摘要: 

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 special 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 expressions for the distribution and joint distributions for the mentioned random variables. The motivation of our study is from an actuarial science problem, that is valuation of the equity-linked insurance products. This talk is based on joint papers with Hans Gerber and Elias Shiu.

 

报告人简介:

Hailiang Yang received his undergraduate degree from Inner Mongolia university, 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. His research topics include ruin probability and related problems, optimal investment policies, option pricing. Recently, his research focuses on equity-linked insurance products. He has published over 100 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 associate editor of two actuarial science journals and three journals in applied mathematics and operation research. He has been invited as a plenary (keynote) speaker more than 10 times including at the Tenth International Congress of IME, which is the major actuarial science event worldwide, and he was the chairman or co-chair of the Scientific Committee for three IME congresses. 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.

Homepage:http://www.saasweb.hku.hk/staff/hlyang/