DEPT OF STATISTICS & ACTUARIAL SCIENCE
| 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 : Cheung KC |
| Project Title: | Theory and applications of tail comonotonicity |
| Investigator(s): | Cheung KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2013 |
| Project Title: | On optimal structures of reinsurance markets |
| Investigator(s): | Cheung KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 11/2016 |
| List of Research Outputs |
| Asimit A.V., Bignozzi V., Cheung K.C., Hu J. and Kim E., Robust and Pareto optimality of insurance contracts, European Journal of Operational Research. Elsevier, 2017, 262: 720-732. |
| Cheung K.C., Associate editor, Insurance: Mathematics and Economics. 2018. |
| Cheung K.C., Dhaene J., RONG Y. and Yam S.C.P., Probabilistic solutions for a class of deterministic optimal allocation problems, Journal of Computational and Applied Mathematics. Elsevier, 2018, 336: 394-407. |
| ZHANG Y., Li X. and Cheung K.C., ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES, ASTIN Bulletin. 2018, 48: 817-839. |
| Researcher : Cheung KCS |
| List of Research Outputs |
| Cheung K.C.S. and Cheung K.Y.T., Recommendation of hashtags in social Twitter network, In: Prof John Wang, International Journal of Data Analysis Techniques and Strategies. Inderscience Publishers, 2017, 9: 222. |
| Researcher : Choi OTK |
| List of Research Outputs |
| Choi O.T.K., Sample Survey Methods at Census & Statistics Department HKSARG, 2018. |
| 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: | Likelihood methods for assessing association and parent-of-origin effects using case-control pedigrees |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2015 |
| Completion Date: | 02/2018 |
| Project Title: | RSS 2017 International Conference; Structural Identification and Variable Selection in High-Dimensional Varying-Coefficient Models |
| Investigator(s): | Fung TWK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 09/2017 |
| Completion Date: | 09/2017 |
| List of Research Outputs |
| Duan X., Fung T.W.K. and Tang N., Bayesian semiparametric reproductive dispersion mixed models for non-normal longitudinal data: estimation and case influence analysis, Journal of Statistical Computation and Simulation. Taylor & Francis Group, 2017, 87: 1925-1939. |
| Fung T.W.K., Associate Editor, Computational Statistics. 2017. |
| Fung T.W.K., YU K., Yang Y. and Zhou J.Y., Efficient Monte Carlo evaluation of resampling-based hypothesis tests with applications to genetic epidemiology, Statistical Methods in Medical Research. SAGE, 2018, 27: 1437-1450. |
| Li J.L., Wang P., Fung T.W.K. and Zhou J.Y., Generalized disequilibrium test for association in qualitative traits incorporating imprinting effects based on extended pedigrees, BMC Genetics. 2017, 18: pp1-12. |
| Lin H., Qin G., Zhang J. and Fung T.W.K., Doubly robust estimation of partially linear models for longitudinal data with dropouts and measurement error in covariates, Statistics. Taylor & Francis Group, 2018, 52: 84-98. |
| YU K., Zhou J.Y. and Fung T.W.K., Detection of Imprinting Effects for Quantitative Traits on X Chromosome Using Nuclear Families with Multiple Daughters, Annals of Human Genetics. John Wiley & Sons, Ltd./University College London, 2017, 81: 147-160. |
| YU K. and Fung T.W.K., Evaluation of parentage testing accuracy of child trafficking cases: Combining the exclusion probability and likelihood ratio approaches, Forensic Science International: Genetics. Elsevier B.V., 2018, 34: 81-87. |
| Yang Q., Fung T.W.K. and Li G., Sample size determination for jointly testing a cause-specific hazard and the all-cause hazard in the presence of competing risks, Statistics in Medicine. John Wiley & Sons, Ltd., 2018, 37: 1389-1401. |
| Zhao H. and Fung T.W.K., Controlling mixed directional false discovery rate in multidimensional decisions with applications to microarray studies, TEST. Springer, 2018, 27: 316-337. |
| Researcher : HAN X |
