prior and immediately after ruin under a Markovian
       regime switching model”, Stochastic Processes and Their Applications, Vol. 116, No. 2, 244-266, 2006.
[11] G.K.C. Chan and H. YANG, “Upper Bounds for Ruin Probability under Time Series Models”, Probability in the
       Engineering and Informational Sciences, Vol. 20, No. 3, 529-542, 2006.
[12] K.C. Cheung and H. YANG, “Optimal Stopping Behavior of Equity-Indexed Annuity with Regime Switching”,
       Insurance: Mathematics and Economics, Vol. 37, No. 3, 599-614, 2005.
[13] H. YANG and L. Zhang, “Optimal Investment for Insurer with Jump-Diffusion Risk Process”, Insurance: Mathematics
       and Economics, Vol. 37, No. 3, 615-634, 2005.
[14] A.C.Y. Ng and H. YANG, “Lundberg-type bounds for the joint distribution of surplus immediately before and after
       ruin under a Markov-modulated risk model”, ASTIN Bulletin, Vol. 35, No. 2, 351-361, 2005.
[15] J. Cai and H. YANG, “Ruin in the Perturbed Compound Poisson Risk Process under Interest Force”, Advances in
       Applied Probability, Vol. 37, No. 3, 819-835, September 2005.
[16] H. YANG and L. Zhang, “Ruin Problems For Discrete Time Risk Model with Random Interest Rate”, Mathematical
       Methods of Operations Research, Vol. 63, No. 2, 287-299, May 2006.
[17] K.C. Yuen, H. YANG and R. Wang, “Some Problems for the Enlang(2) Risk Process That is Perturbed by Diffusion”,
       Communications in Statistics: Theory and Methods, Vol. 34, No. 11, 2197-2208, 2005.
[18] G.K.C. Chan and H. YANG, “Sensitivity Analysis on Ruin Probabilities with Heavy-tailed Claims”, Statistical
       Methodology, Vol. 2, No.1, 59-63, 2005.
[19] G.K.C. Chan and H. YANG, “Ruin problems under feedback model with random interest”, Advances and Applications
       in Statistics, Vol. 4, No.3, 379-395, Dec. 2004.
[20] Z.F. Li, K.W. Ng, K.S. Tan and H. YANG, “A Closed-Form Solution to a Dynamic Portfolio Optimization Problem”,
       Dynamics of Continuous, Discrete and Impulsive Systems, Vol. 12, No. 4, 517-526, 2005.
[21] K.C. Cheung and H. YANG, “Ordering optimal proportions in the asset allocation problem with dependent default
       risks”, Insurance: Mathematics and Economics, Vol. 35, No 3, 595-609, Nov. 2004.
[22] P.S.C. Yam and H. YANG, “On Valuation of Derivative Securities: A Lie Group Analytical Approach”, Applications of
       Mathematics, Vol. 51, No. 1, 49-61, 2006.
[23] A.C.Y. Ng and H. YANG, “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at
       Ruin under the Sparre Andersen Model”, North American Actuarial Journal, Vol. 9, No. 2, 85 -100; Discussions,
       100-107, April 2005.
[24] R. Wang, H. YANG and H. Wang, “On the Distribution of Surplus Immediately after Ruin under Interest Force and
       Subexponentia Claims”, Insurance: Mathematics and Economics, Vol. 35, No. 3, 703-714, Nov. 2004.
[25] L. Wei and H. YANG, “Explicit expressions for the ruin probabilities of Erlang risk processes with Pareto individual
       claim distributions”, Acta Mathematicae Applicatae Sinica, Vol. 20, No. 3, 495-506, Sept. 2004.
[26] T.K. Siu, H. Tong and H. YANG, “On Pricing Derivatives under GARCH Models: A Dynamic Gerber-Shiu’s Approach”,
       North American Actuarial Journal, Vol. 8, No. 3, 17-31, July 2004.
[27] X.T. Deng, Z.F. Li, S.Y. Wang and H. YANG, “Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities
       Markets with Frictions”, Annals of Operations Research, Vol. 133, 265-276, 2005.
[28] G. Yin and H. YANG, “Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes”, Stochastics and
       Stochastic Reports, Vol. 76. No. 2, 77-99, April 2004.
[29] K.C. Cheung and H. YANG, “Asset Allocation with Regime-Switching: Discrete-Time Case”, ASTIN Bulletin, Vol. 34,
       No. 1, 99-111, 2004.
[30] L. Sun and H. YANG, “On the Joint Distributions of Surplus Immediately before Ruin and the Deficit at Ruin for
       Erlang(2) Risk Processes”, Insurance: Mathematics and Economics, Vol. 34, No. 1, p. 121-125, 2004.
[31] C.S. Liu and H. YANG, “Optimal investment for an insurer to minimize its probability of ruin”, North American
       Actuarial Journal, Vol. 8, No. 2, p. 11-31, 2004.
