Dept of Statistics & Actuarial Science

Research and Scholarship 2005

DEPARTMENT OF STATISTICS & ACTUARIAL SCIENCE



Researcher : Aitchison J

List of Research Outputs

Aitchison J., Kay J.W. and Lauder I.J., Statistical Concepts and Applications in Clinical Medicine . London, U.K., Chapman & Hall/CRC, 2004, 320 pages.


Researcher : Bacon-Shone JH

Project Title:Personnel surveys
Investigator(s):Bacon-Shone JH
Department:Social Sciences Research Centre
Source(s) of Funding:Other Funding Scheme
Start Date:03/1991
Abstract:
To study both general and specific problems relating to personnel management in public and private organisations with a view of increasing management effectiveness and efficiency. Research designs will be adopted on individual project basis.


Project Title:An exploratory assessment of willingness to pay for health care in Hong Kong
Investigator(s):Bacon-Shone JH, McGhee SM
Department:Social Sciences Research Centre
Source(s) of Funding:Health Services Research Fund - Full Grants
Start Date:11/1996
Abstract:
To explore factors affecting WTP in Hong Kong health care using qualitative research; to investigate the advantages and disadvantages of using contingent valuation (CV) and conjoint analysis (CA) as tools for assessing WTP for Hong Kong health care; to use CA and CV to obtain initial estimates of WTP in Hong Kong health care.


Project Title:Compositional data analysis with zeros and endmembers - an application to the Hong Kong household expenditure survey
Investigator(s):Bacon-Shone JH
Department:Social Sciences Research Centre
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:10/2003
Abstract:
Refer to hard copy


Project Title:Analysing Asian Englishes: the historical development of English in Asian newspapers
Investigator(s):Bacon-Shone JH
Department:Social Sciences Research Centre
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Abstract:
Refer to hard copy


Project Title:The UN business crime victim survey: a comparative study of the prevalence of crime against business in Chinese cities
Investigator(s):Bacon-Shone JH
Department:Social Sciences Research Centre
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


Project Title:The UN business crime victim survey: a comparative study of the prevalence of crime against business in Chinese cities
Investigator(s):Bacon-Shone JH
Department:Social Sciences Research Centre
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Abstract:
To estimate the prevalence and severity of crimes against business in Chinese cities of varying economic development, legal infrastructure and risks of conventional crime; to estimate the willingness of business to report crime and the reasons for reporting or not to police; to provide capacity to undertake policy relevant longitudinal research on changes in business crime by feasible and routine periodic surveillance of crimes against business in HK and selected Chinese cities; to estimate the risk of organized criminal activities against business and assess the effectiveness of countermeasures and the potential of innovations in crime prevention.





Researcher : Chan JSK

Project Title:Likelihood and Bayesian analysis of stochastic volatility, jump diffusion and other financial models using scale mixtures distributions
Investigator(s):Chan JSK, Choy BST
Department:Statistics and Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:05/2002
Abstract:
To handle some important financial models with the class of scale mixture distributions using both likelihood and Bayesian approaches.


Project Title:Generalized geometric process with applications
Investigator(s):Chan JSK, Choy BST, Lam Y
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To generalize the GP models to data within the exponential family and incorporate the GGP models within the GLMMs framework by including random effects in their mean functions; to derive tests to check whether the data comes from a GGP; to develop new estimation methodologies for the extended models in (1) using parametric, nonparametric or semi-parametric methods. Both likelihood and Bayesian approaches will also be studied and compared; to perform sensitivity analysis of the effect of various model and distribution assumptions on parametric inference; to implement the extended GP models in demographic stuides and clinical trials using data obtained in Hong Kong and communities in China.


Project Title:Modelling of SARS data using threshold geometric process models
Investigator(s):Chan JSK, Lam Y
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Abstract:
To apply the threshold Geometric Process (GP) model to data with multiple trends such as the SARS data and use the moving window technique to estimate turning points.


Project Title:New Methodologies for Loss Reserves and Other Aspects in Insurance Industry
Investigator(s):Chan JSK
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Abstract:
Refer to hard copy


List of Research Outputs

Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modeling SARS data using threshold geometric process, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 411: 1-22.
Chan J.S.K., Kuk A.Y.C. and Yam H.K., Monte Carlo approximation through Gibbs output in generalized linear mixed models , Journal of Multivariate Analysis . The Netherlands, Elsevier Science B. V., 2005, 94(2): 300-312.
Chan J.S.K., Lam Y. and Leung D.Y.P., Statistical inference for geometric processes with gamma distributions, Computational Statistics & Data Analysis . The Netherlands, Elsevier, 2004, 47(3): 565-581.
Chan J.S.K., Choy B.S.T. and Makov U., The growing triangle technique for choosing a model for loss reserves, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 412: 1-15.
Chung R.T.Y., Chan J.S.K., Pang K.K.L. and Lam M.C., Opinion/Experience Survey on Broadband Internet Users (Chinese report). 用戶對寬頻上網服務供應商的意見調查 (中文報告), Hong Kong, Public Opinion Programme, the University of Hong Kong, 2004.


Researcher : Chan WS

Project Title:Non-linear time series models for actuarial use
Investigator(s):Chan WS, Wong CS
Department:Statistics and Actuarial Science
Source(s) of Funding:Actuarial Education and Research Fund
Start Date:05/2001
Completion Date:12/2004
Abstract:
To introduce actuaries to some advanced nonlinear time-series techniques that might be useful in building stochastic models for pricing and reserving; to illustrate these techniques step-by-step so that actuaries or actuarial students not expert in this area can still perform the procedures.


Project Title:Retirement income in Hong Kong: how much is enough?
Investigator(s):Chan WS
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2001
Completion Date:07/2005
Abstract:
To study how much retirement income is needed to sustain an individual's (or a famil's) pre-retirement standard of living in Hong Kong, considering changes between pre- and post-retirement taxes, savings and expenditures, and other categories; to build a model for determination of appropriate income replacement ratios for Hong Kong residents.


Project Title:Temporal aggregation and calibration of long-term equity return models
Investigator(s):Chan WS
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Completion Date:06/2005
Abstract:
Refer to hard copy


List of Research Outputs

Chan F.W.H. and Chan W.S., How well do judges understand money? The reform of personal injury compensation in Hong Kong, Tort Law Review. U.K., Sweet & Maxwell (U.K.), 2004, (2004) Vol.12: 176-181.
Chan F.W.H. and Chan W.S., The Actuarial Perspectives of Personal Injury Compensation in Hong Kong , Seminar organised by The Law Society of Hong Kong, in association with the Actuarial Society of Hong Kong (20 October 2004, Hong Kong). Hong Kong, 2004.
Chan W.S. and Chan F.W.H., The Paradigm Shift in Personal Injury Litigation in Hong Kong - Actuarial Perspectives, A refereed paper published in the proceedings of "The Global Business and Finance Research Conference (14-17 July 2004, London). U.S.A., The Journal of American Academy of Business, 2004, 11.
Sarony N., Chan W.S. and Chan F.W.H., PIOS - Personal Injuries Online Service. Hong Kong, Sweet & Maxwell Asia, 2005.
Sarony N., Chan W.S. and Chan F.W.H., Personal Injury Tables Hong Kong 2005, Tables for the Calculation of Damages. Hong Kong, Sweet & Maxwell, Asia, 2005, 255pp.


Researcher : Chan YF

List of Research Outputs

Chan Y.F., Lee S.M.S. and Ng K.W., Minimum variance unbiased estimation based on bootstrap iterations, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 391: 1-24.


Researcher : Chau PH

List of Research Outputs

Yip P.S.F., Lam K.F., Lau H.Y.E., Chau P.H., Tsang K.W. and Chao A., A comparison study of realtime fatality rates: severe acute respiratory syndrome in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(1): 233-243.


