Dept of Statistics & Actuarial Science

DEPT OF STATISTICS & ACTUARIAL SCIENCE

Project Title:	Personnel surveys
Investigator(s):	Bacon-Shone JH
Department:	Social Sciences Research Ctr
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 Ctr
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 Ctr
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	10/2003

Abstract:

To address two important methodological questions and to assist in answering an important policy question relevant to Hong Kong. - The first methodolocial question is the handling of zeros in compositional data, which has been identified as a major weakness of the key paradigm which uses log ratios (which are undefined for zeros). - The second question is how best to extend previous work on what is called the end methods problem by geologists, which is the problem of identifying which set of compositions has been mixed into a composite composition and what is the mixing process.

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 Ctr
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.

Project Title:	Postgraduate Students Conference/Seminar Grants 2006/2007
Investigator(s):	Bacon-Shone JH
Department:	Social Sciences Research Ctr
Source(s) of Funding:	Postgraduate Students Conference / Seminar Grants
Start Date:	07/2006

Abstract:

To invite 4 speakers to attend the 2006 Summer School on Research Methods.

Researcher : Bai Y

List of Research Outputs

Bai Y., Zhu Z.Y. and Fung T.W.K., Partial linear models for longitudinal data based on quadratic inference functions, Scandinavian Journal of Statistics. Blackwell Publishing Ltd., 2008, 35: 104-118.

Researcher : Chan JSK

List of Research Outputs

Researcher : Chen A

Project Title:	Stochastic modelling of interacting branching systems
Investigator(s):	Chen A
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	08/2006

Abstract:

(1) The main objects of this proposal are as follows: a To validate an appropriate methodology that provides new techniques for investigating interacting branching systems. In particular, (i). the powerful probability approaches, such as the random change technique,will be developed in order to analyze properties of interacting branching systems; (2) (ii). the useful (one-dimensional) Resolvent Decomposition Theorem, refined in Chen and Renshaw (1990, 1993), will be generalized to the multi- dimensional case and facilitate the analysis of jointly interacting branching systems; (iii).the analytic approach, particularly methods in differential equations and special functions, will be further developed in order to analyze the partial differential equations arising from the study, especially for weakly and pair-wise interacting branching systems. (3)b. To investigate the basic properties of interacting branching systems. We expect to find solutions to the following open problems in the course of this project, which will greatly increase our understanding of interacting branching systems. (iv). We intend to obtain the extinction probability, the mean extinction time and the conditional mean extinction time of strongly interacting branching systems. (4)(v). We intend to obtain the explosion probability and the mean explosion time for strongly interacting branching systems. (vi). We intend to investigate and resolve the effect of immigration and emigration on the extinction and explosion properties for weakly, pair-wise, and strongly interacting branching systems. (vii).The limiting-conditional and quasi-stationary distributions for all types of interacting branching systems are unexplored at present. Both will be studied in detail. We expect to make considerable progress in this respect. (5)c. To establish and extend research collaboration, both nationally and internationally, in the study of interacting branching systems. Analyzing interacting branching systems is a challenging task and thus research collaboration is essential in order to achieve the aims of this ambitious project.(6) The results of the study will have a major long-term impact on mathematics and science, and in particular to biologists. It will promote interest, in particular, across the academic community within HK and Mainland China. Given that all the investigators of this proposal are leaders in their research fields and have strong track records, the aims of the study, while certainly ambitious, are readily achievable as long as funding and other strong support can be provided. We are confident that the project can be brought to fruition within the specified time period. This research will improve our understanding of interacting branching systems and spur further research worldwide in this important area. This in turn will enhance the reputation of HK and Mainland China in the branching systems research and cognate areas.

List of Research Outputs

Chen A., Li J. and Ramesh N., Probability Approach in Weighted Markov Branching Processes, Statistics and Probability Letters. Elsevier B.V., 2008, 76: 771-779.

Li J. and Chen A., Decay Properties of Stopped Markovian Bulk Arriving Queues, Advances in Applied Probability. Applied Probability Trust, 2008, 40: 95-121.

Li J. and Chen A., Existence, Uniqueness and Ergodicity of Markov Branching Processes with Immigration and Instantaneous Resurrection, Science in China Series A - Mahtematics. Science in China Press, 2008, 51(7): 1266-1286.

Researcher : Chen F

List of Research Outputs

Chen F., Huggins R.M., Yip P.S.F. and Lam K.F., Nonparametric Estimation of Multiplicative Counting Process Intensity Functions with an Application to the Beijing SARS Epidemic, In: Prof. N. Balakrishnan , Communications in Statistics - Theory and Methods. Philadelphia, US, Taylor & Francis Group, 2008, 37: 294-306.

Researcher : Chen Y

List of Research Outputs

Chen Y., Yuen K.C. and Ng K.W., Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (presented Yiqing Chen, my PhD student), The 11th International Congress on Insurance: Mathematics and Economics, Piraeus, Greece. 2007.

Researcher : Cheng X

List of Research Outputs

Cheng X., Yu P.L.H. and Li W.K., On a dynamic mixture GARCH model, Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 455: 1-26.

Researcher : Chung KH

List of Research Outputs

Yu P.L.H., Chung K.H., Lin C.K., Chan J.S.K. and Lee C.K., Predicting potential drop-out and future commitment for first time donors based on first one and a half years donation patterns: the case in Hong Kong Chinese donors, Vox Sanguinis. UK, Blackwell-Synergy, 2007, 93(1): 57-63.

