ProfessorYANG, Hailiang

Professor, Department of Statistics & Actuarial Science, Faculty of Science, HKU

BSc(Inner Mongolia); MMath(Waterloo); PhD(Alberta); ASA; HonFIA

WEBSITE

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[javascript protected email address]
3917 8322
2858 9041
Rm 232, Run Run Shaw Building

Teaching areas:

Actuarial Science and Probability Theory

Research interests:

Actuarial Science; Insurance Risk Models; Mathematical Finance

Current research:

Equity-linked insurance products, optimal insurance strategies, and insurance risk models.

Research team:

Ph.D. students: Mr. Simon Lee, Mr. Xiaolong Li, Mr. Yifan Shi and Ms. Yaodi Yong.

Fellowships:

Honorary Fellow of the Institute and Faculty of Actuaries

Publications and news:

H.U. Gerber, E. S. W. Shiu and H. Yang, ``A constraint-free approach to optimal reinsurance'', Scandinavian Actuarial Journal, accepted.
S. Chen, H. Yang and Y. Zeng. ``Stochastic differential games between two insurers with generalized mean-variance premium principle'', ASTIN Bulletin, 48(1), 413-434, 2018.
C. C. Siu, S.C.P. Yam, H. Yang and H. Zhao ``A Class of Non-zero-sum Investment and Reinsurance Games subject to Systematic Risks", Scandinavian Actuarial Journal, 2017(8), 670-707, 2017.
S.C.P. Yam, H. Yang, F. L. Yuen, ``Optimal asset allocation: risk and information uncertainty", European Journal of Operational Research, 251(2), 554-561, 2016.
J. Zhu and H. Yang ``Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy", Insurance: Mathematics and Economics, 70, 259-271, 2016.
H.U. Gerber, E. S. W. Shiu and H. Yang, ``Geometric stopping of a random walk and its applications to valuing equity-linked death benefits'' Insurance: Mathematics and Economics, 64, 313-325, 2015.
C.C. Siu, S.C.P. Yam and H. Yang, ``Valuing equity-linked death benefits in a regime-switching framework'', ASTIN Bulletin, 45(2), 355 - 395, 2015.
A. Bensoussan, C.C. Siu, S.C.P. Yam and H. Yang, ``A class of non-zero-sum stochastic differential investment and reinsurance games", Automatica, 50, 2025 - 2037, 2014.
J. Fu, J. Wei and H. Yang, ``Portfolio optimization in a regime-switching market with derivatives'', European Journal of Operational Research, 233, 184-192, 2014.
H.U. Gerber, E. S. W. Shiu and H. Yang, ``Valuing equity-linked death benefits in jump diffusion models'', Insurance: Mathematics and Economics, 53(3), 615-623, 2013.
Z. Jin, H. Yang and G. Yin, ``Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections'', Automatica, 40, 2317 - 2329, 2013.
H.U. Gerber, E. S. W. Shiu and H. Yang, ``Valuing equity-linked death benefits and other contingent options: A Discounted Density Approach'', Insurance: Mathematics and Economics, 51(1), 73-92, 2012.
J. Fu and H. Yang, ``Equilibrium approach of asset pricing under Levy process", European Journal of Operational Research, 223(3), 701-708, 2012.
H. Albrecher, H.U. Gerber and H. Yang, ``A direct approach to the discounted penalty function'', North American Actuarial Journal, 14(4), 420 - 434, Discussions, 434 - 447, 2010.
R.J. Elliott, T.K. Siu and H. Yang, ``Filtering a Markov modulated random measure'', IEEE Transactions on Automatic Control, 55(1), 74-88, 2010.
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, 43(3), 456-465, 2008.
H.U. Gerber and H. Yang, ``Absolute ruin probabilities in a jump diffusion risk model with investment'', North American Actuarial Journal, 11(3), 159-169, 2007.
H.U. Gerber, X. S. Lin and H. Yang, ``A note on the dividends-penalty identity and the optimal dividend barrier'', ASTIN Bulletin, 36(2), 489-503, 2006.
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, 116(2), 244-266, 2006.
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, 10(2), 94-108; Discussions, 109-119, 2006.
K. C. Cheung and H. Yang, ``Optimal stopping behavior of equity-indexed annuity with regime switching", Insurance: Mathematics and Economics, 37(3), 599-614, 2005.
H. Yang and L. Zhang, ``Optimal investment for insurer with jump-diffusion risk process", Insurance: Mathematics and Economics, 37(3), 615-634, 2005.
K. C. Cheung and H. Yang, ``Ordering optimal proportions in the asset allocation problem with dependent default risks", Insurance: Mathematics and Economics, 35(3), 595-609, 2004.
T. K. Siu, H. Tong and H. Yang, ``On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach", North American Actuarial Journal, 8(3), 17-31, 2004.
K. C. Cheung and H. Yang, ``Asset allocation with regime-switching: discrete-time case", ASTIN Bulletin, 34(1), 99-111, 2004.
H. Yang, ``Ruin theory in a financial corporation model with credit risk", Insurance: Mathematics and Economics, 33(1), 135-145, 2003.
P. P. Boyle, T. K. Siu and H. Yang, ``Risk and probability measures", Risk, 53 - 57, 2002.
H. Yang. ``Non-exponential bounds for ruin probability with interest effect included", Scandinavian Actuarial Journal, 1999, 66-79, 1999.
R.J. Elliott and H. Yang. ``How to count and guess well: discrete adaptive filters", Applied Mathematics and Optimization: An International Journal, 30(1), 51-78, 1994.
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, 3(2). 85-99, 1993.

Awards and honour:

2013/14 | Outstanding Researcher Award, The University of Hong Kong
1999 | Outstanding Teaching Award, Faculty of Social Sciences, HKU