Researcher : Cheung KC

List of Research Outputs

Cheung K.C. and Yang H., Claim size processes, Encyclopedia of Actuarial Science. U.S.A., John Wiley & Sons, 2004, 1: 274-277.
Cheung K.C. and Yang H., Ordering optimal proportions in the asset allocationproblem with dependent default risks, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 393: 1-22.
Cheung K.C. and Yang H., Ordering optimal proportions in the asset allocation problem with dependent default risks , Insurance: Mathematics and Economics. U.S.A., Elsevier B.V., 2004, 35(3): 595-609.


Researcher : Cheung KY

List of Research Outputs

Cheung K.Y. and Lee S.M.S., Variance estimation for sample quantiles using the m out of n bootstrap, Annals of Institute of Statistical Mathematics. 2005, 57: 279-290.


Researcher : Choi MK

List of Research Outputs

Yip P.S.F., Law C.K., Choi M.K. and Cheung K.S.L., A critical analysis of population dynamics and theirimplications on the future compositions of householdsin Hong Kong SAR, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 405: 1-52.


Researcher : Fong PW

List of Research Outputs

Fong P.W., Li W.K., Yau C.W. and Wong C.S., On a mixture vector autoregressive model, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 396: 1-40.


Researcher : Fung TWK

Project Title:Robust inference with semiparametric generalized linear models for longitudinal data
Investigator(s):Fung TWK, He X.M.
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:07/2003
Abstract:
To build a theoretical foundation and provide a tool-kit for using robust methods in the analysis of longitudinal data by semiparametric generalized linear models; (1) construct unbiased estimating equations to ensure Fisher consistency and robustness; (2) derive the large sample properties of the GEE estimators; (3) address the possible multiple root problem of the GEE; (4) develop appropriate criteria for the selection of knots in spline approximations; (5) investigate the robustness properties of the estimators; (6) study the impact on efficiency and robustness for different choices of the working correlation matrix; (7) construct and compare various significance tests for variable selection; (8) develop influence diagnostics for the model.


Project Title:Robust inference with semiparametric generalized linear models for longitudinal data
Investigator(s):Fung TWK, He X.M.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:07/2003
Abstract:
To build a theoretical foundation and provide a tool-kit for using robust methods in the analysis of longitudinal data by semiparametric generalized linear models; (1) construct unbiased estimating equations to ensure Fisher consistency and robustness; (2) derive the large sample properties of the GEE estimators; (3) address the possible multiple root problem of the GEE; (4) develop appropriate criteria for the selection of knots in spline approximations; (5) investigate the robustness properties of the estimators; (6) study the impact on efficiency and robustness for different choices of the working correlation matrix; (7) construct and compare various significance tests for variable selection; (8) develop influence diagnostics for the model.


Project Title:Influence curves for the factor loadings
Investigator(s):Fung TWK, Kwan CW
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Completion Date:10/2004
Abstract:
To study: (a) The derivation of influence measures before and after scale and rotation transformation, also see if the measures are invariant to such transformation, (b) The interpretation of influence measures when there is a possible swap of factor loadings after the case deletion, (c) The role of sample and empirical influence curves in our study.


Project Title:Interpreting forensic DNA mixtures and kinship determinations
Investigator(s):Fung TWK
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:07/2004
Abstract:
(1) To solve statistically the forensic DNA mixture problem under the Hardy-Weinberg (HW) law, where three persons involved in the case are relatives; (2) to tackle the allelic peak height/area problem in a DNA mixture methodologically and computationally; (3) to investigate the problems listed in (1) and (2) in structured populations and when contributors are of multiple ethnic origins; user-friendly computer programs will be developed; (4) to develop the methodology, together with user-friendly programs, for paternity and kinship determination in unstructured and structured populations; (5) to derive the power of excluding a close male relative of the true father from paternity.


Project Title:Individuality of handwritten numerals and characters in local population
Investigator(s):Fung TWK
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2004
Abstract:
To study if hierarchical cluster analysis is useful to group the quantified handwritten features of numerals and characters which are categorical in nature; to see if the quantified features are statistically independent of one another; the evaluation of the probability of occurrence of certain features would be simplified if the independence condition is satisfied; to investigate if the hypothesis of individuality of handwritten numerals and characters in local population is valid.


Project Title:Interpreting forensic DNA mixtures and kinship determinations
Investigator(s):Fung TWK
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:


List of Research Outputs

Fung T.W.K. and Hu Y., Deoxyribonucleic acid (DNA): statistical analysis, In: (Edited by Jason Payne-James, Roger Byard, Tracey Corey, Carol Henderson), Encyclopedia of Forensic and Legal Medicine . Oxford, Elsevier Science B.V., 2005, 184-189.
Fung T.W.K., Yang C.T. and Guo W., EasyDNA: User-friendly paternity and kinship testing programs, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 628-630.
Fung T.W.K., Wong D.M. and Hu Y., Full siblings impersonating parent/child prove most difficult to discredit with DNA profiling alone, Transfusion. Oxford, Blackwell, 2004, 44: 1513-1515.
Fung T.W.K., Yang C.T., Li C.K. and Poon N.L., Statistical analysis of handwritten Arabic numerals in a Chinese population, COMPSTAT'2004 Symposium. Heidelberg, Physica-Verlag, 2004, 149-158.
Hu Y., Fung T.W.K. and Lu J., Evaluating mixed DNA profiles with the presence of relatives: Theory, method, and computer software, Forensic Science Communications. Washington, FBI, 2005, 7: 1-9.
Hu Y., Fung T.W.K. and Yang C.T., On the power of excluding relatives of the true father from paternity, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 514-516.
Lee A.H., Xiang L. and Fung T.W.K., Sensitivity of score tests for zero-inflation in count data, Statistics in Medicine. New York, John Wiley & Sons, 2004, 23: 2757-2769.
Li C.K., Poon N.L., Fung T.W.K. and Yang C.T., Individuality of handwritten Arabic numerals in local population, Journal of Forensic Sciences. U.S.A., Lutherville-Timonium, 2005, 50: 185-191.
Tam T.W.M., Yang C.T., Fung T.W.K. and Mok V.K.K., Widmark factors for local Chinese in Hong Kong: A statistical determination on the effects of various physiological factors, Forensic Science International. The Netherlands, Elsevier Science B.V., 2005, 151: 23-29.
Yan X., Deng M., Fung T.W.K. and Qian M., Detecting differentially expressed genes by relative entropy, Journal of Theoretical Biology. The Netherlands, Elsevier Science B.V., 2005, 234: 395-402.
Zhu Z. and Fung T.W.K., Variance component testing in semiparametric mixed models, Journal of Multivariate Analysis. The Netherlands, Elsevier Science B.V., 2004, 91: 107-118.


Researcher : Guo W

List of Research Outputs

Fung T.W.K., Yang C.T. and Guo W., EasyDNA: User-friendly paternity and kinship testing programs, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 628-630.


Researcher : Ho HS

List of Research Outputs

Ho H.S. and Lee S.M.S., Calibrated interpolated confidence intervals for population quantiles, Biometrika. 2005, 92: 234-241.
Ho H.S. and Lee S.M.S., Iterated bootstrap-t confidence intervals for density functions, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 406: 1-25.
Ho H.S. and Lee S.M.S., Iterated smoothed bootstrap confidence intervals for population quantiles, Annals of Statistics. 2005, 33: 437-462.
Ho H.S. and Lee S.M.S., Nonparametric conditional inference for regression coefficients, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 395: 1-27.


Researcher : Ho HS

List of Research Outputs

Ho H.S. and Lee S.M.S., Calibrated interpolated confidence intervals for population quantiles, Biometrika. 2005, 92: 234-241.
Ho H.S. and Lee S.M.S., Iterated bootstrap-t confidence intervals for density functions, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 406: 1-25.
Ho H.S. and Lee S.M.S., Iterated smoothed bootstrap confidence intervals for population quantiles, Annals of Statistics. 2005, 33: 437-462.
Ho H.S. and Lee S.M.S., Nonparametric conditional inference for regression coefficients, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 395: 1-27.