[32] R.J. Elliott, T.K. Siu and H. YANG, “On a Generalized Form of Risk Measures”, Australia Actuarial Journal, Vol. 9,
       No. 4, 587-623, December 2003.
[33] K.W. Ng, Q.H. Tang, J.A. Yan and H. YANG, “Precise Large Deviations for Sums of Random Variables with
       Consistently Varying Tails”, Journal of Applied Probability, Vol. 41, No. 1, 93-107, 2004.
[34] L. Sun and H. YANG, “Ruin Theory in a Discrete Time Risk Model with Interest Incomes”, British Actuarial Journal,
       Vol. 9, Part III, 637-652, 2003.
[35] H. YANG, “Ruin Theory in a Financial Corporation Model with Credit Risk”, Insurance: Mathematics and Economics,
       Vol. 33, No. 1, 135-145, 2003.
[36] K.W. Ng, H. YANG and L. Zhang, “Ruin Probability in a Compound Poisson Model with Random Discount Rate”,
       Probability in the Engineering and Informational Sciences, Vol. 18, No.1, 55-70, 2004.
[37] W.S. Chan, H. YANG and L. Zhang, “Some Results on Ruin Probability in a Two Dimensional Risk Model”,
       Insurance: Mathematics and Economics, Vol. 32, No. 3, 345-358, 2003.
[38] K.W. Ng, Q.H. Tang, J. A. Yan and H. YANG, “Precise Large Deviations for the Prospective-Loss Process”, Journal
       of Applied Probability, Vol. 40, No. 2, 391-400, June 2003.
[39] H. YANG and L. Zhang, “Martingale Method for Ruin Probability in an Autoregressive Model with Constant Interest
       Rate”, Probability in the Engineering and Informational Sciences, Vol. 17, 183-198, 2003.
[40] H. YANG, “Moments of Derivative Payoffs”, International Mathematical Journal, Vol. 2, No. 9, 897-914, 2002.
[41] Y. Cheng, Q. Tang and H. YANG, “Approximations for Moments of Deficit at Ruin with Exponential and Subexponential
       Claims”, Statistics and Probability Letters, Vol. 59, 367-378, 2002.
[42] K.W. Ng, Q.H. Tang and H. YANG, “Maxima of Sums of Heavy-tailed Random Variables”, ASTIN Bulletin, Vol. 32,
       No. 1, 43-55, 2002.
[43] P.P. Boyle, T.K. Siu and H. YANG, “Risk and Probability Measures”, Risk, 53-57, July, 2002.
[44] H. YANG and L. Zhang, “On the Distribution of Surplus Immediately before Ruin under Interest Force”, Statistics
       and Probability Letters, Vol. 55, No. 3, 329-338, 2001.
[45] H. YANG and L. Zhang, “On the Distribution of Surplus Immediately after Ruin under Interest Force”, Insurance:
       Mathematics and Economics, Vol. 29, No. 2, 247-255, 2001.
[46] T.K. Siu, H. Tong and H. YANG, “Bayesian Risk Measure for Derivatives by Random Esscher Transform”, North
       American Actuarial Journal, Vol. 5, No. 3, 78-91, 2001.
[47] T.K. Siu and H. YANG, “A P.D.E. Approach for Risk Measures of Derivatives”, Applied Mathematical Finance, Vol. 7,
       No. 3, 211-228, 2000.
[48] H. YANG, “An Integrated Risk Management Method: VaR Approach”, Multinational Finance Journal, Vol. 4, No. 3 & 4,
      201-219, 2000.
[49] H. YANG and L. Zhang, “The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under
       Interest Force”, North American Actuarial Journal, Vol. 5, No. 3, 92-103, 2001.
[50] H. YANG and L. Zhang, “Spectrally Negative L'evy Processes with Applications in Risk Theory”, Advances in Applied
       Probability, Vol. 33, No. 1, 281-291, March 2001.
[51] K.C. Yuen, H. YANG and K.L. Chu, “Estimation in the Constant Elasticity of Variance Model”, British Actuarial Journal,
       Vol. 7, II, 275-292, 2001.
[52] H. Yang and T.K. Siu, “Coherent Risk Measures for Derivatives under Black-Scholes Economy”, International Journal
       of Theoretical and Applied Finance, Vol. 4, No. 5, 819-835, 2001.
[53] K.C. Yuen, H. YANG and K.L. Chu, “Premium Calculation Using Ruin Probability”, Journal of Actuarial Practice, Vol. 9,
       213-227, 2001.
[54] H. YANG, “Conditional Ruin Probability with Stochastic Interest”, Stochastic Analysis and Applications, Vol. 19, No. 2,
       207-214, 2001.
[55] A. Tsoi, H. YANG and S.N. Yeung, “European Option Pricing when the Risk free Interest Rate Follows a Jump Process”,
       Stochastic Models, Vol. 16, Issue No. 1, 143-166, 2000.
