DEPT OF STATISTICS & ACTUARIAL SCIENCE



Researcher : Cai W

List of Research Outputs

Cai W. and Lee S.M.S., Bootstrap methods for Lasso-type estimators under a moving-parameter framework, 1st Conference of the International Society for Nonparametric Statistics, Chalkidiki, Greece. 2012.


Researcher : Chan WS

Project Title:Living To 100 and Beyond Society of Actuaries International Symposium The Lee-Carter Model for Forecasting Mortality Revisited
Investigator(s):Chan WS
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:01/2005




Researcher : Chen Y

List of Research Outputs

Chen Y., Ng K.W. and Yuen K.C., The maximum of randomly weighted sums with long tails in insurance and finance, Stochastic Analysis and Applications. Taylor & Francis Group, LLC, 2011, 29(6): 1033-1044.


Researcher : Cheng X

List of Research Outputs

Cheng X., Yu P.L.H. and Li W.K., Basket Trading Under Co-integration with the Logistic Mixture Autoregressive Model , Quantitative Finance. UK, Routledge, 2011, 11: 1407-1419.


Researcher : Cheung ECK

Project Title:Joint analysis of ruin-related quantities in insurance risk theory
Investigator(s):Cheung ECK
Department:Statistics & Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:03/2011


List of Research Outputs

Albrecher H., Cheung E.C.K. and Thonhauser S., Randomized observation periods for the compound Poisson risk model: Dividends, ASTIN Bulletin. Peeters, 2011, 41(2): 645-672.
Albrecher H., Cheung E.C.K. and Thonhauser S., Randomized observation periods for the compound Poisson risk model: The discounted penalty function, Scandinavian Actuarial Journal. Taylor & Francis, 2011.
Badescu A.L., Cheung E.C.K. and Rabehasaina L., A two-dimensional risk model with proportional reinsurance, Journal of Applied Probability . Sheffield, Applied Probability Trust, 2011, 48(3): 749-765.
Cheung E.C.K., A two-dimensional risk model with proportional reinsurance, Department of Statistics, Columbia University. 2012.
Cheung E.C.K., Insurance risk theory: An overview, Department of Statistics, University of Seoul. 2012.
Cheung E.C.K., Landriault L. and Badescu A.L., On a generalization of the risk model with Markovian claim arrivals, Stochastic Models. Informaworld, 2011, 27(3): 407-430.
Cheung E.C.K. and Woo J.K., Overview of actuarial science, Department of Statistics, Ewha Womans University. 2011.
Gong L., Badescu A.L. and Cheung E.C.K., Recursive methods for a multi-dimensional risk process with common shocks, Insurance: Mathematics and Economics. Elsevier, 2012, 50(1): 109-120.


Researcher : Cheung KC

Project Title:Portfolio choice under the cumulated prospect theory
Investigator(s):Cheung KC
Department:Statistics & Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:06/2009
Completion Date:12/2011


Project Title:Conditional comonotonicity and its application in actuarial science and financial economics
Investigator(s):Cheung KC
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:10/2009


List of Research Outputs

Cheung K.C., An overview of conditional comonotonicity and its applications, Risk and Decision Analysis. 2012, 3: 67-73.


Researcher : Chung YK

List of Research Outputs

Chung Y.K. and Fung T.W.K., Identifying contributors of two-person DNA mixtures by familial database search, International Journal of Legal Medicine. 2012.


Researcher : Fu J

List of Research Outputs

Fu J. and Yang H., Elasticity approach to asset allocation in discrete time, In: Charles Tapiero, Risk and Decision Analysis. USA, IOS Press, 2012, 3: 139-146.


Researcher : Fung TWK

Project Title:56th Session of the International Statistical Institute (Lisboa 2007) Estimating variance and covariance parameters by generalized estimating equations for credibility models
Investigator(s):Fung TWK
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:08/2007


Project Title:Research Output Prize
Investigator(s):Fung TWK, Hu Y
Department:Statistics & Actuarial Science
Source(s) of Funding:Research Output Prize (in Faculty)
Start Date:12/2009


Project Title:Test for parent-of-origin effects in X-chromosome and association under parent-of-origin effects for quantitative traits in autosomal chromosome
Investigator(s):Fung TWK
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:09/2011


Project Title:International Symposium on Business and Industrial Statistics Estimation of Structural Parameters in Insurance Credibility Context using Linear Mixed Models
Investigator(s):Fung TWK
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:06/2012
Completion Date:06/2012


List of Research Outputs

Chung Y.K. and Fung T.W.K., Identifying contributors of two-person DNA mixtures by familial database search, International Journal of Legal Medicine. 2012.
Qin G., Zhu Z.Y. and Fung T.W.K., Robust estimation of the generalised partial linear model with missing covariates , Journal of Nonparametric Statistics . American Statistical Association and Taylor & Francis, 2012, 24(2): 517-530.
Xia F., Zhou J.Y. and Fung T.W.K., A powerful approach for association analysis incorporating imprinting effects, Bioinformatics. Oxford University Press, 2011, 27(18): 2571-2577.
Zang Y. and Fung T.W.K., Robust Mantel-Haenszel test under genetic model uncertainty allowing for covariates in case-control association studies, Genetic Epidemiology. Wiley Periodicals, Inc., 2011, 35: 695-705.


