Hailiang Yang

Articles in Scholarly Journals [Incomplete List]

  1. Pricing Participating Products under a Generalized Jump-Diffusion Model
    Journal of Applied Mathematics and Stochastic Analysis, vol. 2008, Article ID 474623, 30 pages, 2008
  2. Optimal Dynamic Portfolio Selection with Earnings-at-Risk
    Journal of Optimization Theory and Applications, vol. 132, no. 3, pp. 459–473, 2007
  3. On Bayesian Value at Risk: From Linear to Non-Linear Portfolios
    Asia-Pacific Financial Markets, vol. 11, no. 2, pp. 161–184, 2006
  4. On Valuation of Derivative Securities: A Lie Group Analytical Approach
    Applications of Mathematics, vol. 51, no. 1, pp. 49–61, 2006
  5. On Bayesian Mixture Credibility
    Astin Bulletin, vol. 36, no. 2, pp. 573–588, 2006
  6. On the joint distribution of surplus before and after ruin under a Markovian regime switching model
    Stochastic Processes and their Applications, vol. 116, no. 2, pp. 244–266, 2006
  7. Bounds of ruin probability for regime-switching models using time scale separation
    Scandinavian Actuarial Journal, vol. 2006, no. 2, pp. 111–127, 2006
  8. A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
    Astin Bulletin, vol. 36, no. 2, pp. 489–503, 2006
  9. International Journal of Theoretical and Applied Finance, vol. 9, no. 6, p. 951, 2006
  10. UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
    Probability in the Engineering and Informational Sciences, vol. 20, no. 03, 2006
  11. Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
    Astin Bulletin, vol. 35, no. 2, pp. 351–361, 2005
  12. Ruin problems for a discrete time risk model with random interest rate
    Mathematical Methods of Operations Research, vol. 63, no. 2, pp. 287–299, 2005
  13. On Erlang(2) Risk Process Perturbed by Diffusion
    Communications in Statistics: Theory and Methods, vol. 34, no. 11, pp. 2197–2208, 2005
  14. Ruin in the perturbed compound Poisson risk process under interest force
    Advances in Applied Probability, vol. 37, no. 3, pp. 819–835, 2005
  15. Sensitivity analysis on ruin probabilities with heavy-tailed claims
    Statistical Methodology, vol. 2, no. 1, pp. 59–63, 2005
  16. Optimal stopping behavior of equity-linked investment products with regime switching
    Insurance: Mathematics and Economics, vol. 37, no. 3, pp. 599–614, 2005
  17. Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions
    Annals of Operations Research, vol. 133, no. 1-4, pp. 265–276, 2005
  18. Optimal investment for insurer with jump-diffusion risk process
    Insurance: Mathematics and Economics, vol. 37, no. 3, pp. 615–634, 2005
  19. Ordering optimal proportions in the asset allocation problem with dependent default risks
    Insurance: Mathematics and Economics, vol. 35, no. 3, pp. 595–609, 2004
  20. On the distribution of surplus immediately after ruin under interest force and subexponential claims
    Insurance: Mathematics and Economics, vol. 35, no. 3, pp. 703–714, 2004
  21. 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, pp. 121–125, 2004
  22. Explicit Expressions for the Ruin Probabilities of Erlang Risk Processes with Pareto Individual Claim Distributions
    Acta Mathematicae Applicatae Sinica, English Series, vol. 20, no. 3, pp. 495–506, 2004
  23. RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
    Probability in the Engineering and Informational Sciences, vol. 18, no. 1, pp. 55–70, 2004
  24. Precise large deviations for sums of random variables with consistently varying tails
    Journal of Applied Probability, vol. 41, no. 1, pp. 93–107, 2004
  25. Two-time-scale Jump-Diffusion Models with Markovian Switching Regimes
    Stochastics and Stochastics Reports, vol. 76, no. 2, pp. 77–99, 2004
  26. Asset Allocation with Regime-Switching: Discrete-Time Case
    Astin Bulletin, vol. 34, no. 1, pp. 99–111, 2004
  27. Precise large deviations for the prospective-loss process
    Journal of Applied Probability, vol. 40, no. 2, pp. 391–400, 2003
  28. Ruin theory in a financial corporation model with credit risk
    Insurance: Mathematics and Economics, vol. 33, no. 1, pp. 135–145, 2003
  29. Some results on ruin probabilities in a two-dimensional risk model
    Insurance: Mathematics and Economics, vol. 32, no. 3, pp. 345–358, 2003
  30. MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
    Probability in the Engineering and Informational Sciences, vol. 17, no. 2, pp. 183–198, 2003
  31. Approximations for moments of deficit at ruin with exponential and subexponential claims
    Statistics & Probability Letters, vol. 59, no. 4, pp. 367–378, 2002
  32. Maxima of Sums of Heavy-tailed Random Variables
    Astin Bulletin, vol. 32, no. 1, pp. 43–55, 2002
  33. On the distribution of surplus immediately after ruin under interest force
    Insurance: Mathematics and Economics, vol. 29, no. 2, pp. 247–255, 2001
  34. CONDITIONAL RUIN PROBABILITY WITH STOCHASTIC INTEREST RATE
    Stochastic Analysis and Applications, vol. 19, no. 2, pp. 207–214, 2001
  35. On the distribution of surplus immediately before ruin under interest force
    Statistics & Probability Letters, vol. 55, no. 3, pp. 329–338, 2001
  36. Spectrally negative Lévy processes with applications in risk theory
    Advances in Applied Probability, vol. 33, no. 1, pp. 281–291, 2001
  37. International Journal of Theoretical and Applied Finance, vol. 4, no. 5, p. 819, 2001
  38. Exponential stabilizability of stochastic systems with Markovian jumping parameters>>>altfn>This paper was not presented at any IFAC meeting. This paper was recommended for publication in revised form by Editor Peter Dorato.
    Automatica, vol. 35, no. 8, pp. 1437–1441, 1999
  39. Asset allocation with time variation in expected returns
    Insurance: Mathematics and Economics, vol. 21, no. 3, pp. 201–218, 1997
  40. On the robustness of jump linear quadratic control
    International Journal of Robust and Nonlinear Control, vol. 7, no. 10, pp. 899–910, 1997
  41. Journal of Optimization Theory and Applications, vol. 92, no. 1, pp. 63–75, 1997
  42. Optimal control of manufacturing flow and preventive maintenance
    IEEE Transactions on Automatic Control, vol. 41, no. 6, pp. 881–885, 1996
  43. Stability of discrete-time linear systems with Markovian jumping parameters
    Mathematics of Control, Signals, and Systems, vol. 8, no. 4, pp. 390–402, 1995
  44. Minimax production planning in failure-prone manufacturing systems
    Journal of Optimization Theory and Applications, vol. 87, no. 2, pp. 269–286, 1995
  45. How to count and guess well: Discrete adaptive filters
    Applied Mathematics & Optimization, vol. 30, no. 1, pp. 51–78, 1994
  46. Control of partially observed diffusions
    Journal of Optimization Theory and Applications, vol. 71, no. 3, pp. 485–501, 1991