| List of Research Outputs |
| HAN X., WEI B. and Yang H., INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL, International Journal of Theoretical and Applied Finance. World Scientific, 2018, 21: 1850014. |
| Researcher : Jiang F |
| Project Title: | The independent component approach for estimating heritability |
| Investigator(s): | Jiang F |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research for New Staff |
| Start Date: | 06/2017 |
| Completion Date: | 06/2018 |
| Project Title: | Investigations on the censored quantile regression with time dependent covariates, B-spline measurement error estimation, and reflected non-local priors. |
| Investigator(s): | Jiang F |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Early Career Scheme (ECS) |
| Start Date: | 09/2017 |
| List of Research Outputs |
| Au K.Y., Chen H., Lam W.C., Chong C.O., Lau A., Vardhanabhuti V., Mak K.C., Jiang F., Lam W.Y., Wu F.M., Chan H.N., Ng Y.W., Ng B.F.L., Ziea E.T. and Lao L., Sinew acupuncture for knee osteoarthritis: study protocol for a randomized sham-controlled trial, BMC Complementary and Alternative Medicine. 2018, 18. |
| Researcher : Kwan CW |
| List of Research Outputs |
| Chong A.L.I.C.E. .M...L., Kwan C.W., Lou V.W. and Chi I.R.I.S., Can domestic helpers moderate distress of offspring caregivers of cognitively impaired older adults?, Aging & Mental Health. 2017, 21: 1023-1030. |
| Researcher : LAM CK |
| List of Research Outputs |
| Yin G., LAM C.K. and SHI H., Bayesian randomized clinical trials: from fixed to adaptive design, Contemporary Clinical Trials. Elsevier Inc., 2017, 59: 77-86. |
| Researcher : LI Z |
| List of Research Outputs |
| LI Z. and Yao J.J., Testing for heteroscedasticity in high-dimensional regressions, Econometrics and Statistics. 2018. |
| Researcher : LIU Y |
| List of Research Outputs |
| LIU Y. and Yin G., AVERAGE HOLDING PRICE, Annals of Financial Economics. World Scientific, 2018, 13(1): 1850002. |
| Researcher : Lam KF |
| List of Research Outputs |
| LIU Y., Lam K.F., Wu J.T.K. and Lam T.Y., Geographically weighted temporally correlated logistic regression model, Scientific Reports. 2018, 8(1): 1417. |
| Lam K.F., XU J. and XUE H., Estimation of age effect with change-points on survival of cancer patients, In: Ralph D'Agostino, Simon Day, Els Goetghebeur and Joel Greenhouse, Statistics In Medicine. Wiley, 2018, 37: 1732-1743. |
| Lam K.F., Statistical Advisor, In: Winnie C.W. Chu, Hong Kong Journal of Radiology. 2017. |
| Sun K.S., Lam T.P., Lam K.F. and Lo T.L., Barriers and facilitators for psychiatrists in managing mental health patients in Hong Kong—Impact of Chinese culture and health system, Asia-Pacific Psychiatry. 2018, 10. |
| Sun K.S., Lam T.P., Lam K.F., Lo T.L., Chao D.V.K. and Lam W.W., Enablers to seeking professional help for psychological distress – a study on Chinese primary care attenders, Psychiatry Research. 2018, 264: 9-14. |
| Sun K.S., Lam T.P., Lam K.F., Piterman L., Lo T.L., Chao D.V.K. and Lam W.W., Help-seeking behaviours for psychological distress amongst Chinese patients, PLoS One. 2017. |
| WONG T.S.T., Lam K.F. and ZHAO V.X., Asymptotic Null Distribution Of The Modified Likelihood Ratio Test For Homogeneity In Finite Mixture Models, In: AM Colubi, JC Lee, EJ Kontoghiorghes, Computational Statistics and Data Analysis. Elsevier, 2018, 127: 248-257. |
| WU D., Lam T.P., Lam K.F., Zhou X.D. and Sun K.S., Challenges to healthcare reform in China: profit-oriented medical practices, patients' choice of care and guanxi culture in Zhejiang province, Health Policy and Planning. 2017, 1-7. |
| WU D., Lam T.P., Lam K.F., Zhou X.D. and Sun K.S., Doctors' views of patient expectations of medical care in Zhejiang Province, China, International Journal for Quality in Health Care. 2017, 29: 867-873. |
| WU D., Lam T.P., Lam K.F., Zhou X.D. and Sun K.S., Public views towards community health and hospital-based outpatient services and their utilisation in Zhejiang, China: a mixed methods study, BMJ Open. 2017, 7: e017611. |
