Prof. Hailiang Yang
Prof. Hailiang Yang
The University of Hong Kong, China
Title: Stopped random Processes and Applications to Actuarial Science
We consider a random process stopped by a random variable and investigate the properties of the stopped process and its running maximum (or running minimum). A special case, exponential stopping of Brownian motion, is well known and many results are available. In some cases, such as Erlang stopping of Brownian motion, exponential stopping of jump diffusion and geometric stopping of random walk, we are able to obtain closed form expression for the joint distribution for the stopped process and its running maximum. The motivation of our study is from the problem of valuing Guaranteed Minimum Death Benefits in various deferred annuities. This talk is based on joint papers with Hans U. Gerber and Elias S.W. Shiu.
Hailiang Yang, Ph.D., ASA, HonFIA, received his PhD degree from University of Alberta and Master in Actuarial Science from University of Waterloo. He joined the University of Hong Kong in 1996 and is currently a Professor in the Department of Statistics and Actuarial Science. Hailiang Yang’s research is on actuarial science and mathematical finance. He has authored or co-authored over 180 peer-reviewed papers in actuarial science and related journals, and has worked with many leading figures in the field. He has supervised more than 20 research students, his graduate students are, in many cases, now well-known researchers in their own right. He is an editor of Insurance; Mathematics and Economics and associate editor of five other journals. He is an Associate of Society of Actuaries, and he was elected as an Honorary Fellow of the Institute and Faculty of Actuaries and a Corresponding Member of the Swiss Association of Actuaries in 2014. He receive an Outstanding Researcher Award from The University of Hong Kong in 2013-2014.