Researcher : Ho PK

List of Research Outputs

Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modeling SARS data using threshold geometric process, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 411: 1-22.


Researcher : Hu Y

List of Research Outputs

Fung T.W.K. and Hu Y., Deoxyribonucleic acid (DNA): statistical analysis, In: (Edited by Jason Payne-James, Roger Byard, Tracey Corey, Carol Henderson), Encyclopedia of Forensic and Legal Medicine . Oxford, Elsevier Science B.V., 2005, 184-189.
Fung T.W.K., Wong D.M. and Hu Y., Full siblings impersonating parent/child prove most difficult to discredit with DNA profiling alone, Transfusion. Oxford, Blackwell, 2004, 44: 1513-1515.
Hu Y., Fung T.W.K. and Lu J., Evaluating mixed DNA profiles with the presence of relatives: Theory, method, and computer software, Forensic Science Communications. Washington, FBI, 2005, 7: 1-9.
Hu Y., Fung T.W.K. and Yang C.T., On the power of excluding relatives of the true father from paternity, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 514-516.


Researcher : Jin S

List of Research Outputs

Jin S., Li W.K. and Yu P.L.H., Modeling bivariate time series with Gaussian copula, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 397: 1-40.
Jin S. and Li W.K., Modeling contemporaneously correlated panel data withpartial linear regression, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 404: 1-28.
Jin S. and Li W.K., Modeling panel time series with mixture autoregression model, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 408: 1-41.


Researcher : Jin S

List of Research Outputs

Jin S., Li W.K. and Yu P.L.H., Modeling bivariate time series with Gaussian copula, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 397: 1-40.
Jin S. and Li W.K., Modeling contemporaneously correlated panel data withpartial linear regression, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 404: 1-28.
Jin S. and Li W.K., Modeling panel time series with mixture autoregression model, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 408: 1-41.


Researcher : Kwok SSM

List of Research Outputs

Kwok S.S.M., Li W.K. and Yu P.L.H., The autoregressive conditional marked duration model:statistical inference to market microstructure, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 407: 1-47.


Researcher : Lai PY

List of Research Outputs

Lai P.Y. and Lee S.M.S., An overview of asymptotic properties of Lp regression under general classes of error distributions, Journal of the American Statistical Association. 2005, 100: 446-458.


Researcher : Lam KF

Project Title:Semiparametric regression analysis with current status data
Investigator(s):Lam KF
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:12/2003
Abstract:
For a typical setup in survival analysis that all subjects in the population are susceptible to the event of interest, the estimation of the semiparametric regression model with current status data will be studied. The asymptotic properties of the estimator will be explored. Analysis of current status data that hypothesize subpopulation of individuals highly susceptible to some types of adverse events while others are assumed to be at much less risk, say recurrence of breast cancer tumors. A mixture model that combines a logistic regression model for the probability of cure and the semiparametric regression model proposed in the first part of the project is suggested. The properties of the estimator will be explored theoretically and/or empirically.


Project Title:Semiparametric regression analysis with current status data
Investigator(s):Lam KF
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2003
Abstract:
For a typical setup in survival analysis that all subjects in the population are susceptible to the event of interest, the estimation of the semiparametric regression model with current status data will be studied. The asymptotic properties of the estimator will be explored. Analysis of current status data that hypothesize subpopulation of individuals highly susceptible to some types of adverse events while others are assumed to be at much less risk, say recurrence of breast cancer tumors. A mixture model that combines a logistic regression model for the probability of cure and the semiparametric regression model proposed in the first part of the project is suggested. The properties of the estimator will be explored theoretically and/or empirically.


List of Research Outputs

Ho P.L., Lam K.F., Chow K.H., Lau Y.L., Wong S.S.Y., Cheng S.L.E. and Chiu S.S.S., Serotype distribution and antimicrobial resistance patterns of nasopharyngeal and invasive Streptococcus pneumoniae isolates in Hong Kong children., Vaccine. 2004, 22(25-26): 3334-9.
Lam K.F., Fong D.Y.T. and Tang O.Y., Estimating the proportion of cured patients in a censored sample, Statistics in Medicine. 2005, 24: 1865-1879.
Lam K.F., Hong Kong Medical Journal. Hong Kong Academy of Medicine & HK Medical Association, 2005.
Lam K.F. and Lee Y.W., Merits of modelling multivariate survival data using random effects proportional odds model, Biometrical Journal. Weinheim, Germany, Wiley-VCH Verlag GmbH & Co, 2004, 46: 331-342.
Lam T.P., Khoo U.S., Chan Y.S., Cheng Y.H. and Lam K.F., The first batch of graduates of a new medical curriculum in Asia: how their teachers see them, Medical Education. 2004, 38(9): 980-986.
Wong W.M., Lai K.C., Lam K.F., Hui W.M., Huang J.Q., Xia H.H.X., Hu H.C., Lam C.L.K., Chan C.K., Lam S.K. and Wong B.C.Y., Onset and disappearance of Reflux Symptoms in a Chinese population: a one-year follow-up study, Alimentary Pharmacology and Therapeutics. 2004, 20: 803-812.
Xue H., Lam K.F., Cowling B.J. and de Wolf F., Semiparametric regression analysis of interval censoredHIV/AIDS data, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 394: 1-30.
Yap F.H.Y., Ho P.L., Lam K.F., Chan K.S., Cheng Y.H. and Peiris J.S.M., Excess hospital admissions for pneumonia, chronic obstructive pulmonary diseases, and heart failure during influenza seasons in Hong Kong, Journal of Medical Virology. Wiley-Liss, Inc., 2004, 73: 617-623.
Yip P.S.F., Lau H.Y.E., Lam K.F. and Huggins R.M., A chain multinomial model for estimating the real-time fatality rate of a disease, with an application to severe acute respiratory syndrome, American Journal of Epidemiology. New York, NY : H.W. Wilson, 2005, 161(7): 700-706.
Yip P.S.F., Lam K.F., Lau H.Y.E., Chau P.H., Tsang K.W. and Chao A., A comparison study of realtime fatality rates: severe acute respiratory syndrome in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(1): 233-243.
Yu P.L.H., Lam K.F. and Lo S.M., Factor analysis for ranked data with application to a job selection attitude survey, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(3): 583-597.


Researcher : Lam Y

List of Research Outputs

Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modeling SARS data using threshold geometric process, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 411: 1-22.
Chan J.S.K., Lam Y. and Leung D.Y.P., Statistical inference for geometric processes with gamma distributions, Computational Statistics & Data Analysis . The Netherlands, Elsevier, 2004, 47(3): 565-581.
Lam Y., A monotone process maintenance model for a multistate system, Journal of Applied Probability. Sheffield, England, Applied Probability Trust, 2005, 42(1): 1-14.
Lam Y., A monotone process maintenance model for a multistate system, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 401: 1-26.
Lam Y., A piecewise geometric process maintenance model for a system with bathtub shape failure rate, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 399: 1-16.
Lam Y. and Zhang Y.L., A shock model for the maintenance problem of a repairable system, Computers & Operations Research . New York, Elsevier, 2004, 31(11): 1807-1820.


Researcher : Lau EHY

List of Research Outputs

Yip P.S.F., Lau E.H.Y., Leung G.M., Xu J., Chang W., Peng Y., Liu Z. and Xie X., A comparison of case fatality rates of Severe Acute Respiratory Syndrome (SARS) between Hong Kong and Beijing, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 410: 1-8.