| XU J., Lam K.F., Chen F., Milligan P. and Cheung Y.B., Semiparametric estimation of time-varying intervention effects using recurrent event data, Statistics in Medicine. 2017, 36: 2682-2696. |
| Yau T.W.D., Wong M.C.M., Lam K.F. and McGrath C.P.J., Longitudinal measurement invariance and explanatory IRT models for adolescents' oral health-related quality of life, Health and Quality of Life Outcomes. 2018, 16: 60. |
| Researcher : Lee D |
| List of Research Outputs |
| Krupskii P., Joe H., Lee D. and Genton M.G., Extreme-value limit of the convolution of exponential and multivariate normal distributions: Link to the Hüsler–Reiß distribution, Journal of Multivariate Analysis. Elsevier, 2018, 163: 80-95. |
| Lee D. and Joe H., Multivariate extreme value copulas with factor and tree dependence structures, Extremes. Springer, 2018, 21: 147-176. |
| Lee D., Joe H. and Krupskii P., Tail-weighted dependence measures with limit being the tail dependence coefficient, Journal of Nonparametric Statistics. Taylor & Francis, 2018, 30: 262-290. |
| Researcher : Lee SMS |
| Project Title: | Consistent bootstrap procedures for post-model-selection inference under linear regression models |
| Investigator(s): | Lee SMS |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2016 |
| List of Research Outputs |
| Kuffner T.A., Lee S.M.S. and Young G.A., Consistency of a hybrid block bootstrap for distribution and variance estimation for sample quantiles of weakly dependent sequences, Australian & New Zealand Journal of Statistics. 2018, 60: 103-114. |
| Lee S.M.S., Associate Editor, In: A. DasGupta, H. Dette, W.-L. Loh, Journal of Statistical Planning and Inference. 2018. |
| Lee S.M.S., m-Out-of-n Bootstrap, In: N. Balakrishnan, Theodore Colton, Brian Everitt, Walter Piegorsch, Fabrizio Ruggeri, Jozef L. Teugels, Wiley StatsRef: Statistics Reference Online. Chichester, UK, John Wiley & Sons, Ltd, 2017, 1-9. |
| Researcher : Li G |
| Project Title: | Linear double autoregressive time series models and its conditional quantile inference |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 10/2016 |
| Project Title: | Quantile double autoregression |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 05/2017 |
| Project Title: | The 10th International Conference on Computational and Methodological Statistics (CMStatistics 2017) ; Hybrid quantile regression estimation for time series models with conditional heteroscedasticity |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 12/2017 |
| Completion Date: | 12/2017 |
| Project Title: | Estimating conditional quantiles of time series models with conditional heteroscedasticity |
| Investigator(s): | Li G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2018 |
| List of Research Outputs |
| Li G., Associate Editor, Computational Statistics. 2017. |
| ZHENG Y., Li W.K. and Li G., A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models, Biometrika. UK, Biometrika Trust, 2018, 105: 73-89. |
| Researcher : Li WK |
| 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 |
| Project Title: | On the generalized conditional autoregressive Wishart process and its extensions |
| Investigator(s): | Li WK, Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2015 |
| Project Title: | HKU Centennial Distinguished Chinese Scholars Scheme 2015-16 |
| Investigator(s): | Li WK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | HKU Centennial Distinguished Chinese Scholars Scheme |
| Start Date: | 09/2015 |
| Project Title: | Statistical inferences for possibly nonstationary and nonlinear time series models with a hysteretic (buffered) structure |
| Investigator(s): | Li WK, Li G, Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2017 |
| List of Research Outputs |
| SHEN K., Yao J.J. and Li W.K., Forecasting high-dimensional realized volatility matrices using a factor model, Quantitative Finance. 2018, 1-9. |
