Explanipedia

Cyber Risk Management and Mitigation Under Controlled Stochastic SIS Model Open

Seungchae Na, Zhuo Jin, Ran Xu, Hailiang Yang · 2025

In this paper, we formulate cyber risk management and mitigation as a stochastic optimal control problem under a stochastic Susceptible-Infected-Susceptible (SIS) epidemic model. To capture the dynamics and interplay of management and miti…

Textual analysis of insurance claims with large language models Open

Dongchen Li, Zhuo Jin, Linyi Qian, Hailiang Yang · 2025

This study proposes a comprehensive and general framework for examining discrepancies in textual content using large language models (LLMs), broadening application scenarios in the insurtech and risk management fields, and conducting empir…

Textual Analysis of Insurance Claims with Large Language Models Open

Dongchen Li, Zhuo Jin, Linyi Qian, Hailiang Yang · 2025

Financial toxicity of family dementia caregiving in South Korea Open

Hailiang Yang, Hyun‐Ju Seo, Yong Ho Choi, Jeong Lan Kim, Seong Min Kim · 2024

Background One out of every ten individuals aged 65 or above in Korea experiences dementia, with a total dementia care cost of KRW 18.7198 trillion, or approximately KRW 21.24 million per person. It was discovered that the cost of treating…

Valuation of cliquet-style guarantees with death benefits Open

Yaodi Yong, Hailiang Yang · 2021

In this paper, we consider the problem of valuing an equity-linked insurance product with a cliquet-style payoff. The premium is invested in a reference asset whose dynamic is modeled by a geometric Brownian motion. The policy delivers a p…

Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models Open

Yaodi Yong, Hailiang Yang · 2021

This paper aims to value the cliquet-style equity-linked insurance product with death benefits. Whether the insured dies before the contract maturity or not, a benefit payment to the beneficiary is due. The premium is invested in a financi…

Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits Open

Søren Asmussen, Patrick J. Laub, Hailiang Yang · 2019

Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditional applications are in queueing, insurance risk, and reliability, but more recently, also in finance and, th…

Optimal dividend policy with liability constraint under a hidden Markov regime-switching model Open

Jiaqin Wei, Zhuo Jin, Hailiang Yang · 2018

This paper deals with the optimal liability and dividend strategies for an insurance company in Markov regime-switching models. The objective is to maximize the total expected discounted utility of dividend payment in the infinite time hor…

Approximation of optimal ergodic dividend strategies using controlled Markov chains Open

Zhuo Jin, Hailiang Yang, George Yin · 2018

This study develops a numerical method to find optimal ergodic (long‐run average) dividend strategies in a regime‐switching model. The surplus process is modelled by a regime‐switching process subject to liability constraints. The regime‐s…

ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS Open

Zhimin Zhang, Eric C.K. Cheung, Hailiang Yang · 2017

The analysis of capital injection strategy in the literature of insurance risk models (e.g. Pafumi, 1998; Dickson and Waters, 2004) typically assumes that whenever the surplus becomes negative, the amount of shortfall is injected so that t…

Table of Contents Open

Joseph A. Prinz, Zhong Xue, Chengzhong Yu, Weijia Sheng, Wuyang Zhu , et al. · 2017

Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns Open

Fenglong Guo, Dingcheng Wang, Hailiang Yang · 2017

Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes Open

Yongxia Zhao, Ping Chen, Hailiang Yang · 2017

A note on optimal insurance risk control with multiple reinsurers Open

Hui Meng, Tak Kuen Siu, Hailiang Yang · 2017

Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy Open

Jinxia Zhu, Hailiang Yang · 2016

Optimal insurance risk control with multiple reinsurers Open

Hui Meng, Tak Kuen Siu, Hailiang Yang · 2016

On a multi-dimensional risk model with regime switching Open

Guanqing Wang, Guojing Wang, Hailiang Yang · 2016

Optimal asset allocation: Risk and information uncertainty Open

Sheung Chi Phillip Yam, Hailiang Yang, Fei Lung Yuen · 2015

Optimal retention for a stop-loss reinsurance with incomplete information Open

Xiang Hu, Hailiang Yang, Lianzeng Zhang · 2015

Optimal debt ratio and dividend payment strategies with reinsurance Open

Zhuo Jin, Hailiang Yang, George Yin · 2015

Geometric stopping of a random walk and its applications to valuing equity-linked death benefits Open

Hans U. Gerber, Elias S. W. Shiu, Hailiang Yang · 2015

An Integrated Risk Management Method: VaR Approach Open

Hailiang Yang · 2015

This article presents a simple methodology for computing Value at Risk (VaR) for a portfolio of financial instruments that is sensitive to market risk, rating change, and default risk. An integrated model for market and credit risks is dev…

Optimal financing and dividend distribution in a general diffusion model with regime switching Open

Jinxia Zhu, Hailiang Yang · 2015

We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external en…

Fourier-cosine method for Gerber–Shiu functions Open

Ki Wai Chau, Sheung Chi Phillip Yam, Hailiang Yang · 2015

VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK Open

Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang · 2015

In this article, we consider the problem of computing the expected discounted value of a death benefit, e.g. in Gerber et al. (2012, 2013), in a regime-switching economy. Contrary to their proposed discounted density approach, we adopt the…

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