Researcher : Lau HYE

List of Research Outputs

Yip P.S.F., Lau H.Y.E., Lam K.F. and Huggins R.M., A chain multinomial model for estimating the real-time fatality rate of a disease, with an application to severe acute respiratory syndrome, American Journal of Epidemiology. New York, NY : H.W. Wilson, 2005, 161(7): 700-706.
Yip P.S.F., Lam K.F., Lau H.Y.E., Chau P.H., Tsang K.W. and Chao A., A comparison study of realtime fatality rates: severe acute respiratory syndrome in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(1): 233-243.


Researcher : Lauder IJ

List of Research Outputs

Aitchison J., Kay J.W. and Lauder I.J., Statistical Concepts and Applications in Clinical Medicine . London, U.K., Chapman & Hall/CRC, 2004, 320 pages.
Chan L.S., Cheung G.T.Y., Lauder I.J. and Kumana C.R., Screening For Fever By Remote Sensing Infrared Thermographic Camera, Journal of Travel Medicine. 2004, 11: 273-297.
Cheung B.M.Y., Cheung G.T.Y., Lauder I.J., Lau C.P. and Kumana C.R., Meta-analysis of Large Outcome Trials of Angiotensin Receptor Blockers in Hypertension, American Journal of Hypertension. 2005, 18(5) Suppl: A53.
Cheung B.M.Y., Lauder I.J. and Kumana C.R., Meta-analysis of Large Randomised Controlled Trials that Evaluate Cardiovascular Outcomes After Stain Treatment, 8th Scientific Meeting of the Hong Kong Pharmacology Society in Association with the Shanghai Pharmacology Society, Hong Kong 2004.
Kumana C.R., Cheung G.T.Y., Lauder I.J. and Cheung B.M.Y., Long-term combination therapy with aspirin and clopidogrel, J Cardiovasc Pharmacol Ther. 2004, 9(4): 223-5.
Kumana C.R., Cheung B.M.Y., Cheung G.T.Y., Ovedal T., Pederson B. and Lauder I.J., Rhythm vs.rate control of atrial fibrillation meta-analysed by number needed to treat, Br J Clin Pharmacol. Blackwell Publishing Ltd, 2005, 60(4): 347-54.
Kumana C.R., Cheung G.T.Y., Lauder I.J. and Chan L.S., Screening for Fever by Means of Infrared Thermographic Camera, 11th Ineternational Congress of infectious diseases – Mexico 2004 (Published in: International Journal of Infectious Diseases). 2004, 8(Supl 1): S110.


Researcher : Lee SMS

Project Title:Likelihood-based bootstrap confidence intervals
Investigator(s):Lee SMS, Young A.
Department:Statistics and Actuarial Science
Source(s) of Funding:Other Funding Scheme
Start Date:06/1993
Abstract:
To develop efficient and accurate non-parametric confidence intervals using the bootstrap idea.


Project Title:A study of m out of n bootstrap procedures for general M-estimation
Investigator(s):Lee SMS
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Abstract:
This project proposes to explore the theoretical and practical effects of the m out of n bootstrap in general M-estimation problems, to which the method is anticipated to offer reliable solutions. Such discovery will be of great importance to practical statistical analysis involving M-estimators over a broad range of applications.


Project Title:A robustness diagnostic scheme for general statistical procedures
Investigator(s):Lee SMS
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


Project Title:A robustness diagnostic scheme for general statistical procedures
Investigator(s):Lee SMS
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Abstract:
To develop a new diagnostic scheme for measuring robustness specific to observed data in general problem settings.


List of Research Outputs

Chan Y.F., Lee S.M.S. and Ng K.W., Minimum variance unbiased estimation based on bootstrap iterations, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 391: 1-24.
Cheung K.Y. and Lee S.M.S., Variance estimation for sample quantiles using the m out of n bootstrap, Annals of Institute of Statistical Mathematics. 2005, 57: 279-290.
Ho H.S. and Lee S.M.S., Calibrated interpolated confidence intervals for population quantiles, Biometrika. 2005, 92: 234-241.
Ho H.S. and Lee S.M.S., Iterated bootstrap-t confidence intervals for density functions, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 406: 1-25.
Ho H.S. and Lee S.M.S., Iterated smoothed bootstrap confidence intervals for population quantiles, Annals of Statistics. 2005, 33: 437-462.
Ho H.S. and Lee S.M.S., Nonparametric conditional inference for regression coefficients, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 395: 1-27.
Lai P.Y. and Lee S.M.S., An overview of asymptotic properties of Lp regression under general classes of error distributions, Journal of the American Statistical Association. 2005, 100: 446-458.
Lee S.M.S. and Young G.A., Parametric bootstrapping with nuisance parameters, Statistics and Probability Letters. 2005, 71: 143-153.


Researcher : Li G

List of Research Outputs

Li G., Pan J., Li W.K. and Ling S., Strong consistency and asymptotic normality of least absolute deviation estimates for GARCH models, Research Report. HKU, Department of Statistics and Actuarial Science, 2005, 403: 1-17.


Researcher : Li WK

Project Title:Common nonlinear dynamics in a panel of time series
Investigator(s):Li WK, Tong H, Chan K.S.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2001
Completion Date:12/2004
Abstract:
To use a systematic approach to tests of common nonlinear dynamics in time series


Project Title:Least absolute deviations estimation and inferences for time series models with conditional heteroscedastic errors
Investigator(s):Li WK
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


Project Title:Least absolute deviations estimation and inferences for time series models with conditional heteroscedastic errors
Investigator(s):Li WK, Ling S.Q.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Abstract:
To develop the LAD methodology for the estimation of the FARIMA-GARCH and ARIMA-GARCH models; to study asymptotic properties of the LAD estimates and develop statistical inference procedures. This includes showing the consistency of the estimators and the asymptotic distributions; to tabulate any nonstandard asymptotic distributions derived under objective 2 for partitioners' use.


List of Research Outputs

Fong P.W., Li W.K., Yau C.W. and Wong C.S., On a mixture vector autoregressive model, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 396: 1-40.
Jin S., Li W.K. and Yu P.L.H., Modeling bivariate time series with Gaussian copula, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 397: 1-40.
Jin S. and Li W.K., Modeling contemporaneously correlated panel data withpartial linear regression, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 404: 1-28.
Jin S. and Li W.K., Modeling panel time series with mixture autoregression model, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 408: 1-41.
Kwok S.S.M., Li W.K. and Yu P.L.H., The autoregressive conditional marked duration model:statistical inference to market microstructure, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 407: 1-47.
Leung K.M.Y., Bjørgesæter A., Gray J.S., Li W.K., Lui G.C.S., Wang Y. and Lam P.K.S., Deriving Sediment Quality Guidelines from Field-Based Species Sensitivity Distributions , Environmental Science & Technology. U.S.A., American Chemical Society, 2005, 39(14): 5148-5156.
Li G., Pan J., Li W.K. and Ling S., Strong consistency and asymptotic normality of least absolute deviation estimates for GARCH models, Research Report. HKU, Department of Statistics and Actuarial Science, 2005, 403: 1-17.
Wan L.M., Yuen K.C. and Li W.K., Ultimate ruin probability for a time-series risk model with dependent classes of insurance business, Journal of Actuarial Practice. U.S.A., Absalom Press, 2005, 12: 191-212.
Wong H., Li W.K. and Ling S.Q., Joint modeling of cointegration and conditional heteroscedasticity with applications, Annals of the Institute of Statistical Mathematics. Netherlands, Kluwer Academic, 2005, 57(1): 83-103.
Zhang Z., Li W.K. and Yuen K.C., On tail behaviour of mixture GARCH time series, Workshop on sequential analysis, time series and related topics, Institute of Statistical Science, Academia Sinica. Taiwan, 2004.
Zhang Z., Yuen K.C. and Li W.K., Ruin probability for an insurance company with different lines of insurance business, International Conference on Threshold Models and New Developments in Time Series. Hong Kong, 2004.
Zhang Z.Q., Li W.K. and Yuen K.C., On tail behavior of mixture GARCH time series, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 392: 1-22.