Researcher : Fung TWK

Project Title:	Individuality of handwritten numerals and characters in local population
Investigator(s):	Fung TWK
Department:	Statistics & 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:	The Transmission Disequilibrium Test in the Presence of Genomic Imprinting
Investigator(s):	Fung TWK
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Seed Funding Programme for Basic Research
Start Date:	01/2006

Abstract:

Key Issues, Background and Problems Being Addressed: The transmission/disequilibrium test (TDT) is a powerful and major approach to search for genes underlying human complex/common diseases. It was introduced originally by Spielman et al. (1993) based on the case-parents trios, to test directly for linkage between the marker locus and a disease susceptibility locus (DSL) when association due to linkage disequilibrium (LD) is present. When both parents' marker genotypes were unavailable, Ewens and Spielman (1995) extended the TDT to the S-TDT for use in sibships with at least one affected individual and one unaffected individual. When only one of the parents was available, Sun et al. (1999) proposed a test, termed the 1-TDT, for use with marker genotypes of the affected individuals and the available parents. A number of investigators worked on the statistical power of the TDT. For example, Xiong and Guo (1998) demonstrated that the power was a function of several genetic parameters including the recombination fraction, penetrance, age of mutant disease allele, marker allele frequency, recurrent mutation rates at the marker and/or disease locus, and initial linkage disequilibrium. Knapp (1999) presented a rigorous method for obtaining the power of the TDT for samples consisting of families with either a single affected child or affected sib pairs, based on the asymptotic normality of the maximum likelihood estimator. Knapp (1999) also pointed out that the approach proposed by Camp (1997) on sample size calculations was erroneous. Wang and Sun (2000) presented a general method to obtain the number of families required to detect linkage disequilibrium and compared the relative power of the TDT, S-TDT and 1-TDT. Deng and Chen (2001) developed a simple and accurate analytical method for computing the statistical power of various TDT, incorporating unrelated cases and controls and their parents into a single analysis therein. Iles (2002) demonstrated a basic model that allowed analytical comparisons of the three methods of Risch and Merikangas (1996), McGinnis (1998, 2000), Tu and Whittemore (1999) and Knapp (1999), for calculating the power of TDT. Genomic imprinting, also known as “parent-of-origin effect”, is an important epigenetic factor. More than 1% of all mammalian genes are known to be imprinted (Morison et al. 2001). Morison et al. (2001) had constructed an imprinted-gene database which contained 230 records in humans at the time of submission (URL: www.otago.ac.nz/IGC). The transcriptional activity of an imprinted gene is dependent on the parent-of-origin of the allele. Imprinting can happen when either the paternal or the maternal copy of a gene is inactivated. DNA methylation and the differential packing density of DNA by histone proteins are two mechanisms known to be involved in the process of imprinting, which is determined by chromosomal region of DNA or by differences in chromatin structure (Hall 1990; Ainscough and Surani 1996, Bartolomei and Tilghman 1997; Strauch et al. 2000; Knapp and Strauch 2004). Reviews of mechanisms and function of genomic imprinting can be referred to Pfeifer (2000), Reik and Walter (2001) and Wilkins and Haig (2003). Parent-of-origin effects have been demonstrated in several genetic disorders, such as Beckwith-Wiedemann, Prader-Willi, and Angleman syndromes (Falls et al. 1999). The statistical power of tests for genetic linkage would be affected when the genes are imprinted. Much work has been done recently to incorporate parent-of-origin effects into existing tests for linkage. Weinberg et al. (1998) investigated the effects in genetic studies of case-parents trios by a log-linear approach. Weinberg (1999) proposed the methods for detection of parent-of-origin. Both of them introduced some parameters to describe the parental effects. Knapp and Strauch (2004) derived the asymptotic distribution of the likelihood-ratio test, allowing for imprinting under the null hypothesis of no linkage, by extending Holmans’ (1993) possible triangle test for affected sib pairs. Wu et al. (2005) proposed a robust generalized minimax test for linkage, based on alleles that were shared identical by descent by different affected sib pairs, allowing for parent-of-origin effects and sex-specific recombination rates. In the presence of genomic imprinting, the methods for incorporating of parent-of-origin into linkage analysis of quantitative traits can be referred to the work of Hanson et al. (2001), Shete and Amos (2002), Shete et al. (2003), among some others. Objectives: According to a rule by Haldane (1922), it is more common to have crossovers in the homogametic sex (e.g., XX) than in the heterogametic sex (e.g., XY) (Ott 1999). In other words, recombination rates are sex-specific. The recombination rate for human females is on the average 60% higher than that for human males (Fann and Ott 1995; Broman et al. 1998), but the rates can be highly variable in some regions of chromosome (Wu et al. 2005). In linkage analysis, sex-specific recombination rates will be a consequence of imprinting and Smalley (1993) suggested the utilization of this information for possible identification of traits undergoing imprinting. The recombination fractions are sex-specific and imprinting is known or believed to play an important role in many genetically complex traits, such as type I diabetes, polycystic ovarian syndrome (Bennett et al. 1997), atopy, celiac disease, cancer, epilepsy, or bipolar disorder (Knapp and Strauch 2004). We consider the following objectives in this project: (i) To study if the statistical power of TDT will change when there is genomic imprinting, i.e. how does the parent-of-origin affect the power of the TDT and is the TDT still a valid test for linkage when imprinting is present? (ii) To construct a valid test (or tests) for imprinting, based on the case-parents trios. (iii) To investigate if we can find a new method to improve the TDT for more powerful test for linkage. (iv) To see the role of sex-specific recombination fractions on the above problems. (Details of the reference list are omitted for brevity.)

Project Title:	Generalized estimating equations for structural parameters in regression credibility models of actuarial science
Investigator(s):	Fung TWK, Zhu ZY
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	07/2006

Abstract:

We propose to use the GEE approach for estimation of the structural parameters of a regression credibility model. Specifically, we intend (1) to construct estimating equations for regression credibility models using the Bühlmann, Bühlmann-Straub and Hachemeister frameworks; (2) to investigate the performance of various GEE estimators; (3) to study the impact on efficiency and robustness of GEE estimators for different choices of working covariance matrix in the GEE framework; (4) to ascertain the more robust GEE approach to be a better surrogate in most scenarios for the Hachemeister method which has been criticized for frequently generating invalid estimates; (5) to reparameterize the GEE formulation and transform the regression credibility model to solve the numerical computation problem commonly found in the estimation routine, while maintaining the efficiency and invariance of GEE estimators.

