基本信息
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职业迁徙
个人简介
(II) Honours and Awards
Visiting Associate Professor at the Columbia University in the City of New York
International Partnerships Development Programme 2013-14, OAL, The Chinese University of Hong Kong, Hong Kong
Research fellowship (2010 and 2013), The Hausdorff Institute of Mathematics, University of Bonn, Germany
Junior research fellowship (2007), The Erwin Schrodinger International Institute for Mathematical Physics, University of Vienna, Austria
#Scholarships (2002 - 2003, 2004 - 2007), Croucher Foundation, Hong Kong
^E. M. Burnett Prize in Mathematics (2003), University of Cambridge, United Kingdom
*Dean's Honors Listings (1997 to 1999), The University of Hong Kong, Hong Kong
(III) Research Interest
Actuarial Science
Applied Mathematics
Mathematical Finance
Probability Theory and Stochastic Analysis
Statistical Theory and Applications
(IV) Research Grants
Competitive Grants in the capacity as Principal Investigator
(With T. Lyons) HKGRF 502408 (2009 to 2011). Application of the Theory of Rough Paths to Some Issues in Geometry.
(With Z. M. Ma) HKGRF 502909 (2009 to 2012). What is the Right Time to Sell a Stock?
(With A. Bensoussan) HKGRF 404012 (2013 to 2016). Advanced Topics in Multivariate Risk Management in Finance and Insurance.
HKGRF 14301015 (2015 to 2018). Advance in Mean Field Theory.
Competitive Grants in the capacity as Co-Investigator
(With A. Bensoussan (P.I.) and Cedric K. F. Yiu) HKGRF 500111 (2012 to 2015). Advanced Problems in Inventory Theory.
(With A. Bensoussan (P.I.)) HKGRF 500113 (2013 to 2016). Mean Field Games and Mean Field Type Control Theory.
(With A. Bensoussan (P.I.)) HKGRF 11303316 (2017 to 2019). Mean Field Control with Partial Information.
Non-Competitive Grants in the capacity as Principal Investigator
(With T. Lyons) HKPU (A-PC0D) (2008 to 2010). New Directions in Computational Finance and Geometry via Rough Path Theory.
CUHK Direct Grant 2060422 (2011 to 2012). Optimal Insurance Design under Neo-classical Financial Theories.
(With Gary Chan) CUHK Direct Grant 2060444 (2012 to 2013). Asymptotic Statistical Analysis in Biostatistics and Finance.
CUHK Direct Grant 4053141 (2015 to 2016). Disappointment "Averse" Risk Management in Insurance.
Non-Competitive Grants in the capacity as Co-Investigator
(With L. K. Li) HKPU (1-ZVoH) (2008 to 2009). Periodic Signals for Nonlinear Systems.
(With Eddie C. M. Hui) HKPU Collaborative Research Grant (G-YH96) (2010 to 2012).
(V) Books
Bensoussan, A., Frehse, J., and Yam, P. (2013). Mean Field Games and Mean Field Type Control Theory. New York: Springer.
(VI) Selected Publications in Refereed Journals
Actuarial Science
Insurance and Reinsurance
Sung, K. C. J., Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2011). Behavioral Optimal Insurance. Insurance: Mathematics and Economics, 49(3), 418-428.
Cheung, K. C., Liu, F., and Yam, S. C. P. (2012). Average Value-at-Risk Minimizing Reinsurance under Wang's Premium Principle with Constraints. Astin Bulletin, 42(02), 575-600.
Chen, P., and Yam, S. C. P. (2013). Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers. Insurance: Mathematics and Economics, 53(3), 871-883.
Cheung, K. C., Sung, K. C. J., and Yam, S. C. P. (2014). Risk‐Minimizing Reinsurance Protection For Multivariate Risks. Journal of Risk and Insurance, 81(1), 219-236.
Cheung, K. C., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). Optimal Reinsurance under General Law-invariant Risk Measures. Scandinavian Actuarial Journal, 2014(1), 72-91.
研究兴趣
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ANNALS OF MATHEMATICAL SCIENCES AND APPLICATIONSno. 3 (2023): 565-628
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Annals of mathematical sciences and applicationsno. 3 (2023): 565-628
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arXiv (Cornell University) (2023)
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RISKSno. 8 (2023): 143-143
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