Researcher : Li Y

List of Research Outputs

Li Y. and Zhu L., When is sliced average variance estimation convergent?, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 402: 1-42.


Researcher : Lui GCS

List of Research Outputs

Leung K.M.Y., Bjørgesæter A., Gray J.S., Li W.K., Lui G.C.S., Wang Y. and Lam P.K.S., Deriving Sediment Quality Guidelines from Field-Based Species Sensitivity Distributions , Environmental Science & Technology. U.S.A., American Chemical Society, 2005, 39(14): 5148-5156.


Researcher : Ng CYA

List of Research Outputs

Ng C.Y.A. and Yang H., Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the sparre andersen model, North American Actuarial Journal. U.S.A., Society of Actuaries, 2005, 9(2): 85-107.


Researcher : Ng KW

List of Research Outputs

Chan Y.F., Lee S.M.S. and Ng K.W., Minimum variance unbiased estimation based on bootstrap iterations, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 391: 1-24.
Chen Y., Ng K.W. and Tang Q., Weighted sums of subexponential random variables and their maxima, Advances in Applied Probability. N.Y., Ithaca, 2005, 37(2): 510-522.
He X. and Ng K.W., Percentile Charts on Correlated Measures, In: Edited by Shein-Chung Chow, Encyclopedia of Biopharmaceutical Statistics. New York, Dekker, 2004, 2nd ed., rev. and expanded.
Yuen K.C., Guo J. and Ng K.W., On ultimate ruin in a delayed-claims risk model, Journal of Applied Probability. U.K., Applied Probability Trust, 2005, 42(1): 163-174.
Zhu L., Gui H.J. and Ng K.W., Some properties of a lack-of-fit test for a linear errors in variables model, Acta Mathematicae Applicatae Sinica (English Series). Berlin, Germany, Springer-Verlag Heidelberg, 2004, 20(4): 533-540.


Researcher : Siu TK

List of Research Outputs

Siu T.K., Tong H. and Yang H., On pricing derivatives under GARCH models: a dynamic gerber-shiu approach, North American Actuarial Journal. U.S.A., Society of Actuaries, 2004, 8(3): 17-31.


Researcher : Tang OY

List of Research Outputs

Lam K.F., Fong D.Y.T. and Tang O.Y., Estimating the proportion of cured patients in a censored sample, Statistics in Medicine. 2005, 24: 1865-1879.


Researcher : Tong H

Project Title:Partially linear reduced-rank regression
Investigator(s):Tong H, Chan K.S.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:10/2002
Completion Date:09/2005
Abstract:
The project is to develop statistical tools and study their large-sample properties needed for implementing this new semiparametric approach to practical and innovative data analysis. The project will hopefully result in the development of a set of statistical tools useful for studying the functional form of the regression function, and a framework for studying common structure and nonlinear co-integration in the context of time series analysis.


Project Title:Adaptive testing in nonparametric and semiparametric time series models
Investigator(s):Tong H, Gao J.
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:12/2003
Abstract:
To make new theoretical investigations of a number of nonparametric and semiparametric nonlinear time series models and stochastic nonlinear dynamical systems which incorporate to varying degrees, nonlinearity, additivity, nonstationarity and long-range dependence; (ii) to establish efficient estimation and simultaneous test procedures for nonlinear time series models and stochastic dynamical systems; (iii) to develop computer-intensive programmes for the necessary statistical inference associated with new nonlinear time series models and stochastic dynamical systems; (iv) to apply the techniques and programmes to improve model building and forecasting from better models and systems.


Project Title:Adaptive testing in nonparametric and semiparametric time series models
Investigator(s):Tong H, Gao J.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2003
Abstract:
To make new theoretical investigations of a number of nonparametric and semiparametric nonlinear time series models and stochastic nonlinear dynamical systems which incorporate to varying degrees, nonlinearity, additivity, nonstationarity and long-range dependence; (ii) to establish efficient estimation and simultaneous test procedures for nonlinear time series models and stochastic dynamical systems; (iii) to develop computer-intensive programmes for the necessary statistical inference associated with new nonlinear time series models and stochastic dynamical systems; (iv) to apply the techniques and programmes to improve model building and forecasting from better models and systems.


Project Title:Distinguished Visiting Professors in the Department of Statistics and Actuarial Science
Investigator(s):Tong H
Department:Statistics and Actuarial Science
Source(s) of Funding:Distinguished Research Achievement Award
Start Date:05/2005
Abstract:
Not applicable


List of Research Outputs

Siu T.K., Tong H. and Yang H., On pricing derivatives under GARCH models: a dynamic gerber-shiu approach, North American Actuarial Journal. U.S.A., Society of Actuaries, 2004, 8(3): 17-31.


Researcher : Wan LM

List of Research Outputs

Wan L.M., Yuen K.C. and Li W.K., Ultimate ruin probability for a time-series risk model with dependent classes of insurance business, Journal of Actuarial Practice. U.S.A., Absalom Press, 2005, 12: 191-212.


Researcher : Xi L

List of Research Outputs

Xi L., Yip P.S.F. and Watson R., A unified likelihood-based approach for estimating population size in continuous-time capture-recaptureexperiments with frailty, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 398: 1-23.


Researcher : Yam HK

List of Research Outputs

Chan J.S.K., Kuk A.Y.C. and Yam H.K., Monte Carlo approximation through Gibbs output in generalized linear mixed models , Journal of Multivariate Analysis . The Netherlands, Elsevier Science B. V., 2005, 94(2): 300-312.


Researcher : Yang CT

List of Research Outputs

Bridges F.S., Yip P.S.F. and Yang C.T., Seasonal change in suicide in the United States, 1971-2000, Perceptual and Motor Skills. Missoula, Mont., Perceptual and motor skills, 2005, 100: 920-924.
Fung T.W.K., Yang C.T. and Guo W., EasyDNA: User-friendly paternity and kinship testing programs, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 628-630.
Fung T.W.K., Yang C.T., Li C.K. and Poon N.L., Statistical analysis of handwritten Arabic numerals in a Chinese population, COMPSTAT'2004 Symposium. Heidelberg, Physica-Verlag, 2004, 149-158.
Hu Y., Fung T.W.K. and Yang C.T., On the power of excluding relatives of the true father from paternity, In: (Edited by C. Doutremepuich and N. Morling), Progress in Forensic Genetics. Amsterdam, Elsevier Science B.V., 2004, 10: 514-516.
Li C.K., Poon N.L., Fung T.W.K. and Yang C.T., Individuality of handwritten Arabic numerals in local population, Journal of Forensic Sciences. U.S.A., Lutherville-Timonium, 2005, 50: 185-191.
Tam T.W.M., Yang C.T., Fung T.W.K. and Mok V.K.K., Widmark factors for local Chinese in Hong Kong: A statistical determination on the effects of various physiological factors, Forensic Science International. The Netherlands, Elsevier Science B.V., 2005, 151: 23-29.


Researcher : Yang H

Project Title:Insurance and financial risks: actuarial science approaches
Investigator(s):Yang H, Ng KW
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2001
Completion Date:08/2004
Abstract:
To study ruin probability under the correlated insurance risk model; to study the upper bounds and asymptotic results for the ruin probability with random interest incomes; to credit risk and risk management; to integrated risk management method which can manage the credit and market risks in an integrated way; to risk measures for derivative securities; to numerical study and applications.


Project Title:Characterisations of no-arbitrage under fractional market models
Investigator(s):Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Low Budget High Impact Programme
Start Date:11/2001
Completion Date:10/2004
Abstract:
To consider a financial market with frictions which include transaction costs, bid-ask spread and taxes; by using some probability, stochastic calculus, optimization, linear and non-linear programming, convex programming and game theory techniques; to provide several necessary and sufficient conditions for the weak and strong no-arbitrage.