List of Research Outputs

Bai Y., Zhu Z.Y. and Fung T.W.K., Partial linear models for longitudinal data based on quadratic inference functions, Scandinavian Journal of Statistics. Blackwell Publishing Ltd., 2008, 35: 104-118.

Fung T.W.K., Gu H., Xiang L. and Yau K.K.W., Assessing local influence in principal component analysis with application to haematology study data, Statistics in Medicine. John Wiley & Sons, Ltd., 2007, 26: 2730-2744.

Fung T.W.K. and Hu Y., Statistical DNA Forensics: Theory, Methods and Computation. Chichester, John Wiley & Sons, 2008, 262.

Huang D. and Fung T.W.K., Estimating variance and covariance parameters by generalized estimating equations for credibility models, Proceedings of the 56th Session of the ISI 22- 29 Aug, Lisboa 2007, CPM 129 - Statistics and Insurance. 2007, p1-4.

Lo C.H., Fung T.W.K. and Zhu Z.Y., Structural parameter estimation using generalized estimating equations for regression credibility models, Astin Bulletin. Astin Bulletin, 2007, 37(2): 323-343.

Qin G.Y., Zhu Z.Y. and Fung T.W.K., Robust estimating equations and bias correction of correlation parameters for longitudinal data, Computational Statistics and Data Analysis. The Netherlands, Elsevier B.V., 2008, 52: 4745-4753.

Zhou Y., Shi N.Z., Fung T.W.K. and Guo J., Maximum likelihood estimates of two-locus recombination fractions under some natural inequality restrictions, BMC Genetics. BioMed Central Ltd., 2008, 9:1: p1-12.

Researcher : Gerber HU

List of Research Outputs

Gerber H.U. and Yang H., Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment, North American Actuarial Journal. US, Society of Actuaries, 2007, 11: 159-169.

Researcher : Hu Y

List of Research Outputs

Fung T.W.K. and Hu Y., Statistical DNA Forensics: Theory, Methods and Computation. Chichester, John Wiley & Sons, 2008, 262.

Researcher : Huang D

List of Research Outputs

Huang D. and Fung T.W.K., Estimating variance and covariance parameters by generalized estimating equations for credibility models, Proceedings of the 56th Session of the ISI 22- 29 Aug, Lisboa 2007, CPM 129 - Statistics and Insurance. 2007, p1-4.

Researcher : Kwan CW

List of Research Outputs

Chen J.Y., Tse E.Y.Y., Lam T.P., Li D.K.T., Chao D.V.K. and Kwan C.W., Doctors’ personal health care choices: a cross-sectional survey in a mixed public/private setting, BMC Public Health. 2008, 8.

Researcher : Kwan KM

List of Research Outputs

Kwan K.M. and Yang H., Ruin probability under a threshold insurance risk model, Belgian Actuarial Bulletin. KVBA-ARAB, 2007, 7: 41-49.

Researcher : Lam KF

Project Title:	Semiparametric regression analysis for clustered interval censored survival data
Investigator(s):	Lam KF
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	01/2006

Abstract:

To propose an asymptotically semiparametric efficient estimator for the regression parameter in the conditional proportional hazards model, at which the effect of the associated covariate X is assumed to be linearly related to log of the hazard function and the dependence parameter with clustered interval censored data. The rate of convergence, the asymptotic properties of the estimator will be studied; to provide a simple efficient estimation method to estimate the parameters of the semiparametric random effects proportional hazards model with a partially linear relative risk function that combines the linear part based on the usual parametric regression models and a nonlinear, nonparametric regression part to explore the nature of relationships between some covariates and the failure time.

List of Research Outputs

Chan A.O.O., Jim M.H., Lam K.F., Morris J.S., Siu D.C.W., Tong T., Ng F.H., Wong S.Y., Hui W.M., Chan C.K., Lai K.C., Cheung T.K., Chan P., Wong G., Yuen R.M.F., Lau Y.K., Lee S.W.L., Szeto M.L., Wong B.C.Y. and Lam S.K., Prevalence of Colorectal Neoplasm Among Patients with Newly Diagnosed Coronary Artery Disease, In: Catherine D. DeAngelis, Journal of the American Medical Association. Chicago, American Medical Association, 2007, 298 (12): 1412-1419.

Chen F., Huggins R.M., Yip P.S.F. and Lam K.F., Nonparametric Estimation of Multiplicative Counting Process Intensity Functions with an Application to the Beijing SARS Epidemic, In: Prof. N. Balakrishnan , Communications in Statistics - Theory and Methods. Philadelphia, US, Taylor & Francis Group, 2008, 37: 294-306.

Fong D.Y.T., Chiang V.C.L., Lam K.F., Leung S.S.K., Lee C.F., Lau S.P. and Chan S.S.C., Improving Teaching and Learning of Medical Statistics by a Web-based Statistical Platform, CITE Research Symposium 2008 – Empowering Communities & Transforming Learning. 2008.

Lam K.F., Editor, Hong Kong Medical Journal. Hong Kong Academy of Medicine, 2008.

Lam K.F., Statistical Advisor for The Journal of Orthopaedic Surgery , In: Prof. David Fang, Hong Kong, Hong Kong Academy of Medicine Press, 2008.

Lam T.P., Lam K.F. and Tse E.Y.Y., The preferred mode of teaching and examination of primary care doctors undertaking postgraduate diploma studies in Hong Kong., Hong Kong Practitioner . Hong Kong, The Hong Kong College of Family Physicians, 2007, 29: 372.

Lau A.W.H., Wong M.C.M., Lam K.F. and McGrath C.P.J., Evaluation of child perceptions questionnaire (CPQ_11-14) using structural equation modeling, Journal of Dental Research. 2007, 86 (Spec Iss B): IO-21.