Researcher : Gerber HU

List of Research Outputs

Yang H., Gerber H.U. and Shiu E.S.W., An elementary approach to discrete models of dividend strategies , Stochastic Analysis and Its Applications to Mathematical Finance, July 4-6, 2011, Beijing (Invited speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Erlang stopping of Brownian motion and valuation of contingent options , 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012 (Oral presentation). 2012.
Yang H., Gerber H.U. and Shiu E.S.W., Valuation of Variable Annuity Guarantees , 2011 China International Conference on Insurance and Risk Management, Beijing, July 24-27, 2011 (Plenary speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing Contingent Exotic Options: a Discounted Density Approach, International Conference on Actuarial Science and Risk Management (ASRM 2012), June 24-27, 2012, Xiamen, China (Invited speaker). 2012.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing T-year Contingent Options , HKU-HKUST-Stanford Conference in Quantitative Finance, Dec. 9 - 10, 2011, Hong Kong (Invited speaker). 2011.


Researcher : Hao F

List of Research Outputs

Hao F. and Yang H., Coherent Risk Measure for Derivatives under Black-Scholes Economy with Regime Switching, In: Don T Johnson, Managerial Finance. Emerald, 2011, 37: 1011-1024.


Researcher : Ip HL

List of Research Outputs

Ip H.L., Li W.K. and Leung K.M.Y., Seemingly unrelated intervention time series model for effectiveness evaluation of large scale environmental remediation, a poster presentation at the International Conference on Deriving Environmental Quality Standards for the Protection of Aquatic Ecosystems (EQSPAE 2011), held at the University of Hong Kong, Hong Kong during 3-7 December. 2011.


Researcher : Koh YB

List of Research Outputs

Koh Y.B. and Yang H., Forecasting the Collapse of Speculative Bubbles: A Markov Regime-Switching Approach (presented by Y.B. Koh, PhD student), The 16th International Congress of Insurance Mathematics and Economics, Hong Kong, June 28-30, 2012.
Koh Y.B. and Yang H., Forecasting the Collapse of Speculative Bubbles:A Bayesian Gibbs-Sampling Approach (presented by Y.B. Koh, PhD student) , 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012.


Researcher : Kwan CW

List of Research Outputs

Leung A.Y.M., Chi I., Kwan C.W. and Lou V.W., Financial Security Source and Trajectories of the Use of Emergency Room Services among Older Residents in Care Facilities in Hong Kong, The Aging and Social Security International Conference. . 2012.
Leung A.Y.M., Chi I..., Kwan C.W. and Lou V.W., Financial security source and trajectories of the use of emergency room services among older residents in care facilities in Hong Kong, Aging and social security - The international experience and China's development. 2012.
Leung A.Y.M., Kwan C.W. and Chi I., Residents with Alzheimer’s Disease in the Care Facilities in Hong Kong: A study on Trajectories of Hospitalization and Emergency Room Service Utilization, The Alzheimer’s Disease Symposium 2012 . 2012.
Leung A.Y.M., Chan S.S.C., Kwan C.W., Leung S.S.K. and Fong D.Y.T., Service learning in medical and nursing training: a randomized controlled trial., Adv Health Sci Educ Theory Pract. 2011.
Lou V.W., Gui S.X., Kwan C.W. and Ting K.F., Caregiver's needs and psychological well-being in Shanghai, China, the GSA's 64th Annual Scientific Meeting, Boston, MA. 2011.
Lou V.W., Chui E.W.T., Leung A.Y.M., Tang K.L., Chi I., Wong Leung E.K.S. and Kwan C.W., Factors affecting long-term care use in Hong Kong, Hong Kong Medical Journal. 2011, 17: 8-12.
Lou V.W., Kwan C.W., Leung A.Y.M. and Chi I., Psychological Distress Among Chinese Adult-Child Caregivers: The Effects of Behavioral and Cognitive Components of Care. , Home Health Care Services Quarterly. 2011, 30: 133-146.
Lou V.W., Chi I.R.I.S., Kwan C.W. and Leung A.Y.M., Trajectories of social engagement and depressive symptoms among long-term care facility residents in Hong Kong, Age and Ageing. 2012.
Lou V.W., Kwan C.W., Chi I. and Leung A.Y.M., Trajectories of social engagement and depressive symptoms in older adults in residential care in Hong Kong, the GSA's 64th Annual Scientific Meeting, Boston, MA. . 2011.
Lou V.W., Chi I., Kwan C.W. and Leung A.Y.M., Trajectories of social engagement and depressive symptoms in older adults in residential care in Hong Kong, The 64th Scientific Meeting of the Gerontological Society of America (GSA). 2011.


Researcher : Lam K.F.

