杨海亮(华东师范大学)

杨海亮，博士，华东师范大学“紫江讲座教授”，博士生导师。1982年内蒙古大学数学系获得学士学位；1993年University of Alberta统计与应用概率系获得博士学位；1995年滑铁卢大学精算学系获得硕士学位。1995年9月--1996年8月，在滑铁卢大学统计与精算学系做博士后研究；1996年9月--2002年3月，任香港大学统计与精算学系讲师；2002年4月--2006年11月，任香港大学统计与精算学系副教授；2006年11月起任香港大学统计与精算学系教授。所担任的社会兼职如下：2003 - now，Associate editor of Insurance: Mathematics and Economics；2007 - 2008，Guest editor of a special issue of Insurance: Mathematics and Economics for Hans Gerber's 65th Birthday；2007 - now，Co-editor of IAENG International Journal of Applied Mathematics (IJAM)；2007 - now，Associate editor  of Acta Mathematicae Applicatae Sinica；2004 - now，Editorial Board member of International Journal on Statistics and Systems；2006 - now，Member of the advisory panel of Economics, Management, and Financial Markets；2005 - 2006，Guest editor for a special issue of The Journal of Industrial and Management Optimization (JIMO)。
【主要研究领域】

1. 精算学

2. 数理金融

3. 风险管理

4. 利息论
5. 随机系统稳定性
【主要论著】

[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.

【联系方式】

通信地址: 上海市东川路500号 华东师范大学 金融与统计学院

邮政编码: 200241

电话: 021-54345058(O)

Email: hlyang (at) hkusua.hku.hk