Hailiang Yang
Prof., The University of Hong Kong, Hong Kong
Academic qualifcations: M.Math. Actuarial Science, University of Waterloo, (1995); Ph.D. Statistics and Applied Probability, University of Alberta, (1993); B.Sc. Mathematics, Inner Mongolia University (China, 1982).
Present academic position: Professor, 11/2006 - present; The University of Hong Kong.
Research interests: Interests are actuarial science and mathematical _nance. Research areas include insurance risk models, ruin theory, optimal dividends strategies, option pricing under regime switching models, optimal asset allocation, equity linked insurance products.
Selected publications:
1. H.U. Gerber, E. S. W. Shiu and H. Yang, \An Elementary Approach to Discrete Models of Dividend Strategies", Insurance; Mathematics and Economics, To appear.
2. R.J. Elliott, T.K. Siu and H. Yang, \Filtering a Markov Modulated Random Measure", IEEE Transactions on Automatic Control, Vol. 55, No. 2, 2010.
3. P. Chen, H. Yang and G. Yin, \Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model", Insurance; Mathematics and Economics, Vol. 43, No. 3, 456-465, 2008.
4. 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.
5. H.U. Gerber, X. S. Lin and H. Yang, \A Note on the Dividen
6. H. Yang, "Ruin Theory in a Financial Corporation Model with Credit Risk", Insurance; Mathematics and Economics, Vol. 33, No. 1, 135-145, 2003.
7. H. Yang and L. Zhang, "Spectrally Negative L_evy Processes with Applications in Risk Theory", Advances in Applied Probability, Vol. 33, No. 1, p. 281-291, March 2001.
8. H. Yang. "Non-exponential Bounds for Ruin Probability with Interest E_ect Included", Scandinavian Actuarial Journal, p. 66-79, 1999.
9. R.J. Elliott and H. Yang. "How to Count and Guess Well: Discrete Adaptive Filters", Applied Mathe-matics and Optimization: An International Journal. Vol. 30, No. 1, 1994. p. 51 - 78.
10. M. Chesney, R.J. Elliott, D. Madan and H. Yang. "Di_usion Coe_cient Estimation and Asset Pricing when Risk Premia and Sensitive are Time Varying", Mathematical Finance, Vol. 3, No. 2. April 1993. p.85 - 99.
Professional Related Work:
Associate editor of Insurance: Mathematics and Economics, 2003 - now.
Associate editor of Stochastics: An International Journal of Probability and Stochastic Processes, 2008 - now.
Associate editor of Acta Mathematicae Applicatae Sinica , 2007 - now.
Section Editor of the Encyclopedia of Quantitative Finance. Reviewer for Mathematical Reviews, 2005 - now. Reviewer for more than 30 journals.
Plenary speaker at the Tenth International Congress of Insurance Mathematics and Economics, Leuven, Belgium, 2006.
Plenary speaker at the Twelfth International Congress on Computational and Applied Mathematics (ICCAM 2006), Leuven, Belgium, 2006.
Co-organizer or committee member of more than 10 international conferences/workshops.
Awards:
Outstanding Teaching Award (1999), Faculty of Social Sciences, HKU.
Elected member of the International Statistical Institute.