Project Title:Covariate-dependent frailty model with cured proportions
Investigator(s):Lam KF
Department:Statistics & Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:01/2011


List of Research Outputs



Researcher : Lam KF

Project Title:Covariate-dependent frailty model with cured proportions
Investigator(s):Lam KF
Department:Statistics & Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:01/2011


List of Research Outputs

Chen F., Yip P.S.F. and Lam K.F., On the Local Polynomial Estimators of the Counting Process Intensity Function and its Derivatives , Scandinavian Journal of Statistics . Blackwell Publishing Ltd., 2011, 38(4): 631-649.
Hau C.H., Liu Z., Chan L.S., Chiu H.C., Ng T.W., Yung S.P., Tsang K.M., Wong C.W., Chan K.H., Tsing N.K., Chan Y.M., Lau Y.K., Cheung W.S., Han G., Zang W., Ching W.K., Tong P.L., Wong E.L.M., Chan W.K., Lo C.S.C., Lam K.F., Djurisic A., Bevan S.J. and Cheung S.L., Faculty KE Award 2012, Faculty of Science, The University of Hong Kong. 2012.
Lam T.P., Mak K.Y., Goldberg D., Lam K.F. and Sun K.S., Western mental health training for Traditional Chinese Medicine practitioners, Acta Psychiatrica Scandinavica. 2012, Epub ahead of print.
Lam T.P., Goldberg D., Tse E.Y.Y., Lam K.F., Mak K.Y. and Lam W.W., What do primary care doctors get out of a year-long postgraduate course in community psychological medicine?, International Journal of Psychiatry in Medicine. 2011, 42: 133-149.
Ng F.H., Tunggal P., Chu W.M., Lam K.F., Li A., Chan K., Lau Y.K., Kng C., Keung K.K., Kwan A. and Wong B.C.Y., Esomeprazole Compared With Famotidine In The Prevention Of Upper Gastrointestinal Bleeding In Patients With Acute Coronary Syndrome Or Myocardial Infarction, The American Journal of Gastroenterology. Nature Publishing Group, 2012, 107: 389–396.
Tunggal P., Ng F.H., Lam K.F., Chan F.K. and Lau Y.K., Effect Of Esomeprazole Versus Famotidine On Platelet Inhibition By Clopidogrel: A Double-blind, Randomized Trial, American Heart Journal . Elsevier, 2011, 162(5): 870-874.
Wong M.C.M., Lau A.W.H., Lam K.F., McGrath C.P.J. and Lu H.X., Assessing consistency in oral health-related quality of life (OHRQoL) across gender and stability of OHRQoL over time for adolescents using Structural Equation Modeling, Community Dentistry and Oral Epidemiology. 2011, 39: 325-335.
Wong M.C.M., Cheung K.Y., Lam K.F., Leung W.K., Wan C.P., Wong R.M.S. and Corbet E.F., Multilevel modeling for the analysis of longitudinal periodontal data, Journal of Dental Research. 2011, 90 (Spec Iss B): O122 (SEA Division).
Wun Y.T., Lam T.P., Lam K.F. and Sun K.S., The Public's Perspectives on Antibiotics Resistance and Abuse among Chinese in Hong Kong, 19th Wonca Asia Pacific Regional Conference, Jeju, Korea. 2012.


Researcher : Lee SMS

Project Title:A new class of data depths based on goodness-of-fit tests
Investigator(s):Lee SMS
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2009
Completion Date:06/2012


Project Title:A study of bootstrap inference based on LASSO-type estimators in a moving-parameter perspective
Investigator(s):Lee SMS
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2012


List of Research Outputs

Cai W. and Lee S.M.S., Bootstrap methods for Lasso-type estimators under a moving-parameter framework, 1st Conference of the International Society for Nonparametric Statistics, Chalkidiki, Greece. 2012.
Lee S.M.S., Hybrid confidence regions based on data depth, Journal of the Royal Statistical Society Series B. 2012, 74: 91 – 109.
Lok W.S. and Lee S.M.S., A new statistical depth function with applications to multimodal data, Journal of Nonparametric Statistics. 2011, 23: 617-631.
Soleymani M. and Lee S.M.S., A hybrid procedure for density estimation amid model uncertainties, Research Report. Department of Statistics and Actuarial Science, HKU, 2012, 493: 1-36.
Soleymani M. and Lee S.M.S., Sequential Combination of Weighted and Nonparametric Bagging for Classification, Research Report. Department of Statistics and Actuarial Science, HKU, 2012, 495: 1-44.
Wei B. and Lee S.M.S., Second-order accuracy of depth-based bootstrap confidence regions, Journal of Multivariate Analysis. 2011.
Yu Z. and Lee S.M.S., On uniform correctness of bootstrap confidence intervals under M-estimation , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 491: 1-36.


Researcher : Li G

Project Title:Test for non-stationary autoregressive processes with generalized bootstrap approximation.
Investigator(s):Li G
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:07/2010


List of Research Outputs

Li G., Least Absolute Deviation Estimation For Nonstationary Vector Autoregressive Time Series Models With Pure Unit Roots, International Symposium On Business And Industrial Statistics 2012 (ISBIS 2012). 2012.
Li G., Wu J.H. and Li W.K., Least absolute deviation estimation for nonstationary vector autoregressive time series models with pure unit roots , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 488: 1-35.
Li M., Li W.K. and Li G., On mixture memory GARCH models , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 485: 1-35.
Li M., Li G. and Li W.K., Score Tests for Hyperbolic GARCH Models, Journal of Business and Economic Statistics. USA, American Statistical Association, 2011, 29: 579-586.
Wu J.H. and Li G., Moment-based tests for random effects in panel data models , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 487: 1-27.