Ng F.H., Wong S.Y., Lam K.F., Chang P.C.M., Lau Y.K., Chu W.M. and Wong B.C.Y., Gastrointestinal Bleeding in Patients Receiving a Combination of Aspirin, Clopidogrel and Enoxaparin in Acute Coronary Syndrome, In: Professors Joel Richter and Nicholas J. Talley, The American Journal of Gastroenterology. Malden, MA:Blackwell Publishing, Inc.,, 2008, 103 (4): 865-871.

Ng F.H., Lam K.F., Wong S.Y., Chang P.C.M., Lau Y.K., Yuen W.C., Chu W.M. and Wong B.C.Y., Upper Gastrointestinal Bleeding in Patients with Aspirin and Clopidogrel Co-therapy, In: Prof. Beglinger C. (Basel) and Prof. Göke B. (Munich) , Digestion. Basel, Switzerland, Karger, 2008, 77: 173-177.

Wong M.C.M., Lau A.W.H., Lam K.F. and McGrath C.P.J., Construct validity of the short forms child perceptions questionnaire (CPQ_11-14), Journal of Dental Research. 2007, 86 (Spec Iss B): IO-22.

Yip P.S.F., Lam K.F., Xu Y., Chau P.H., Xu J., Chang W., Peng Y., Liu Z., Xie X. and Lau E.H.Y., Reconstruction of the Infection Curve for SARS epidemic in Beijing, China using a Back-Projection Method, In: Prof. N. Balakrishnan, Communications in Statistics – Simulation and Computation. Philadelphia, US, Taylor & Francis, 2008, 37: 425-433.

Researcher : Lam Y

List of Research Outputs

Lam Y., A geometric process maintenance model with preventive repair, European Journal of Operational Research. The Netherlands, Elsevier, B.V., 2007, 182: 806-819.

Lam Y., The Geometric Process and Its Applications. Singapore, World Scientific, 2007.

Tang Y.Y. and Lam Y., Numerical solution to an integral equation in geometric process, Journal of Statistical Computation & Simulation. UK, Taylor & Francis Ltd., 2007, 77(7): 549-560.

Researcher : Lee H

List of Research Outputs

Yu P.L.H., Lee H. and Lam K., Best Paper Award, 8th International Business Research Conference. 2008.

Researcher : Lee SMS

Project Title:	Variance estimation for kernel-smoothed sample quantiles
Investigator(s):	Lee SMS
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Small Project Funding
Start Date:	12/2006

Abstract:

To the problem of estimating a population quantile based on a random sample, the sample quantile provides a natural solution but suffers from a lack of efficiency due to the variability of individual order statistics. The kernel-smoothed sample quantile, defined as the inverse of the kernel-smoothed empirical distribution of the observed sample, succeeds in reducing variability and is hence a more efficient estimator. Unlike the case of sample quantile, the important problem of variance estimation for the kernel-smoothed sample quantile has, however, received little attention in the literature. The proposed project investigates the properties and explores ways to improve the accuracy of the bootstrap procedure for estimating the variance of the kernel-smoothed sample quantile. Specifically, the project has the following objectives: (1) establish an asymptotic expansion for the variance of the kernel-smoothed sample quantile, against which its bootstrap estimators can be compared and evaluated asymptotically; (2) establish the order of the relative error of the ordinary bootstrap variance estimator, upon which modifications of the bootstrap are sought to improve; (3) investigate the effects of smoothing the bootstrap by the kernel method on the relative error of the variance estimator and hence derive the optimal choice of bandwidth for smoothing the bootstrap; (4) investigate the effects of calibrating the order of the kernel-smoothed bootstrap sample quantiles on the relative error of the variance estimator and determine the precise adjustment made to the quantile order for maximum improvement; (5) develop a practical computational procedure for optimal calibration of the quantile order as determined by objective (4); (6) conduct a simulation study on empirical performance of the various bootstrap procedures developed in the project.

Project Title:	An omnibus procedure for robust depth-based confidence regions
Investigator(s):	Lee SMS
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	01/2007

Abstract:

(1) Problems: Conventionally confidence regions for parameter vectors are built upon sampling distributions of approximate pivotal quantities. For a particular real-life application there often exist more than one choices of pivotal quantities and methods for estimating their distributions. The claimed quality of each such confidence procedure derives somewhat from our subjective belief in the validity of its governing conditions, which are difficult to ascertain in reality. Although adaptive and robust methods have emerged in the literature to optimize the choice of confidence procedure and guard against mis-specification of governing conditions respectively, their scope is confined to parametric contexts or special forms of pivotal quantities, and the parameter often restricted within one-dimensional spaces. In general situations where different confidence procedures are available of both the parametric and non-parametric types, based on pivotal quantities of different functional forms or of different dimensions, an omnibus approach that successfully integrates these diverse possibilities is desirable in practice. Ad hoc approaches based on, for example, formation of simple unions or convex hulls of individual confidence regions provide a plausible solution but often yield regions of awkward shapes, having over-conservative coverages and bestriding irrelevant candidate parameter values. The problem remains unsolved in a formal and thorough way. (2) Proposed solution: This project seeks a solution in the form of an omnibus confidence procedure, which defines a confidence region by depth-based calibration with reference to an amalgam of simulated generalized pivotal quantities obtained from different confidence procedures. It systematically integrates the separate confidence regions that would have been obtained by individual confidence procedures. The region constructed can be carefully tuned to optimize coverage accuracy or maintain a conservative confidence level. Both theoretical and empirical properties of the proposed procedure are investigated under sufficiently general regularity conditions and for a variety of practical examples, respectively. (3) Significance and value: The project introduces a novel and practically viable confidence procedure to the standard statistical toolkit. It integrates and improves upon existing standard methods when, as is common in reality, external information falls short of identifying a single best choice among the standard methods. The resulting region enjoys desirable accuracy and robustness properties. Being entirely data-driven, its content adapts faithfully to the real situation and is particularly informative about the location of the target parameter.

List of Research Outputs

Ho Y.H.S. and Lee S.M.S., Iterated bootstrap-t confidence intervals for density functions, Scandinavian Journal of Statistics. 2008, 35: 295-308.