| SHEN K., Yao J.J. and Li W.K., On the surprising explanatory power of higher realized moments in practice, Statistics and Its Interface. 2018, 11: 153-168. |
| Wat K.P., Yuen K.C., Li W.K. and Wu X., On the compound binomial risk model with delayed claims and randomized dividends, Risks. 2018, 6(1),6: 1-13. |
| Yu P.L.H., Li W.K. and NG F.C., The generalized conditional autoregressive Wishart model for multivariate stochastic volatility, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 513-527. |
| ZHENG Y., Li W.K. and Li G., A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models, Biometrika. UK, Biometrika Trust, 2018, 105: 73-89. |
| Zhu K., Li W.K. and Yu P.L.H., Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 528-542. |
| Researcher : Liu Z |
| List of Research Outputs |
| Brunst K., Tignor N., Just A., Liu Z., Lin X., Hacker M., Bosquet Enlow M., Wright R., Wang P., Baccarelli A. and Wright R., Cumulative lifetime maternal stress and epigenome-wide placental DNA methylation in the PRISM cohort, Epigenetics. 2018, 13: 665-681. |
| Liu Z. and Lin X., Multiple phenotype association tests using summary statistics in genome-wide association studies, Biometrics. 2018, 74: 165-175. |
| Researcher : NG FC |
| List of Research Outputs |
| Yu P.L.H., Li W.K. and NG F.C., The generalized conditional autoregressive Wishart model for multivariate stochastic volatility, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 513-527. |
| 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: | Research Output Prize (Faculty of Science) |
| Investigator(s): | Ng KW |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Research Output Prize (in Faculty) |
| Start Date: | 01/2013 |
| Researcher : RONG Y |
| List of Research Outputs |
| Cheung K.C., Dhaene J., RONG Y. and Yam S.C.P., Probabilistic solutions for a class of deterministic optimal allocation problems, Journal of Computational and Applied Mathematics. Elsevier, 2018, 336: 394-407. |
| Researcher : SHEN K |
| List of Research Outputs |
| SHEN K., Yao J.J. and Li W.K., Forecasting high-dimensional realized volatility matrices using a factor model, Quantitative Finance. 2018, 1-9. |
| SHEN K., Yao J.J. and Li W.K., On the surprising explanatory power of higher realized moments in practice, Statistics and Its Interface. 2018, 11: 153-168. |
| Researcher : SHI H |
| List of Research Outputs |
| SHI H. and Yin G., Boosting conditional logit model, Journal of Choice Modelling. 2018, 26: 48-63. |
| SHI H. and Yin G., Landmark cure rate models with time-dependent covariates, Statistical Methods in Medical Research. SAGE Publications, 2017, 26(5): 2042-2054. |
| SHI H. and Yin G., Two-stage seamless transition design from open-label single-arm to randomized double-arm clinical trials, Statistical Methods in Medical Research. SAGE, 2018, 27: 158-171. |
| Yin G., LAM C.K. and SHI H., Bayesian randomized clinical trials: from fixed to adaptive design, Contemporary Clinical Trials. Elsevier Inc., 2017, 59: 77-86. |
| 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 |
| Researcher : WANG X |
| List of Research Outputs |
| Yu P.L.H., WANG X. and ZHU Y., High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood, Computational Statistics and Data Analysis. Elsevier, 2017, 114: 12-25. |
| Researcher : WEI B |
| List of Research Outputs |
| HAN X., WEI B. and Yang H., INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL, International Journal of Theoretical and Applied Finance. World Scientific, 2018, 21: 1850014. |
| Researcher : Wat KP |
| List of Research Outputs |
| Wat K.P., University Teaching Feedback Award, The University of Hong Kong. 2017. |
| Researcher : Woo JK |
| Project Title: | On the joint analysis of time-dependent multivariate aggregate claims in a Markovian environment |
| Investigator(s): | Woo JK |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | France/Hong Kong Joint Research Scheme - Travel Grants |
| Start Date: | 01/2016 |
| List of Research Outputs |