Researcher : Li J

List of Research Outputs

Li J. and Yuen K.C., A discrete-time risk model with integer-valued ARCH claim-number process (presented by Jiahui Li, MPhil student), The 16th International Congress on Insurance: Mathematics and Economics, Hong Kong . 2012.


Researcher : Li M

List of Research Outputs

Li M., Li W.K. and Li G., On mixture memory GARCH models , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 485: 1-35.
Li M., Li G. and Li W.K., Score Tests for Hyperbolic GARCH Models, Journal of Business and Economic Statistics. USA, American Statistical Association, 2011, 29: 579-586.


Researcher : Li WK

Project Title:Statistical Inference for the Hyberbolic Generalized Conditional Autoregressive Heteroscedastic (HYGARCH) Model and Extensions
Investigator(s):Li WK
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2009
Completion Date:06/2012


Project Title:The buffer process: a new type of threshold time series model
Investigator(s):Li WK, Li G, Yu PLH
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2012


List of Research Outputs

Cheng X., Yu P.L.H. and Li W.K., Basket Trading Under Co-integration with the Logistic Mixture Autoregressive Model , Quantitative Finance. UK, Routledge, 2011, 11: 1407-1419.
Ip H.L., Li W.K. and Leung K.M.Y., Seemingly unrelated intervention time series model for effectiveness evaluation of large scale environmental remediation, a poster presentation at the International Conference on Deriving Environmental Quality Standards for the Protection of Aquatic Ecosystems (EQSPAE 2011), held at the University of Hong Kong, Hong Kong during 3-7 December. 2011.
Li G., Wu J.H. and Li W.K., Least absolute deviation estimation for nonstationary vector autoregressive time series models with pure unit roots , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 488: 1-35.
Li M., Li W.K. and Li G., On mixture memory GARCH models , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 485: 1-35.
Li M., Li G. and Li W.K., Score Tests for Hyperbolic GARCH Models, Journal of Business and Economic Statistics. USA, American Statistical Association, 2011, 29: 579-586.
Lui G.C.S., Li W.K., Leung K.M.Y., Bjorgesater A., Gray J.S. and Lam P.K.S., Deriving field-based sediment quality guidelines from the relationship between species density and contaminant level using a nonparametric empirical Bayesian approach, a poster presentation at the International Conference on Deriving Environmental Quality Standards for the Protection of Aquatic Ecosystems (EQSPAE 2011), held at the University of Hong Kong, Hong Kong during 3-7 December. 2011.
Wang C. and Li W.K., On the Autopersistence Functions and the Autopersistence Graphs of Binary Autoregressive Time Series, Journal of Time Series Analysis. UK, Blackwell Publishing Ltd., 2011, 32: 639-646.
Wang C., Yao J.J. and Li W.K., Threshold Poisson autoregression, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 492: 1-33.
Wat K.P., Li W.K. and Yuen K.C., Applications of time-series models to ruin theory with dependent classes of business (presented by Kam Pui Wat, PhD student), The 58th World Statistics Congress of the International Statistical Institute (ISI), Dublin, Ireland, 2011.
Xu P., Li W.K. and Jayawardena A.W., Noise Level Estimation for a Chaotic Time Series , International Journal of Bifuracation and Chaos. Singapore, World Scientific, 2012, 22: 1250052(1-18).


Researcher : Lo A

List of Research Outputs

Lo A., Award of Excellence by Teaching Assistant 2011-12, Faculty of Science, The University of Hong Kong. 2012.


Researcher : Lok WS

List of Research Outputs

Lok W.S. and Lee S.M.S., A new statistical depth function with applications to multimodal data, Journal of Nonparametric Statistics. 2011, 23: 617-631.


Researcher : Lui GCS

List of Research Outputs

Bao W., Leung K.M.Y. and Lui G.C.S., Mixture toxicities of zinc perithione and copper to sub-tropical marine organisms: implications on deriving environmentally realistic water quality criteria, a poster presentation at the International Conference on Deriving Environmental Quality Standards for the Protection of Aquatic Ecosystems (EQSPAE 2011), held at the University of Hong Kong, Hong Kong during 3-7 December. 2011.
Lau D.C., Lui G.C.S. and Qiu J.W., Effectiveness of a small marine reserve in south China in protecting the harvested sea urchin Anthocidaris crassispina: a mark-and-recapture study, Biological Conservation. 2011, doi:10.1016/j.biocon.2011.07.027.
Lui G.C.S., Li W.K., Leung K.M.Y., Bjorgesater A., Gray J.S. and Lam P.K.S., Deriving field-based sediment quality guidelines from the relationship between species density and contaminant level using a nonparametric empirical Bayesian approach, a poster presentation at the International Conference on Deriving Environmental Quality Standards for the Protection of Aquatic Ecosystems (EQSPAE 2011), held at the University of Hong Kong, Hong Kong during 3-7 December. 2011.