Ho Y.H.S. and Lee S.M.S., Nonparametric conditional inference for regression coefficients with application to configural polysampling, Statistica Sinica. 2008, 18: 155-169.

Lok W.S. and Lee S.M.S., Robustness diagnosis for bootstrap inference, Research Report. Department of Statistics and Actuarial Science, HKU, 2008, 457: 1-29.

Researcher : Li WK

Project Title:	Statistical inference for time series with threshold moving average structure
Investigator(s):	Li WK, Tong H
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	01/2007

Abstract:

(1) Long term impact: Threshold models, in particular the threshold autoregressive models have played an important role in the development of nonlinear time series analysis since its introduction by Tong (1978) and Tong & Lim (1980). Unlike the linear situation, research in threshold time series concentrates mainly on the autoregressive type models. The corresponding threshold moving average (TMA) process has been given little attention in the literature through the years, apart from some mainly theoretical developments. Given the importance of the moving average models in linear time series analysis it can be expected that a threshold moving average model should have a similarly important role in nonlinear time series analysis. Research in time series with a threshold moving average component is long over due. Such time series processes should provide better understanding of various nonlinear phenomenona that are happening in the real world. Towards this goal the investigators propose to undertake the following tasks of investigation on time series models with a threshold moving average structure. (2) Objective 1: Statistical inference for the pure TMA model. This will include estimation methodologies and large sample properties of the estimators such as consistency and asymptotic distributions. Testing and identification procedures will be developed for testing and identifying the presence of threshold structure, possibly under presence of conditional heteroscedasticity. Goodness of fit tests will be developed to check for model adequacy. Procedures for model selection such as methods of selecting model order and choosing between different models will be considered. (3) Objective 2: Develop new time series models with a threshold moving average (TMA) component; investigates their probabilistic structure and derive appropriate statistical inference methodologies. Some immediate generalizations of the basic threshold moving average model would include the threshold autoregressive and moving average (TARMA) model, vector threshold moving average (VTMA) model, and threshold moving average models with conditional heteroscedasticity. (4) Objective 3: Computer programmes will be developed to model and forecast time series with a TMA structure. Applications to the real world will be included using environmental, economic and financial data. Clearly, the objectives only reflect part of the possible developments with threshold moving averages. Many other developments, such as Bayesian analysis and semiparametric models are possible if time permits.

List of Research Outputs

Cheng X., Yu P.L.H. and Li W.K., On a dynamic mixture GARCH model, Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 455: 1-26.

Jayawardena A.W., Xu P. and Li W.K., A Method of Estimating the Noise Level in a Chaotic Time Series, Chaos. USA, American Institute of Physics, 2008, 18: 023115(1)-023115(11).

Li G. and Li W.K., Least Absolute Deviation Estimation For Fractionally Integrated Autoregressive Moving Average Time Series Mdoel With Conditional Heteroscedasticity, Biometrika. United Kingdom, Biometrika Trust, 2008, 95: 399-414.

Li G. and Li W.K., Testing for Threshold Moving Average with Conditional Heteroscedastcity, Statistica Sinica. 2008, 18: 647-665.

Sivakumar B., Jayawardena A.W. and Li W.K., Hydrologic Complexity and Classification: A Simple Data Reconstruction Approach, Hydrological Processes. John Wiley & Sons, 2007, 21: 2713-2728.

Wong S.T. and Li W.K., A threshold approach for peaks-over-threshold modelling using maximum product of spacings , Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 454: 1-14.

Zhang Z., Yuen K.C. and Li W.K., A time-series risk model with constant interest for dependent classes of business, Insurance: Mathematics and Economics. The Netherlands, Elsevier, 2007, 41(1): 32-40.

Researcher : Lo CH

List of Research Outputs

Lo C.H., Fung T.W.K. and Zhu Z.Y., Structural parameter estimation using generalized estimating equations for regression credibility models, Astin Bulletin. Astin Bulletin, 2007, 37(2): 323-343.

Researcher : Lok WS

List of Research Outputs

Lok W.S. and Lee S.M.S., Robustness diagnosis for bootstrap inference, Research Report. Department of Statistics and Actuarial Science, HKU, 2008, 457: 1-29.

Researcher : Lui CSG

List of Research Outputs

Bao W., Leung K.M.Y., Kwok W.H.K.P., Zhang Q. and Lui C.S.G., Synergistic toxic effects of zinc pyrithione and copper to three marine species: implications on setting appropriate water quality criteria, Marine Pollution Bulletin. 2008, 57: 616-623.

Researcher : Lui GCS

List of Research Outputs

Kwok K.P.W.H., Bjørgesæter A., Leung K.M.Y., Lui G.C.S., Gray J.S., Shin P.K.S. and Lam P.K.S., Deriving site-specific sediment quality guidelines for Hong Kong marine environments using field-based species sensitivity distributions, Environmental Toxicology and Chemistry. 2008, 27: 226-234.

Researcher : Ng KW

List of Research Outputs

Chen Y., Yuen K.C. and Ng K.W., Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (presented Yiqing Chen, my PhD student), The 11th International Congress on Insurance: Mathematics and Economics, Piraeus, Greece. 2007.

Li Z.F., Ng K.W. and Deng X.T., Continuous-time optimal portfolio selection using mean-CaR models, Nonlinear Dynamics and Systems Theory. InforMath Publishing Group, 2007, 7(1): 35-49.

Liang J. and Ng K.W., A method for generating uniformly scattered points on the L_p-norm unit sphere and its applications, Metrika. Springer-Verlag, 2007, 68(1): 83-98.

Ng K.W., Tang M.L., Tan M. and Tian G.L., Grouped Dirichlet distribution : A new tool for incomplete categorical data analysis, Journal of Multivariate Analysis. Elsevier, 2008, 99: 490-509.

Tan M., Tian G.L., Fang H.B. and Ng K.W., A fast EM algorithm for quadratic optimization subject to convex constraints, Statistica Sinica. 2007, 17(3): 945-964.