[56] T.K. Siu and H. YANG, “Subjective Risk Measures: Bayesian Predictive Scenarios Analysis”, Insurance: Mathematics
       and Economics, Vol. 25/2, 157-169, Nov. 1999.
[57] E.K. Boukas and H. YANG, “On the Exponential Stability of Stochastic Markovian Jump Systems”, Automatica, Vol. 35,
       1437-1441, August 1999.
[58] E.K. Boukas, A. Swierniak and H. Yang, “Suboptimality of a Decentralized Feedback Control Law”, Transactions of
       the ASME, Journal of Dynamic Systems, Measurement, and Control, Vol. 121, 305-308, June 1999.
[59] H. YANG, “Non-exponential Bounds for Ruin Probability with Interest Effect Included”, Scandinavian Actuarial Journal,
       66-79, 1999.
[60] H. YANG, “Continuity and Differentiability of Solution of Two Parameter Stochastic Differential Equations”, Soochow
       Journal of Mathematics, Vol. 25, No. 1, 43-56, 1999.
[61] E.K. Boukas and H. YANG. “Robust LQ Regulators and Cost Estimation for Jump Linear Systems with Uncertain
       Parameters”, International Journal of Dynamic and Control, Vol. 9, No. 2, 125-135, 1999.
[62] P.P. Boyle and H. YANG, “Asset Allocation with Time Variation in Expected Returns”, Insurance: Mathematics and
       Economics, Vol. 21 p. 201-218, 1997.
[63] E.K. Boukas, A. Swierniak and H. YANG, “On the Robustness of Jumping Linear Quadratic Control”, International
       Journal of Robust and Nonlinear Control, Vol. 7, 899-910, 1997.
[64] E.K. Boukas and H. YANG, “Robust Stability of Nonlinear Piecewise Deterministic Systems under Matching Conditions”,
       Mathematical Problems in Engineering: Theory, Methods and Applications, 203-215, 1997.
[65] E.K. Boukas and H. YANG, “Robust Stabilization by Dynamic Combined State and Output Feedback Compensator
       for Nonlinear Systems with Jumps”, Journal of Optimization Theory and Applications, Vol. 92, No. 1, 63-75, 1997.
[66] E.K. Boukas, K. Simek, A. Swierniak and H. YANG, “Robust Stabilization and Guaranteed Cost Control of Large Scale
       Linear Systems with Jumps”, Kybernetika, Vol. 33, No. 1, 121-131, 1997.
[67] E.K. Boukas and H. YANG, “Stability of Stochastic Systems with Jumps”, Mathematical Problems in Engineering:
       Theory, Methods and Applications, Vol. 3, 173-185, 1996.
[68] E.K. Boukas and H. YANG, “Stability of Discrete Time Linear Systems with Markovian Jumping Parameters”, MCSS:
       Mathematics of Control, Signals and Systems, Vol. 8, 390-402, 1995.
[69] K. Benjelloun, E.K. Boukas and H. YANG, “Robust Stabilizability of Uncertain Linear Time-Delay Systems with
       Markovian Jumping Parameters”, Transactions of the ASME, Journal of Dynamic Systems, Measurement, and Control,
       Vol. 118, 776-783, 1996.
[70] E.K. Boukas and H. YANG, “Optimal Control of Manufacturing Flow and Preventive Maintenance”, IEEE Transactions
       on Automatic Control, Vol. 41, No. 6, 881-885, 1996.
[71] E.K. Boukas, A. Swierniak and H. YANG, “Decentralized Feedback Controllers for Uncertain Interconnected Systems
       with Markovian Jumping Parameters”, Applied Mathematics and Computer Science, Vol. 5, No. 3, 469-479, 1995.
[72] E.K. Boukas, H. YANG and Q. Zhang, “Minimax Production Planning in Failure Prone Manufacturing Systems”,
       Journal of Optimization Theory and Applications, Vol. 87, No. 2, 269-286, 1995.
[73] J. Karunamuni and H. YANG, “On Convergence Rates of Monotone Empirical Bayes Tests for the Continuous One
       Parameter Exponential Family”, Statistics and Decisions, Vol. 13, 181-192, 1995.
[74] R.J. Elliott and H. YANG, “How to Count and Guess Well: Discrete Adaptive Filters”, Applied Mathematics and
       Optimization: An International Journal, Vol. 30, No. 1, 51-78, 1994.
[75] M. Chesney, R.J. Elliott, D. Madan and H. YANG, “Diffusion Coefficient Estimation and Asset Pricing when Risk Premia
       and Sensitive are Time Varying”, Mathematical Finance, Vol. 3, No. 2, 85-99, April 1993.
[76] R.J. Elliott and H. Yang, “Control of Partially Observed Diffusions”, Journal of Optimization Theory and Applications,
       Vol. 71. No. 3, 485-501, December 1991.

专著

T.L. Lai, H. YANG and S.P. Yung, Probability, Finance and Insurance, World Scientific Publisher, Singapore, 2004.