Researcher : Ng KW

Project Title:Compositional Data Analysis Workshop (CoDaWork'03) Compositional Hypotheses of Subcompositional Stability and Specific Perturbation Change and Their Testing
Investigator(s):Ng KW
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:10/2003


Project Title:Further Properties and New Applications for the family of Nested Dirichlet Distributions
Investigator(s):Ng KW, Tian G
Department:Statistics & Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:08/2009


List of Research Outputs

Chen Y., Yuen K.C. and Ng K.W., Precise large deviations of random sums in presence of negative dependence and consistent variation, Methodology and Computing in Applied Probability. 2011, 13(4): 821-833.
Chen Y., Ng K.W. and Yuen K.C., The maximum of randomly weighted sums with long tails in insurance and finance, Stochastic Analysis and Applications. Taylor & Francis Group, LLC, 2011, 29(6): 1033-1044.
Tian G., Ng K.W. and Yu P.L.H., A note on the binomial model with simplex constraints, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55(12): 3381-3385.
Zhu J., Yang H. and Ng K.W., Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment, Communications in Statistics - Theory and Methods . Taylor & Francis Group, LLC, 2011, 40(21): 3917-3934.


Researcher : Shiu ESW

List of Research Outputs

Yang H., Gerber H.U. and Shiu E.S.W., An elementary approach to discrete models of dividend strategies , Stochastic Analysis and Its Applications to Mathematical Finance, July 4-6, 2011, Beijing (Invited speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Erlang stopping of Brownian motion and valuation of contingent options , 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012 (Oral presentation). 2012.
Yang H., Gerber H.U. and Shiu E.S.W., Valuation of Variable Annuity Guarantees , 2011 China International Conference on Insurance and Risk Management, Beijing, July 24-27, 2011 (Plenary speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing Contingent Exotic Options: a Discounted Density Approach, International Conference on Actuarial Science and Risk Management (ASRM 2012), June 24-27, 2012, Xiamen, China (Invited speaker). 2012.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing T-year Contingent Options , HKU-HKUST-Stanford Conference in Quantitative Finance, Dec. 9 - 10, 2011, Hong Kong (Invited speaker). 2011.


Researcher : Siu KTK

List of Research Outputs

Huang X., Song N., Ching W.K., Siu K.T.K. and Yiu C.Y.K., A Real Option Approach to Optimal Inventory Management of Retail Products, [Journal of Industrial and Management Optimization. 2012, 8: 379-389.
Song N., Ching W.K., Siu K.T.K., Tong H. and Yang H., Asset Allocation Under Threshold Autoregressive Models, Applied Stochastic Models in Business and Industry. 2012, 28: 60–72.


Researcher : Soleymani M

List of Research Outputs

Soleymani M. and Lee S.M.S., A hybrid procedure for density estimation amid model uncertainties, Research Report. Department of Statistics and Actuarial Science, HKU, 2012, 493: 1-36.
Soleymani M. and Lee S.M.S., Sequential Combination of Weighted and Nonparametric Bagging for Classification, Research Report. Department of Statistics and Actuarial Science, HKU, 2012, 495: 1-44.


Researcher : Tian G

Project Title:Accelerating the Quadratic Lower-Bound (QLB) Algorithm via Optimizing Shrinkage Parameter
Investigator(s):Tian G
Department:Statistics & Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:04/2010
Completion Date:09/2011


Project Title:New Non-randomized Response Techniques for Surveys with Sensitive Questions in the Epidemiological and Public Health Studies
Investigator(s):Tian G
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:11/2010


Project Title:A New Feature Selection Method for Generalized Linear Models with Correlated Covariates
Investigator(s):Tian G
Department:Statistics & Actuarial Science
Source(s) of Funding:Seed Funding Programme for Basic Research
Start Date:04/2011


Project Title:Variable Selection via Least Absolute Deviation Regression with a Diverging Number of Parameters
Investigator(s):Tian G
Department:Statistics & Actuarial Science
Source(s) of Funding:Small Project Funding
Start Date:03/2012


List of Research Outputs

Tian G., Ng K.W. and Yu P.L.H., A note on the binomial model with simplex constraints, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55(12): 3381-3385.
Tian G., Tang M.L. and Yu J.W., Bayesian estimation and prediction for the power law process with left-truncated data, Journal of Data Science. 2011, 9(3): 445-470.
Tian G., Tang M.L., Liu Z.Q., Tan M. and Tang N.S., Sample size determination for the non-randomised triangular model for sensitive questions in a survey, Statistical Methods in Medicine Research. 2011, 20(3): 159-173.


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


List of Research Outputs

Chan S.K., Li D., Ling S.Q. and Tong H., On conditionally heteroscedastic AR models with thresholds, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 484: 1-46.
Song N., Ching W.K., Siu K.T.K., Tong H. and Yang H., Asset Allocation Under Threshold Autoregressive Models, Applied Stochastic Models in Business and Industry. 2012, 28: 60–72.
Tong H., Discussion of 'An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models' by Battaglia and Protopapa , Research Report. Department of Statistics and Actuarial Science, HKU, 2012, 494: 1-7.