Tian G.L., Ng K.W. and Tan M., EM-type algorithms for computing restricted MLEs in multivariate normal distributions and multivariate tdistributions, Computational Statistics and Data Analysis. Elsevier, 2008, 52: 4768-4778.

Wang Q. and Ng K.W., Asymptotically efficient product-limit estimators with censoring indicators missing at random, Statistica Sinica. 2008, 18: 749-768.

Researcher : Tong H

Project Title:	Distinguished Visiting Professors in the Department of Statistics and Actuarial Science
Investigator(s):	Tong H
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Distinguished Research Achievement Award
Start Date:	05/2005

Abstract:

N/A

Researcher : Wang Q

Project Title:	Statistical Analysis Based on Complex Data
Investigator(s):	Wang Q
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Seed Funding Programme for Basic Research
Start Date:	03/2006

Abstract:

In this project I will develop statistical inference tools and approaches with complex data including surrogate data and validation data, missing data and censored data. The project has the following objectives. 1) I will develop estimation approaches for a probability density and a regression function with surrogate data and validation sampling. A regression calibration kernel approach will be applied to estimation of the probability density and regression function to incorporate the information contained in both surrogate variables and validation sample. I intend to define two weighted probability density estimators which may have less asymptotic variances than the regression calibration kernel density estimator. I intend to prove that the proposed estimators are asymptotically normal, and derive the asymptotic representations for the mean squared error and mean integrated square error of the proposed estimators, respectively. 2) Let Y be the response variable and X the covariables. Let f(y|x,beta) be the conditional probability density of Y, which is parameterized up to an unknown parameter vector \beta. For making inference on \beta, it is typically assumed that (X,Y) are available. In many applications, however, the exact measurement of X may be difficult, time consuming or expensive, so surrogate {\wt X} is observed instead of X. Generally, the relation between the surrogate {\wt X} and the true variable X can be rather complicated. The usual additive error model may not be sufficient to describe this relation. In this project, I intend to consider settings where some validation data are available to relate X and {\wt X} without specifying any error structure model. A kernel-based likelihood scoring methods with the help of validation data will be developed to define the estimator of $\beta$. Also, I will develop a semiparametric likelihood method by combining parametric likelihood and empirical likelihood to incorporate auxiliary information for improving inference. 3) In this project, I intend to consider a semiparametric model which parameterizes only the relation of interest, f(y|x,\theta), and allows the marginal distribution G(.) of X to be completely arbitrary. I intend to define the estimator of \theta. We use multiple imputation method to impute missing responses and make inference on \theta by semi-empirical likelihood approaches. 4) Consider the partial linear model with the covariables missing at random and response variables are randomly right censored. A model calibration approach and a weighting approach will be developed to define the estimators of the parametric part and nonparametric part in the partial linear model, respectively. I intend to prove that the estimators for the parametric part are asymptotically normal and the estimators of g(.) convergent to g(.) with an optimal convergent rate. 5) I will develop methods for estimating a survival function and a hazard function with censoring indicators missing at random. e.g., we will define several asymptotically efficient PL estimators. I intend to prove all the estimators to be strong uniformly consistent, weakly converge to a Gaussian process and be asymptotically efficient.

Project Title:	Statistical analysis with missing survival data at random
Investigator(s):	Wang Q
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	09/2006

Abstract:

(1) Missing survival data arises in a number of applied fields such as medical study,biology,public health, epidemiology,clinic trial and so on. Statistical inference tools and approaches for various models and statistical characteristics will be developed under random censorship when some data are missing at random. We consider partial linear models, semiparametric transformation models, proportional hazard models with a partial linear link function when covariables are missing at random. Also, we consider the problem of estimating a survival function, hazard function and parameters in semiparametric transformation models when censoring indicators are missing at random. The project has the following objectives. (2) 1.1) Consider the partial linear model with the covariables missing at random when response variables are censored. A model calibration approach and a weighting approach will be developed to define the estimators of the parametric part and nonparametric part in the partial linear model,respectively. I intend to prove that the estimators for the parametric part are asymptotically normal and the estimators of nonparametric part converge with an optimal convergent rate. It is worth noting that linear or semiparametric partial linear models are useful alternatives to the commonly used Cox model when the proportional hazards assumption is not valid. However, no method is available in the literature for checking the linearity assumption of a linear model with right censored data. The partial linear model is a natural compromise between the linear model and the fully nonparametric model. It allows only some of the predictors to be modeled linearly, with others being modeled nonparametrically. It is a dimension reduction model compared to the fully nonparametric model. In practice, the partially linear model has been applied to many fields such as biometrics, medical study, economics and so on. Hence, the work will be of practical significance.(3)1.2). Semiparametric transformation models will be considered when the covariables are missing at random and the life variables are censored. An inverse probability weighted estimating equation approach will be developed for estimating of regression parameters.The estimation procedure of the survival probability at given covariate level also will be provided. Asymptotic properties for the suggested estimators will be investigated. This includes studying the consistency of the estimators and asymptotic distribution. This class of regression models includes the proportional hazards and proportional odds models as two special examples. The research can be applied to medical study and clinic trails. (4)1.3) Consider the extended proportional hazard models with a partial linear function When some components of covariable are missing at random, I intend to develop some methods for estimating the parameter vector and nonparametric part under random censorship. One of these approaches that I will develop is a local-likelihood score equation method by combining a weighted local partial likelihood and a score approach to define the estimators of the parameter vector and the nonparametric part. I intend to investigate their asymptotic properties including strong consistency and asymptotic normality etc. This model is an important extension of the Cox model and the proportional hazard model considered by Fan and Kong (1997, Ann. Statist.). The proposed procedures for this model can be applied to study of some practical problems such as survival analysis, medical study and biometrics. The work will have a practical impact. (5) 1.4) I will develop methods for estimating a survival function and a hazard function with censoring indicators missing at random. e.g., we will define several asymptotically efficient PL estimators. I intend to prove all the estimators to be strongly uniformly consistent, weakly converge to a Gaussian process and be asymptotically efficient. (6) 1.5) I will develop a calibrated estimation equation approach for estimating the parameters in the semiparametric transformation models with censoring indicators missing at random. I intend to give the asymptotic distribution of the estimators.(7) The project deals with important statistical inference problems in survival analysis when data are missing at random. This work will make original contributions to the foundations, theory development and methodology in survival analysis. If successful, it would have a significant and broad impact on the theory, methodology and application of survival analysis, and would be of great theoretical and practical interest.