| Woo J.K., XU R. and Yang H., Gerber–Shiu analysis with two-sided acceptable levels, Journal of Computational and Applied Mathematics. 2017, 321: 185-210. |
| Researcher : XU H |
| List of Research Outputs |
| XU H., Alvo M... and Yu P.L.H., Angle-based models for ranking data, Computational Statistics and Data Analysis. 2018, 121: 113-136. |
| Researcher : XU J |
| List of Research Outputs |
| Lala A., Guo Y., Xu J., Esposito M., Morine K., Karas R., Katz S., Hochman J., Burkhoff D. and Kapur N., Right Ventricular Dysfunction in Acute Myocardial Infarction Complicated by Cardiogenic Shock: A Hemodynamic Analysis of the Should We Emergently Revascularize Occluded Coronaries for Cardiogenic Shock (SHOCK) Trial and Registry, Journal of Cardiac Failure. 2018, 24: 148-156. |
| Lam K.F., XU J. and XUE H., Estimation of age effect with change-points on survival of cancer patients, In: Ralph D'Agostino, Simon Day, Els Goetghebeur and Joel Greenhouse, Statistics In Medicine. Wiley, 2018, 37: 1732-1743. |
| XU J., Lam K.F., Chen F., Milligan P. and Cheung Y.B., Semiparametric estimation of time-varying intervention effects using recurrent event data, Statistics in Medicine. 2017, 36: 2682-2696. |
| Researcher : XU R |
| List of Research Outputs |
| Woo J.K., XU R. and Yang H., Gerber–Shiu analysis with two-sided acceptable levels, Journal of Computational and Applied Mathematics. 2017, 321: 185-210. |
| Researcher : Xu J |
| Project Title: | Nonparametric Maximum Likelihood and Profile Minorization-Maximiation Methods for correlated failure time data |
| Investigator(s): | Xu J |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 01/2017 |
| Project Title: | Effective analysis of population pharmacokinetic data with applications to drug development and optimal treatment strategy discovery |
| Investigator(s): | Xu J |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Translational and Applied Research |
| Start Date: | 01/2018 |
| List of Research Outputs |
| Lala A., Guo Y., Xu J., Esposito M., Morine K., Karas R., Katz S., Hochman J., Burkhoff D. and Kapur N., Right Ventricular Dysfunction in Acute Myocardial Infarction Complicated by Cardiogenic Shock: A Hemodynamic Analysis of the Should We Emergently Revascularize Occluded Coronaries for Cardiogenic Shock (SHOCK) Trial and Registry, Journal of Cardiac Failure. 2018, 24: 148-156. |
| Lam K.F., XU J. and XUE H., Estimation of age effect with change-points on survival of cancer patients, In: Ralph D'Agostino, Simon Day, Els Goetghebeur and Joel Greenhouse, Statistics In Medicine. Wiley, 2018, 37: 1732-1743. |
| XU J., Lam K.F., Chen F., Milligan P. and Cheung Y.B., Semiparametric estimation of time-varying intervention effects using recurrent event data, Statistics in Medicine. 2017, 36: 2682-2696. |
| Researcher : YU K |
| List of Research Outputs |
| Fung T.W.K., YU K., Yang Y. and Zhou J.Y., Efficient Monte Carlo evaluation of resampling-based hypothesis tests with applications to genetic epidemiology, Statistical Methods in Medical Research. SAGE, 2018, 27: 1437-1450. |
| YU K., Zhou J.Y. and Fung T.W.K., Detection of Imprinting Effects for Quantitative Traits on X Chromosome Using Nuclear Families with Multiple Daughters, Annals of Human Genetics. John Wiley & Sons, Ltd./University College London, 2017, 81: 147-160. |
| YU K. and Fung T.W.K., Evaluation of parentage testing accuracy of child trafficking cases: Combining the exclusion probability and likelihood ratio approaches, Forensic Science International: Genetics. Elsevier B.V., 2018, 34: 81-87. |
| Researcher : Yang H |
| Project Title: | 15th Applied Stochastic Models and Data Analysis International Conference (ASMDA 2013); Some results on exponential stopping of Brownian motion and their applications |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 06/2013 |
| Project Title: | Outstanding Researcher Award 2013-14 |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Outstanding Researcher Award |