Project Title:On two mathematical finance problems
Investigator(s):Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2002
Abstract:
To investigate the probability of market completeness by using Lie group; to investigate the pricing of financial derivatives with time-dependent parameters by using Lie group technique; to derive closed form formulas algorithmically; to illustrate the application of the technique.


Project Title:Risk Theory under Markovian Regime Switching Insurance Risk Models
Investigator(s):Yang H, Yin G.G.
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To investigate the distribution of surplus before and after ruin and the joint distribution of the surplus before and after ruin in the regime switching models; to investigate the properties of the ruin probability when the claim distribution is heavy tailed under the regime switching models; to investigate the problem of insurance premium calculation; to extend the model to include a diffusion term and study the same problems, if the number of state of the Markov chain is large or the diffusion involves more than one Brownian motion, the problem will be very difficult, we will study the limit properties of this model; to compare our results with those in the literature for the classical and various extended models, and further investigate our model and our results by using some real data.


Project Title:Optimal investment policy for insurance portfolio
Investigator(s):Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Abstract:
The portfolio selection problem is set up as a stochastic control problem and will be tackled by dynamic programming technique. The criterion for portfolio selection is maximizing survival probability of the investor. The surplus process follows a Cramer-Lundberg model; the investor is allowed to invest into a risk-free bond and a risky asset following a geometric Brownian motion. The investment behavior will be investigated numericaly under the assumption of different claim size distributions. The optimal policy and the solution for the associated Hamilton-Jacobi-Bellman equation will be then computed under each assumption. The effects of changes in various factors such as stock volatility on optimal investment strategies and survival probability will also be discussed. This model wll be generalized to cases where borrowing constraint, or reinsurance are presented.


Project Title:Some actuarial science and finance problems under Markovian regime switching models
Investigator(s):Yang H, Yin G.G.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2004
Abstract:
To investigate the bounds for the ruin probability and to study systems of integro-differential equations satisfied by the ruin probability; to investigate the joint distribution of surplus before and after ruin; study the problem of optimal portfolio selection under the regime-switching model; to study some simple models first and then extend the results to more general models.


Project Title:Closed form expressions for the ruin probabilities
Investigator(s):Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2004
Abstract:
To consider a risk process in which claim inter-arrival times and the time until the first claim have an Erlang distribution.


Project Title:Some actuarial science and finance problems under Markovian regime switching models
Investigator(s):Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Chan G.K.C. and Yang H., Ruin problems under feedback model with random interest, Advances and Applications in Statistics. India, Pushpa Publishing House, 2004, 4(3): 379-395.
Chan G.K.C. and Yang H., Sensitivity analysis on ruin probabilities with heavy-tailed claims, Statistical Methodology. The Netherlands, Elsevier B.V., 2005, 2(1): 59-63.
Cheung K.C. and Yang H., Claim size processes, Encyclopedia of Actuarial Science. U.S.A., John Wiley & Sons, 2004, 1: 274-277.
Cheung K.C. and Yang H., Ordering optimal proportions in the asset allocationproblem with dependent default risks, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 393: 1-22.
Cheung K.C. and Yang H., Ordering optimal proportions in the asset allocation problem with dependent default risks , Insurance: Mathematics and Economics. U.S.A., Elsevier B.V., 2004, 35(3): 595-609.
Deng X., Li Z.F., Wang S. and Yang H., Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions, Annals of Operations Research . The Netherlands, Springer, 2005, 133 (1-4): 265-276.
Lai T.L., Yang H. and Yung S.P., proceedings of a workshop at the University of Hong Kong, Hong Kong, 15-17 July 2002 / Tze Leung Lai, Hailiang Yang, Siu Pang Yung, editors. , Probability, Finance and Insurance. Singapore, World Sciencetific, 2004.
Ng C.Y.A. and Yang H., Lundberg-type bounds for the joint distribution of surplus immediately before and at ruin under the sparre andersen model, North American Actuarial Journal. U.S.A., Society of Actuaries, 2005, 9(2): 85-107.
Siu T.K., Tong H. and Yang H., On pricing derivatives under GARCH models: a dynamic gerber-shiu approach, North American Actuarial Journal. U.S.A., Society of Actuaries, 2004, 8(3): 17-31.
Wang R., Yang H. and Wang H., On the distribution of surplus immediately after ruin under interest force and subexponential claims, Insurance: Mathematics and Economics. U.S.A., Elsevier B.V., 2004, 35(3): 703-714.
Wei L. and Yang H., Explicit expressions for the ruin probabilities of erlang risk processes with pareto individual claim distributions, Acta Mathematicae Applicatae Sinica (English Series). U.S.A., Springer-Verlag, 2004, 20(3): 495-506.
Yang H., Cramér-lundberg condition and estimate , Encyclopedia of Actuarial Science. U.S.A., John Wiley & Sons, 2004, 1: 394-398.
Yang H., Esscher transform, Encyclopedia of Actuarial Science. U.S.A., John Wiley & Sons, 2004, 2: 617-621.
Yang H., Lundberg inequality for ruin probability, Encyclopedia of Actuarial Science. U.S.A., John Wiley & Sons, 2004, 2: 1050-1054.


Researcher : Yau CW

List of Research Outputs

Fong P.W., Li W.K., Yau C.W. and Wong C.S., On a mixture vector autoregressive model, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 396: 1-40.


Researcher : Yip PSF

Project Title:Statistical analysis of infectious disease data
Investigator(s):Yip PSF, Chen Q, Watson R.
Department:Statistics and Actuarial Science
Source(s) of Funding:Other Funding Scheme
Start Date:09/1991
Abstract:
A major motivation for developing methods for the statistical analysis of infectious disease data is that one can thereby gain knowledge which is useful for determining strategies for the control of the disease. Our aims are to determine the mechanism of spread, to estimate the mean durations of the latent and infectious periods, to determine the extent of variations in these durations and to determine the fraction of the community that needs to be immunized in order to prevent major epidemics. Projection and estimation of the disease population is of great importance for making sure sufficient resources are available when need arises. Statistical analysis via martingale theory is the most natural way to model the spread of the disease. It captures and reflects the stochastic nature of the underlying process. Also, methods of inference are useful especially in case traditional maximum likelihood procedure fails.


Project Title:Estimating vaccine efficacy in a general epidemic model
Investigator(s):Yip PSF, Chen Q
Department:Statistics and Actuarial Science
Source(s) of Funding:Other Funding Scheme
Start Date:07/1997
Abstract:
To determine vaccine efficacy in an epidemic such that the proportion to be vaccinated in the population in order to prevent the occurrence of a major epidemic can then be correctly estiamted.


Project Title:Population size estimation for a proportional trapping recapture and removal models
Investigator(s):Yip PSF, Liu L.P., Huggins R.
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:09/2003
Abstract:
To study martingale estimating function for a heterogeneous population; to study bayesian inference for population size for a proportional tapping model; to a partial likelihood approach for a proportional trapping model.


Project Title:Population size estimation for a proportional trapping recapture and removal models
Investigator(s):Yip PSF, Liu L.P., Huggins R.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:09/2003
Abstract:
To study martingale estimating function for a heterogeneous population; to study bayesian inference for population size for a proportional tapping model; to a partial likelihood approach for a proportional trapping model.


Project Title:A semi-parametric method for capture-recapture experiments with incomplete data
Investigator(s):Yip PSF
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Abstract:
Refer to hard copy


Project Title:Demographic Window and Population Ageing: Challenges and Opportunities
Investigator(s):Yip PSF, Robine J.
Department:Statistics and Actuarial Science
Source(s) of Funding:France/Hong Kong Joint Research Scheme - Travel Grants
Start Date:01/2005
Abstract:
To develop a new indicator to reflect the dependence ratio to meet the challenges of an ageing population; to exchange experiences between France and HK how various policies can meet the challenges from a low fertility and long life expectancy country; to examine the French and the European experiences in raising fertility.