List of Research Outputs

Wang Q. and Ng K.W., Asymptotically efficient product-limit estimators with censoring indicators missing at random, Statistica Sinica. 2008, 18: 749-768.

Wang Q. and Sun Z., Estimation in partially linear models with missing responses at random, Journal of Multivariate Analysis. Elsevier, 2007, 98: 1470-1493.

Wang Q., National Distinguished Young Scholars Award, 国家杰出青年基金, National Natural Science Foundation Of China. 国家自然科学基金委, 2007.

Wang Q., Probability Density Estimation with Data Missing at random When Covariables are Present, The Ninth Japan-China Symposium on Statistics,Saparo. 2007.

Wang Q., Probability density estimation with data missing at random when covariables are present, In: , Journal of Statistical Planning and Inference. Elsevier, 2008, 138: 568-587.

Wang Q. and Dai P., Semiparametric model based inference in the presence of missing responses , Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 453: 1-22.

Wang Q. and Xue L., Statistical Inference In Partially-varying Coefficient Single-index Model, In: Department of Statistics and Actuarial Science, The University of Hong Kong, Research Report. HKU, 2008, 456: 1-39.

Researcher : Wong ST

List of Research Outputs

Wong S.T. and Li W.K., A threshold approach for peaks-over-threshold modelling using maximum product of spacings , Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 454: 1-14.

Researcher : Xu Y

List of Research Outputs

Yip P.S.F., Lam K.F., Xu Y., Chau P.H., Xu J., Chang W., Peng Y., Liu Z., Xie X. and Lau E.H.Y., Reconstruction of the Infection Curve for SARS epidemic in Beijing, China using a Back-Projection Method, In: Prof. N. Balakrishnan, Communications in Statistics – Simulation and Computation. Philadelphia, US, Taylor & Francis, 2008, 37: 425-433.

Researcher : Xue L

List of Research Outputs

Wang Q. and Xue L., Statistical Inference In Partially-varying Coefficient Single-index Model, In: Department of Statistics and Actuarial Science, The University of Hong Kong, Research Report. HKU, 2008, 456: 1-39.

Researcher : Yang H

Project Title:	Actuarial Science and Finance Models with Dependent Risks
Investigator(s):	Yang H
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	09/2005

Abstract:

The main objectives of this project are: (1) To study the asymptotic properties of the finite time horizon ruin probability, the distribution of the surplus before and after ruin, the joint distribution of the surplus immediately before and after ruin under our models and heavy tailed claim distributions. 2) Optimal Portfolio Selection under Correlated Asset Price Models. We will investigate the optimal asset allocation policy under correlated asset price models in both discrete and continuous settings. (3) Numerical Results. After obtaining some theoretical results, we would like to compare our results with those in the literature for the classical and various extended models.

Project Title:	Embedded options in insurance products and optimal policies for insurance portfolios under Markovian Regime switching models
Investigator(s):	Yang H, Yin GG
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	01/2007

Abstract:

(1) Pricing of embedded options in insurance products. (2) Optimal strategies for insurance portfolios. (3) Numerical and real data study.

List of Research Outputs

Cheung K.C. and Yang H., Optimal Investment-Consumption Strategy in a Discrete-Time Model with Regime Switching, Discrete and Continuous Dynamical Systems-Series B. US, American Institute of Mathematical Sciences, 2007, 8: 315-332.

Cheung K.C. and Yang H., Ordering of Optimal Portfolio Allocations in a Model with Mixture of Fundamental Risks, Journal of Applied Probability. UK, Applied Probability Trust, 2008, 45: 55-66.

Elliott R.J., Siu T.K. and Yang H., Insurance Claims Modulated by a Hidden Marked Point Process, The 2007 American Control Conference. New York, 2007.

Elliott R.J., Siu T.K. and Yang H., Martingale Representation and Hedging Contingent Claims With Regime Switching, Communications on Stochastic Analysis. US, 2007, 1: 279-292.

Gerber H.U. and Yang H., Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment, North American Actuarial Journal. US, Society of Actuaries, 2007, 11: 159-169.

Kwan K.M. and Yang H., Ruin probability under a threshold insurance risk model, Belgian Actuarial Bulletin. KVBA-ARAB, 2007, 7: 41-49.

Li Z.F., Tan K.S. and Yang H., Multiperiod Optimal Consumption-Investment Strategies with Mortality Risk and Environmental Uncertainty, North American Actuarial Journal. US, Societ of Actuaries, 2008, 12: 47-64.

Siu T.K., Lau J. and Yang H., Ruin Theory Under a Generalized Jump-Diffusion Model with Regime Switching, Applied Mathematical Sciences. HIKARI Ltd, 2008, 2: 1415-1430.

Siu T.K. and Yang H., On Pricing Derivatives under Nonlinear Time Series Models, PAMM. Wiley, 2008, 7: 1050501-1050502.

Siu T.K., Lau J. and Yang H., On valuing participating life insurance contracts with conditional heteroscedasticity, Asia-Pacific Financial Markets. Springer, 2007, 14: 255-275.

Yang H., A Conference on Mathematics of Finance and Related Applications. Hong Kong, 2008.

Yang H., Acta Mathematicae Applicatae Sinica, Associate Editor. 2008.

Yang H., Encyclopedia of Quantitative Finance, Section editor. 2008.

Yang H., IAENG International Journal of Applied Mathematics, Co-editor. 2008.

Yang H., Insurance Mathematics and Economics, Associate Editor. 2008.

Yang H., International Journal on Statistics and Systems, Editorial Board member . 2008.