Researcher : Wang C

List of Research Outputs

Wang C. and Li W.K., On the Autopersistence Functions and the Autopersistence Graphs of Binary Autoregressive Time Series, Journal of Time Series Analysis. UK, Blackwell Publishing Ltd., 2011, 32: 639-646.
Wang C., Yao J.J. and Li W.K., Threshold Poisson autoregression, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 492: 1-33.


Researcher : Wat KP

List of Research Outputs

Wat K.P., Li W.K. and Yuen K.C., Applications of time-series models to ruin theory with dependent classes of business (presented by Kam Pui Wat, PhD student), The 58th World Statistics Congress of the International Statistical Institute (ISI), Dublin, Ireland, 2011.


Researcher : Wei B

List of Research Outputs

Wei B. and Lee S.M.S., Second-order accuracy of depth-based bootstrap confidence regions, Journal of Multivariate Analysis. 2011.


Researcher : Xia F

List of Research Outputs

Xia F., Zhou J.Y. and Fung T.W.K., A powerful approach for association analysis incorporating imprinting effects, Bioinformatics. Oxford University Press, 2011, 27(18): 2571-2577.


Researcher : Yang H

Project Title:Option Pricing and ALM in Regime Switching Models
Investigator(s):Yang H
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2010


Project Title:Pricing of barrier options, valuation of related EIAs, and optimal strategies for insurance and financial portfolios
Investigator(s):Yang H
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:01/2012


Project Title:The 2012 International Conference on Actuarial and Financial Mathematics Erlang stopping of Brownian motion and valuation of contingent options
Investigator(s):Yang H
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:03/2012
Completion Date:03/2012


List of Research Outputs

Elliott R.J., Siu T.K. and Yang H., Ruin Theory in a Hidden Markov-Modulated Risk Model, In: Jim Dai, Stochastic Models. Taylor & Francis, 2011, 27: 474-489.
Fu J. and Yang H., Elasticity approach to asset allocation in discrete time, In: Charles Tapiero, Risk and Decision Analysis. USA, IOS Press, 2012, 3: 139-146.
Hao F. and Yang H., Coherent Risk Measure for Derivatives under Black-Scholes Economy with Regime Switching, In: Don T Johnson, Managerial Finance. Emerald, 2011, 37: 1011-1024.
Koh Y.B. and Yang H., Forecasting the Collapse of Speculative Bubbles: A Markov Regime-Switching Approach (presented by Y.B. Koh, PhD student), The 16th International Congress of Insurance Mathematics and Economics, Hong Kong, June 28-30, 2012.
Koh Y.B. and Yang H., Forecasting the Collapse of Speculative Bubbles:A Bayesian Gibbs-Sampling Approach (presented by Y.B. Koh, PhD student) , 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012.
Meng H. and Yang H., Optimal Dividends with Debts and Nonlinear Insurance Risk Processes, 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012.
Qian L., Yang H. and Wang R., Risk-minimizing Hedging Strategies for Unit-linked Life Insurance Contracts in a Regime Switching Levy Model, In: Kungching Chang, Frontiers of Mathematics in China. Springer, 2011, 6: 1185-1202.
Song N., Ching W.K., Siu K.T.K., Tong H. and Yang H., Asset Allocation Under Threshold Autoregressive Models, Applied Stochastic Models in Business and Industry. 2012, 28: 60–72.
Wright J.A., Yam P.S.C. and Yang H., On the probability of completeness for large markets, In: Masayasu Mimura, Japan Journal of Industrial and Applied Mathematics. Springer, 2011, 28: 301-313.
Yang H., Actuarial Education and Actuarial Educators Network, Actuarial Education and Actuarial Educators Network at IAA Fund Seminar in Hong Kong, 9 and 10 May 2012, Hong Kong (Panel Discussion). 2012.
Yang H., Actuarial Education in the Universities, The Role of the Actuary in the Economy and in the Financial Sector, Ulaanbaatar, Mongolia, November 14-15, 2011 (Invited speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., An elementary approach to discrete models of dividend strategies , Stochastic Analysis and Its Applications to Mathematical Finance, July 4-6, 2011, Beijing (Invited speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Erlang stopping of Brownian motion and valuation of contingent options , 2012 International Conference on Actuarial and Financial Mathematics, Chongqing, China, March 16-17, 2012 (Oral presentation). 2012.
Yang H., Exponential stopping Brownian motion, Stochastic Analysis and Its Applications to Mathematical Finance. Beijing, 2011.
Yang H., Journal of Industrial and Management Optimization (JIMO). 2012.
Yang H., Panel Discussion on Actuarial Education and Actuarial Educators Network, 2012.
Yang H., University actuarial science education, The Role of the Actuary in the Economy and in the Financial Sector. Ulaanbaatar, Mongolia, 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Valuation of Variable Annuity Guarantees , 2011 China International Conference on Insurance and Risk Management, Beijing, July 24-27, 2011 (Plenary speaker). 2011.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing Contingent Exotic Options: a Discounted Density Approach, International Conference on Actuarial Science and Risk Management (ASRM 2012), June 24-27, 2012, Xiamen, China (Invited speaker). 2012.
Yang H., Gerber H.U. and Shiu E.S.W., Valuing T-year Contingent Options , HKU-HKUST-Stanford Conference in Quantitative Finance, Dec. 9 - 10, 2011, Hong Kong (Invited speaker). 2011.
Yang H., Valuing T-year contingent options, HKU-HKUST-Stanford Conference in Quantitative Finance. 2011.
Yang H., Valuing contingent options, 2011 China International Conference on Insurance and Risk Management. 2011.
Yang H., Valuing exotic contingent options: a discounted density approach, International Conference on Actuarial Science and Risk Management . 2012.
Yuen F.L. and Yang H., Optimal Asset Allocation: A Worst Scenario Expectation Approach, In: F. Giannessi; D.G. Hull, Journal of Optimization Theory and Applications. Springer, 2012, 153: 794-811.
Yuen F.L. and Yang H., Pricing Options and Equity-Indexed Annuities in a Regime-switching Model by Trinomial Tree Method, In: Nagib C. Callaos, Journal of Systemics, Cybernetics and Informatics. USA, International Institute of Informatics and Cybernetics, 2011, 9: 81-86.
Zhu J., Yang H. and Ng K.W., Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment, Communications in Statistics - Theory and Methods . Taylor & Francis Group, LLC, 2011, 40(21): 3917-3934.