List of Research Outputs

Bridges F.S., Yip P.S.F. and Yang C.T., Seasonal change in suicide in the United States, 1971-2000, Perceptual and Motor Skills. Missoula, Mont., Perceptual and motor skills, 2005, 100: 920-924.
Cheung M.W.L. and Yip P.S.F., Theta reliability, In: K. Kempf-Leonard , Encyclopedia of social measurement.. Oxford, Elsevier Academic Press, 2005, 3: 791-796.
Chi I., Yip P.S.F., Chiu H.F.K., Chou K.L., Chan K.S., Kwan C.W., Conwell Y. and Caine E., Prevalence of depression and its correlates in Hong Kong's Chinese older adults, American Journal of Geriatric Psychiatry. Washington, DC, American Association for Geriatric Psychiatry, 2005, 13: 409-416.
Liu L.P. and Yip P.S.F., Proportional trapping-removal models with contaminated data, Journal of Statistical Planning and Inference. The Netherlands, Elsevier Science B.V., 2005, 127(1-2): 131-142.
Tsoh J., Chiu H.F.K., Duberstein P.R., Chan S.S.M., Chi I., Yip P.S.F. and Conwell Y., Atempted suicide in elderly Chinese persons: A multi-group, controlled study, The American Journal of Geriatric Psychiatry. Washington, DC, American Association for Geriatric Psychiatry, 2005, 13: 1-10.
Xi L., Yip P.S.F. and Watson R., A unified likelihood-based approach for estimating population size in continuous-time capture-recaptureexperiments with frailty, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 398: 1-23.
Yip P.S.F., Lau H.Y.E., Lam K.F. and Huggins R.M., A chain multinomial model for estimating the real-time fatality rate of a disease, with an application to severe acute respiratory syndrome, American Journal of Epidemiology. New York, NY : H.W. Wilson, 2005, 161(7): 700-706.
Yip P.S.F., Lau E.H.Y., Leung G.M., Xu J., Chang W., Peng Y., Liu Z. and Xie X., A comparison of case fatality rates of Severe Acute Respiratory Syndrome (SARS) between Hong Kong and Beijing, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 410: 1-8.
Yip P.S.F., Lam K.F., Lau H.Y.E., Chau P.H., Tsang K.W. and Chao A., A comparison study of realtime fatality rates: severe acute respiratory syndrome in Hong Kong, Singapore, Taiwan, Toronto and Beijing, China, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(1): 233-243.
Yip P.S.F., Law C.K., Choi M.K. and Cheung K.S.L., A critical analysis of population dynamics and theirimplications on the future compositions of householdsin Hong Kong SAR, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 405: 1-52.
Yip P.S.F., Lee J.M.K. and Law C.K., The impact of population changes in Hong Kong, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 409: 1-29.


Researcher : Yu PLH

Project Title:Spatial models for multiple ranking data and their applications
Investigator(s):Yu PLH
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Abstract:
In this project, the research team will develop new spatial models to fit multiple ranking data so as to provide a flexible framework to describe individual differences in various choice decisions. The study will focus on developing practically efficient estimation procedures for these spatical models.


Project Title:Diagnosis and prognosis prediction of SARS using high-resolution computed tomography
Investigator(s):Yu PLH, Fung TWK, Luk W.H., Hui J.Y.H.
Department:Statistics and Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:11/2003
Abstract:
To explore and consolidate the use of HRCT in the diagnosis of CoV associated SARS using statistical analyses to validate the sensitivity, specificity and predictive value; to evaluate the HRCT pattern in the prediction of prognosis in SARS patients, such as the length of stay in the hospital or the mortality; to define the window period (counting from the onset of symptoms to positive Chest X-ray or HRCT) of SARS.


Project Title:Development of Price Trend Models: Forecasting and Constructing Trading Strategies
Investigator(s):Yu PLH
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2004
Abstract:
Refer to hard copy


Project Title:Bayesian Analysis of Price Trend Models for Price Movements in Financial Markets
Investigator(s):Yu PLH, Li WK
Department:Statistics and Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:02/2005
Abstract:
Over the years, market investors and technical analysts have devised lots of technical indicators such as moving averages and momentum indicators to forecast the price trend of a financial market. Recent studies (for example van der Hart, et al. 2003, Osler, 2000 and Lo, et al. 2000) and reveal that these rules may provide positive net profits. This result clearly rejected the efficient market hypothesis, which claims that no additional benefit will be gained by using public information related to the market. In other words, asset prices cannot be forecasted from its historical prices or other past variables. The price trend models proposed by Taylor (1980) provide a good alternative solution and have produced many successful applications of the devised price trend trading rules in the futures markets and foreign exchange markets, see Taylor (1980, 1982), Taylor and Kingsman (1978), Taylor and Tari (1989) and Cabral and Guimaraes (1994). Since Taylor's foundation work on price trend model presented in 1980 was so useful for forecasting financial markets, his paper was reprinted as a book chapter in Mills (2002). Taylor (1980) proposed different versions of price trend model, the most basic form of which is called the basic price trend model as described below. Assume that the return R(t) at trading day t is the sum of two unobservable components: the trend T(t) and the white noise et, where the trend T(t) is equal to either the previous trend T(t-1) with probability p, or a new independent trend T(t) with probability 1-p. Therefore, the trend is a constant on each of a sequence of time intervals, each interval having a random duration. In addition, the quantity 1/(1-p) represents the expected trend duration and is a measure of the trend stability. This model assumes that the market satisfies the following conditions: (a) new information arrives randomly at the market; (b) there is new information on a proportion 1-p of the trading days; (c) trend changes only when new information becomes available; (d) when trend changes, the new trend is independent of all past trends; and (e) the trend values are determined by the current information about demand and supply. In estimating model parameters, Taylor applied the methods of moments based on the autocorrelation function and forecasts of future returns were generated as if the trend model is an ordinary ARMA(1,1) model (see Taylor 1986, 1992 and Cabral and Guimaraes 1994). However, such estimation and forecasting methods are rather ad hoc and do not have a strong theoretical basis. To improve the estimation and forecasting methods, Yu (PI) (with Kwan, Lam, So) (2000) developed the maximum likelihood method to estimate the parameters of the basic price trend model and derived one-step ahead forecast to predict the future trend. Based on these optimal forecasts, a new trading rule was constructed and was found to bear similarity to a popular trading rule based on moving averages. The empirical study on trading Hong Kong Hang Seng Index Futures indicated that the new trading rule could earn more net profit than the naïve buy-and-hold rule, especially in an up-and-down market. Time-varying volatility has already been identified as a well-known stylized fact in securities returns. It is thus worthwhile to extend Taylor's price trend models to incorporate time-varying volatility. This project aims at developing flexible price trend models to improve the trend prediction and the performance of the technical trading rules derived from the models. The first part of the proposed research is to develop price trend models in which the error variance is time-varying. The moments of the returns and stationary properties of the above models will be derived. We will adopt a Bayesian approach for parameter estimation of the proposed price trend models. We will also investigate how these models can be used to describe the microstructures of the financial markets. The second part of the proposed research will be devoted to the development of forecasting and trading strategies under the proposed models. We will compare the performances of the new trading rules with the commonly used technical rules.


List of Research Outputs

Chan J.S.K., Yu P.L.H., Lam Y. and Ho P.K., Modeling SARS data using threshold geometric process, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 411: 1-22.
Jin S., Li W.K. and Yu P.L.H., Modeling bivariate time series with Gaussian copula, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 397: 1-40.
Kwok S.S.M., Li W.K. and Yu P.L.H., The autoregressive conditional marked duration model:statistical inference to market microstructure, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 407: 1-47.
Yu P.L.H., Lam K.F. and Lo S.M., Factor analysis for ranked data with application to a job selection attitude survey, Journal of the Royal Statistical Society Series A. London, Blackwell Publishing, 2005, 168(3): 583-597.
Yu P.L.H., Mailbase list editor on 'Discrete Choice Models', New Economics Papers. . 2004-07-01, 2004.
Yu P.L.H., Mailbase list editor on 'Finance', New Economics Papers.. 2004-07-01, 2004.