Yang H., Some Recent Developments in Actuarial Science, In: T.L. Lai, L. Qian and Q. Shao, Asymptotic Theory in Probability and Statistics with Applications. US, 2007, 515-534.

Yang H., Stochastics: An International Journal of Probability and Stochastic Processes. 2008.

Yang H., The 2007 Shanghai-Hong Kong Insurance and Actuarial Forum. Shanghai, 2007.

Zhu J. and Yang H., Ruin theory for a Markovian regime switching model under a threshold dividend strategy, Insurance; Mathematics and Economics. Amaterdam, ELSEVIER, 2008, 42: 311-318.

Researcher : Yip PSF

Project Title:	Estimating population size for capture-recapture experiments with missing data and measurement error
Investigator(s):	Yip PSF
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	09/2005

Abstract:

The main objective of this project is to provide efficient estimation methods for estimating population size in capture-recapture experiments with incomplete information and possibly measurement error on covariates.

List of Research Outputs

Yip P.S.F., Lam K.F., Xu Y., Chau P.H., Xu J., Chang W., Peng Y., Liu Z., Xie X. and Lau E.H.Y., Reconstruction of the Infection Curve for SARS epidemic in Beijing, China using a Back-Projection Method, In: Prof. N. Balakrishnan, Communications in Statistics – Simulation and Computation. Philadelphia, US, Taylor & Francis, 2008, 37: 425-433.

Researcher : Yu PLH

Project Title:	Modeling of ranking data: a decision tree approach
Investigator(s):	Yu PLH
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	11/2005

Abstract:

To develop recursive partitioning algorithms for building binary tree models for ranking data; to develop hybrid decision tree models for ranking data by combining a decision tree model and a classical ranking model.

List of Research Outputs

Cheng X., Yu P.L.H. and Li W.K., On a dynamic mixture GARCH model, Research Report. Department of Statistics and Actuarial Science, HKU, 2007, 455: 1-26.

Fung J.K.W. and Yu P.L.H., Order imbalance and the dynamics of index and futures prices, Journal of Futures Markets. 2007, 27 (12): 1129-1157.

Hui H.C.C., Chiu W.C.K., Yu P.L.H., Cheng K. and Tse H., The effects of service climate and the effective leadership behaviour of supervisors on frontline employee service quality: A multilevel analysis., Journal of Occupational and Organizational Psychology. 2007, 80: 151-172.

Yu P.L.H., Associate Editor, Computational Statistics & Data Analysis. 2008.

Yu P.L.H., Lee H. and Lam K., Best Paper Award, 8th International Business Research Conference. 2008.

Yu P.L.H., Maximum Likelihood Estimation of Factor Analysis: EM or Non-EM?, Croucher Advanced Study Institute: Mathematical & Algorithmic Challenges for Modeling & Analyzing Modern Data Sets. 2008.

Yu P.L.H., Chung K.H., Lin C.K., Chan J.S.K. and Lee C.K., Predicting potential drop-out and future commitment for first time donors based on first one and a half years donation patterns: the case in Hong Kong Chinese donors, Vox Sanguinis. UK, Blackwell-Synergy, 2007, 93(1): 57-63.

Zhao J., Yu P.L.H. and Jiang Q., ML estimation for factor analysis: EM or non-EM? , Statistics and Computing. 2008, 18: 109-123.

Researcher : Yuen KC

Project Title:	Analyses of insurance risk models with dividend payments
Investigator(s):	Yuen KC, Li WK, Ng KW
Department:	Statistics & Actuarial Science
Source(s) of Funding:	Competitive Earmarked Research Grants (CERG)
Start Date:	01/2006

Abstract:

To study several problems including the expection of discounted dividends until possible ruin and the ruin probability (possibly the classical risk model perturbed by diffusion); to investigate the optimal dividend strategy and then study the ruin probability, the deficit at ruin, and the surplus immediately before ruin (possibly the classical risk model with interest on negative surplus); to studty the Gerber-Shiu expected discounted penalty function which embraces some important actuarial quantities such as the ruin probability, the deficit at ruin, and the surplus immediately before ruin(possibly the classical risk model with investment income).

List of Research Outputs

Chen Y., Yuen K.C. and Ng K.W., Asymptotics for ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (presented Yiqing Chen, my PhD student), The 11th International Congress on Insurance: Mathematics and Economics, Piraeus, Greece. 2007.

Guo J., Yuen K.C. and Zhou M., Ruin probabilities in Cox risk models with two dependent classes of business, Acta Mathematica Sinica. Springer, 2007, 23: 1281-1288.

Yuen K.C., A time-series model with constant interest for dependent classes of business, The 11th International Congress on Insurance: Mathematics and Economics, Piraeus, Greece. 2007.

Yuen K.C., Associate Editor, Computational Statistics and Data Analysis. 2007.

Yuen K.C., Computational Statistics and Data Analysis , Associate Editor , 2008.

Yuen K.C., Computational Statistics and Data Analysis , Associate Editor , 2007.

Yuen K.C., On dividend-payment problems for the compound Poisson risk model with interest, A conference on Mathematics of Finance and Related Applications, Hong Kong, China . 2008.

Yuen K.C., Some results on insurance risk models with dividend payments, Shanghai—Hong Kong Insurance and Actuarial Forum, Shanghai, China. 2007.

Zhang Z., Yuen K.C. and Li W.K., A time-series risk model with constant interest for dependent classes of business, Insurance: Mathematics and Economics. The Netherlands, Elsevier, 2007, 41(1): 32-40.

Researcher : Zhao J

List of Research Outputs

Zhao J., Yu P.L.H. and Jiang Q., ML estimation for factor analysis: EM or non-EM? , Statistics and Computing. 2008, 18: 109-123.

Researcher : Zhu J

List of Research Outputs

Zhu J. and Yang H., Ruin theory for a Markovian regime switching model under a threshold dividend strategy, Insurance; Mathematics and Economics. Amaterdam, ELSEVIER, 2008, 42: 311-318.

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