Researcher : Yao JJ

List of Research Outputs

Bai Z.D. and Yao J.J., On sample eigenvalues in a generalized spiked population model, Journal of Multivariate Analysis. 2011, 106: 167-177.
Li W.M., Chen J.Q., Qin Y.L., Yao J.J. and Bai Z.D., Estimation of the population spectral distribution from a large dimensional sample covariance matrix , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 490: 1-19.
Passemier D. and Yao J.J., On the detection of the number of signals with possibly equal strengths in the high-dimensional case , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 489: 1-15.
Truquet L. and Yao J.J., On the quasi-likelihood estimation for random coefficient autoregressions , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 486: 1-23.
Wang C., Yao J.J. and Li W.K., Threshold Poisson autoregression, Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 492: 1-33.
Yao J.J., On estimation of the population spectrum from large dimensional covariance matrices, , Financial Time Series Analysis: High-dimensionality, Non-stationarity and the Financial Crisis, IMS/NUS, Singapore, June 2012. 2012.
Yao J.J. and Truquet L., On the quasi-likelihood estimation for random coefficient autoregressions , Statistics. 2012, 46: 505-521.
Yao J.J. and Passemier D..., On determining the number of spikes in a high-dimensional spiked population model. , Random Matrix: Theory and Applciations. 2012, 1.
Yao J.J., A note on a Marčenko–Pastur type theorem for time series, Statistics & Probability Letters. 2012, 82: 22-28.
Yao J.J., ESAIM: Proceedings, 2012.
Yao J.J., Estimation of the population spectral distribution from a sample covariance matrix, French-China Summer Institute "Random Matrix Theory and Applications in High-dimensional Statistics", July 10-29, 2011, Changchun, China . 2011.


Researcher : Yin G

Project Title:Bayesian Adaptive Designs in Cancer Clinical Trials
Investigator(s):Yin G
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:09/2010


Project Title:The 29th Quality and Productivity Research Conference Censored Quantile Regression with a Cure Fraction
Investigator(s):Yin G
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:06/2012
Completion Date:06/2012


List of Research Outputs

Huo L., Yuan Y. and Yin G., Bayesian Dose Finding for Combined Drugs with Discrete and Continuous Doses , Bayesian Analysis. International Society for Bayesian Analysis, 2012, 7(2): 235-252.
Yin G., Clinical Trial Design: Bayesian and Frequentist Adaptive Methods. Wiley, 2012, 364 pages.
Yin G., MA Y.Y., Liang F. and Yuan Y., Stochastic generalized method of moments, Journal of Computational and Graphical Statistics. ASA, IMS and Interface Foundation of North America, 2011, 1-14.
Yuan Y. and Yin G., Bayesian hybrid dose-finding design in phase I oncology clinical trials , Statistics in Medicine. John Wiley & Sons, 2011, 30(17): 2098-2108.


Researcher : Yip PSF

Project Title:22nd World Congress of the International Association for Suicide Preventation (IASP) Social Burden of Suicide Risk in Hong Kong
Investigator(s):Yip PSF
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:09/2003


Project Title:IBC 2004 XXIInd International Biometric Conference in Parallel with ASC 2004 Australian Statistical Conference A Unification Method of Estimating Population Size via Capture-recapture Experiments
Investigator(s):Yip PSF
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:07/2004


Project Title:XVIII World Congress of the International Association for Suicide Prevention Suicide in Three Chinese Communities: China, Taiwan and Hong Kong
Investigator(s):Yip PSF
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:09/2005


Project Title:HKU Overseas Fellowship Awards 2009-10
Investigator(s):Yip PSF
Department:Soc Work & Social Administration
Source(s) of Funding:HKU Overseas Fellowship Awards
Start Date:09/2009


Project Title:Outstanding Researcher Award 2008-2009
Investigator(s):Yip PSF
Department:Soc Work & Social Administration
Source(s) of Funding:Outstanding Researcher Award
Start Date:12/2009