Researcher : Yuen KC

Project Title:Survival analysis for some biomedical and clinical trial problems
Investigator(s):Yuen KC, Zhu L
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2001
Abstract:
To conduct statistical evaluation of carcinogenicity using semiparametric regression models; to propose a new testing procedure to compare k (k >= 2) cumulative incidence functions simultaneously in a competing risks model; to study some newly developed semiparametric survival models, namely the Dikta's semiparametric random censorship model, mean residual life regression model, and proportional odds regression model.


Project Title:Risk analyses of dependent classes of insurance business
Investigator(s):Yuen KC, Yang H
Department:Statistics and Actuarial Science
Source(s) of Funding:Incentive Award for RGC CERG Fundable But Not Funded Projects
Start Date:07/2003
Abstract:
To investigate the exponential upper bound for the ruin probability; to consider the ruin probability that at least one component in the vector of dependent risk processes ever falls below zero.


Project Title:Ruin analyses of two insurance risk models
Investigator(s):Yuen KC
Department:Statistics and Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:02/2004
Abstract:
To consider the following two risk processes; a bivariate risk process whose components correspond to risk processes of two dependent classes, and a risk process with stochastic interest.


Project Title:Risk Theory for Insurance Risk Models with Stochastic Return on Investments
Investigator(s):Yuen KC, Ng KW, Wang G.J.
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2004
Abstract:
To study: (1) the expected discounted penalty function for a risk process with stochastic return on investments. (2) a renewal risk process with stochastic return on investments. (3) ruin probability and some distributions related to ruin for a risk process with stochastic return on investments.


Project Title:Risk Theory for Insurance Risk Models with Stochastic Return on Investments
Investigator(s):Yuen KC
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Abstract:
Refer to hard copy


List of Research Outputs

Chen Z. and Yuen K.C., Optimal consumption and investment problems under GARCH with transaction costs, Mathematical Methods of Operations Research. U.S.A., Springer, 2005, 61(2): 219-237.
Wan L.M., Yuen K.C. and Li W.K., Ultimate ruin probability for a time-series risk model with dependent classes of insurance business, Journal of Actuarial Practice. U.S.A., Absalom Press, 2005, 12: 191-212.
Wang G. and Yuen K.C., On a correlated aggregate claims model with thinning-dependence structure, Insurance: Mathematics and Economics. The Netherlands, Elsevier B.V., 2005, 36(3): 456-468.
Yuen K.C., Shi J. and Zhu L., A k-sample test with interval censored data, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 400: 1-28.
Yuen K.C., Associate Editor, Computational Statistics and Data Analysis. 2005.
Yuen K.C. and Wang G., On the Gerber-Shiu discounted penalty function for a risk process with stochastic interest, Department of Mathematics, Nankai University. Tianjin, China, 2004.
Yuen K.C., Guo J. and Ng K.W., On ultimate ruin in a delayed-claims risk model, Journal of Applied Probability. U.K., Applied Probability Trust, 2005, 42(1): 163-174.
Yuen K.C., Guo J.Y. and Wu X., Risk comparison and ruin probability for a class of bivariate risk model, The sixth ICSA International Conference. Singapore, 2004.
Zhang Z., Li W.K. and Yuen K.C., On tail behaviour of mixture GARCH time series, Workshop on sequential analysis, time series and related topics, Institute of Statistical Science, Academia Sinica. Taiwan, 2004.
Zhang Z., Yuen K.C. and Li W.K., Ruin probability for an insurance company with different lines of insurance business, International Conference on Threshold Models and New Developments in Time Series. Hong Kong, 2004.
Zhang Z.Q., Li W.K. and Yuen K.C., On tail behavior of mixture GARCH time series, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 392: 1-22.


Researcher : Zhu L

Project Title:Statistical inference for some semiparametric regression models with censored data
Investigator(s):Zhu L, Yuen KC
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:10/2000
Completion Date:08/2005
Abstract:
To apply partial linear, single index, and generalized partially linear single-index models on censoring case.


Project Title:Dimension-reduction methods with special reference to an economic problem in China
Investigator(s):Zhu L, Tong H, Ng KW
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Completion Date:08/2005
Abstract:
The project attempts to understand the reasons why economic development in western China is lagging behind that in eastern China. New methods will be developed to identify the driving forces of the GDP growth and to predict the GDP in terms of these major factors in the future.


Project Title:Checking the adequacy of some measurement error models
Investigator(s):Zhu L, Zhu D.D.
Department:Statistics and Actuarial Science
Source(s) of Funding:Seed Funding for New Staff
Start Date:08/2003
Abstract:
To slve some of the central problems in regression analysis.


Project Title:Statistical inference for some parametric and semiparametric measurement error models
Investigator(s):Zhu L
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Completion Date:08/2005
Abstract:
Refer to hard copy


Project Title:Statistical inference for some parametric and semiparametric measurement error models
Investigator(s):Zhu L
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Completion Date:08/2005
Abstract:
To develop statistical inference procedures for the proposed two types of models. The empirical likelihood method will be used to obtain confidence regions of parameters with good sampling properties. Lack-of-fit tests for paramatric models will be developed so that we can formally check whether the assumed models fit the data properly.


List of Research Outputs

Li Y. and Zhu L., When is sliced average variance estimation convergent?, Research Report. Department of Statistics and Actuarial Science, HKU, 2005, 402: 1-42.
Yuen K.C., Shi J. and Zhu L., A k-sample test with interval censored data, Research Report. Department of Statistics and Actuarial Science, HKU, 2004, 400: 1-28.
Zhu L., Gui H.J. and Ng K.W., Some properties of a lack-of-fit test for a linear errors in variables model, Acta Mathematicae Applicatae Sinica (English Series). Berlin, Germany, Springer-Verlag Heidelberg, 2004, 20(4): 533-540.


Researcher : Zhu LX

Project Title:Statistical inference for some semiparametric regression models with censored data
Investigator(s):Zhu L, Yuen KC
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:10/2000
Completion Date:08/2005
Abstract:
To apply partial linear, single index, and generalized partially linear single-index models on censoring case.


Project Title:Dimension-reduction methods with special reference to an economic problem in China
Investigator(s):Zhu L, Tong H, Ng KW
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:12/2002
Completion Date:08/2005
Abstract:
The project attempts to understand the reasons why economic development in western China is lagging behind that in eastern China. New methods will be developed to identify the driving forces of the GDP growth and to predict the GDP in terms of these major factors in the future.


Project Title:Checking the adequacy of some measurement error models
Investigator(s):Zhu L, Zhu D.D.
Department:Statistics and Actuarial Science
Source(s) of Funding:Seed Funding for New Staff
Start Date:08/2003
Abstract:
To slve some of the central problems in regression analysis.


Project Title:Statistical inference for some parametric and semiparametric measurement error models
Investigator(s):Zhu L
Department:Statistics and Actuarial Science
Source(s) of Funding:Merit Award for RGC CERG Funded Projects
Start Date:01/2005
Completion Date:08/2005
Abstract:
Refer to hard copy


Project Title:Statistical inference for some parametric and semiparametric measurement error models
Investigator(s):Zhu L
Department:Statistics and Actuarial Science
Source(s) of Funding:Competitive Earmarked Research Grants (CERG)
Start Date:01/2005
Completion Date:08/2005
Abstract:
To develop statistical inference procedures for the proposed two types of models. The empirical likelihood method will be used to obtain confidence regions of parameters with good sampling properties. Lack-of-fit tests for paramatric models will be developed so that we can formally check whether the assumed models fit the data properly.





-- End of Listing --