Project Title:A Comparative Study on Quality of Suicide Prevention Websites in Hong Kong, Taiwan, and Mainland China
Investigator(s):Yip PSF
Department:Soc Work & Social Administration
Source(s) of Funding:Small Project Funding
Start Date:12/2009


Project Title:A study on Suicide Clusters: Hong Kong and Taiwan experiences
Investigator(s):Yip PSF
Department:Soc Work & Social Administration
Source(s) of Funding:General Research Fund (GRF)
Start Date:10/2010


Project Title:A Study on Population Health and Health Economicsfor Hong Kong SAR
Investigator(s):Yip PSF
Department:Soc Work & Social Administration
Source(s) of Funding:Public Policy Research
Start Date:10/2010
Completion Date:09/2012




Researcher : Yu PLH

Project Title:Development of Data Mining Labs using SAS Enterprise Miner Version 5
Investigator(s):Yu PLH
Department:Statistics & Actuarial Science
Source(s) of Funding:Run Run Shaw Research and Teaching Endowment Fund - Teaching Grants
Start Date:06/2007


Project Title:Bilinear Factor Models for 2D Data and their Applications
Investigator(s):Yu PLH
Department:Statistics & Actuarial Science
Source(s) of Funding:General Research Fund (GRF)
Start Date:12/2010


Project Title:58th Congress of International Statistical Institute 2011 Probabilistic Principal Component Analysis for 2D Data
Investigator(s):Yu PLH
Department:Statistics & Actuarial Science
Source(s) of Funding:URC/CRCG - Conference Support for Teaching Staff
Start Date:08/2011
Completion Date:08/2011


List of Research Outputs

Chen C.W.S., Lin S. and Yu P.L.H., Smooth transition quantile capital asset pricing models with heteroscedasticity, Computational Economics. 2012, 40: 19-48.
Cheng X., Yu P.L.H. and Li W.K., Basket Trading Under Co-integration with the Logistic Mixture Autoregressive Model , Quantitative Finance. UK, Routledge, 2011, 11: 1407-1419.
Knapp G..., Xu D... and Yu P.L.H., On some aspects of inference about effect sizes, International Journal of Statistical Sciences. 2011, 11: 59-74.
Tian G., Ng K.W. and Yu P.L.H., A note on the binomial model with simplex constraints, Computational Statistics and Data Analysis. Holland, Elsevier, 2011, 55(12): 3381-3385.
Wang F., Yu P.L.H. and Cheung D.W.L., Complex Stock Trading Strategy Based on Particle Swarm Optimization , IEEE Computational Intelligence for Financial Engineering and Economics (CIFE 2012). 2012.
Yu P.L.H., Associate Editor, Computational Statistics & Data Analysis. 2012.
Zhao J., Yu P.L.H. and Kwok T., Bilinear Probabilistic Principal Component Analysis , IEEE Transactions on Neural Networks and Learning Systems. IEEE, 2012, 23(3): 492-503.


Researcher : Yu Z

List of Research Outputs

Yu Z. and Lee S.M.S., On uniform correctness of bootstrap confidence intervals under M-estimation , Research Report. Department of Statistics and Actuarial Science, HKU, 2011, 491: 1-36.


Researcher : Yuen KC

List of Research Outputs

Chen Y. and Yuen K.C., Precise large deviations of aggregate claims in a time-dependent renewal risk model (presented by Yiqing Chen, first author), The 16th International Congress on Insurance: Mathematics and Economics, Hong Kong. 2012.
Chen Y., Yuen K.C. and Ng K.W., Precise large deviations of random sums in presence of negative dependence and consistent variation, Methodology and Computing in Applied Probability. 2011, 13(4): 821-833.
Chen Y., Ng K.W. and Yuen K.C., The maximum of randomly weighted sums with long tails in insurance and finance, Stochastic Analysis and Applications. Taylor & Francis Group, LLC, 2011, 29(6): 1033-1044.
Li J. and Yuen K.C., A discrete-time risk model with integer-valued ARCH claim-number process (presented by Jiahui Li, MPhil student), The 16th International Congress on Insurance: Mathematics and Economics, Hong Kong . 2012.
Liang Z., Yuen K.C. and Guo J., Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process, Insurance: Mathematics and Economics. Elsevier, 2011, 49: 207-215.
Wat K.P., Li W.K. and Yuen K.C., Applications of time-series models to ruin theory with dependent classes of business (presented by Kam Pui Wat, PhD student), The 58th World Statistics Congress of the International Statistical Institute (ISI), Dublin, Ireland, 2011.
Yin C. and Yuen K.C., Optimality Of the threshold dividend strategy for the compound Poisson model, Statistics and Probability Letters. Elsevier, 2011, 81: 1841-1846.
Yuen K.C., Computational Statistics and Data Analysis, Associate Editor, 2012.
Zhou M. and Yuen K.C., Optimal reinsurance and dividend for a diffusion model with capital injection: variance premium principle, Economic Modelling. Elsevier, 2012, 29(2): 198-207.


Researcher : Zang Y

List of Research Outputs

Zang Y. and Fung T.W.K., Robust Mantel-Haenszel test under genetic model uncertainty allowing for covariates in case-control association studies, Genetic Epidemiology. Wiley Periodicals, Inc., 2011, 35: 695-705.


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