| Start Date: | 12/2014 |
| Project Title: | 60th ISI World Statistics Congress -ISI2015; Exponential stopping of jump-diffusion processes and applications |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 07/2015 |
| Project Title: | Joint analysis of path-dependent quantities in insurance risk processes |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 07/2016 |
| Project Title: | A study on optimal policies for insurance companies |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2017 |
| Project Title: | Nonparametric and Numerical Methods for Problems in Insurance Risk Models |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 04/2017 |
| Project Title: | Properties of Stopped Random Processes and Their Applications |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 04/2018 |
| Project Title: | International Congress of Actuaries (ICA) 2018; Valuation Of Guaranteed Minimum Death Benefits |
| Investigator(s): | Yang H |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 06/2018 |
| Completion Date: | 06/2018 |
| List of Research Outputs |
| Chen S., Yang H. and Zeng Y., STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE, ASTIN Bulletin. Cambridge University Press, 2018, 48: 413-434. |
| Guo F., Wang D. and Yang H., Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns, Journal of Computational and Applied Mathematics. 2017, 325: 198-221. |
| HAN X., WEI B. and Yang H., INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL, International Journal of Theoretical and Applied Finance. World Scientific, 2018, 21: 1850014. |
| Li D., Zeng Y. and Yang H., Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps, Scandinavian Actuarial Journal. 2018, 2018: 145-171. |
| Meng H., Siu T.K. and Yang H., A note on optimal insurance risk control with multiple reinsurers, Journal of Computational and Applied Mathematics. 2017, 319: 38-42. |
| Siu C.C., Yam S.C.P., Yang H. and Zhao H., A class of nonzero-sum investment and reinsurance games subject to systematic risks, Scandinavian Actuarial Journal. 2017, 2017: 670-707. |
| Woo J.K., XU R. and Yang H., Gerber–Shiu analysis with two-sided acceptable levels, Journal of Computational and Applied Mathematics. 2017, 321: 185-210. |
| Yang H., Associate Editor, Journal of Industrial and Management Optimization (JIMO). 2018. |
| Yang H., Associate Editor, North American Actuarial Journal. 2018. |
| Yang H., Associate Editor, Stochastics: An International Journal of Probability and Stochastic Processes. 2018. |
| Yang H., Editor, Insurance: Mathematics and Economics. 2018. |
| Yang H., Editorial Board Member, Statistical Theory and Related Fields. 2018. |
| Yang H., Series Editor, Book Series of Advances in Statistics, Probability and Actuarial Science. World Scientific, 2018. |
| Yang H., Series Editor, Springer Actuarial Series. 2018. |
| Yang H., Valuing Equity-linked Insurance Products, IMA Workshop on Financial and Economic Applications, Minneapolis, USA, June 11-15, 2018. 2018. |
| Zhang Z., Cheung E.C.K. and Yang H., ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS, ASTIN Bulletin. Cambridge University Press, 2018, 48: 435-477. |
| Researcher : Yao J.J. |
| Project Title: | Test of dependence between a large set and a small set of variables |
| Investigator(s): | Yao JJ |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2015 |
| Project Title: | Heavy-tailed large sample covariance matrices and applications |
| Investigator(s): | Yao JJ |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2017 |
| List of Research Outputs |
| Researcher : Yao JJ |
| Project Title: | Test of dependence between a large set and a small set of variables |
| Investigator(s): | Yao JJ |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2015 |
| Project Title: | Heavy-tailed large sample covariance matrices and applications |
| Investigator(s): | Yao JJ |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2017 |
| List of Research Outputs |
| LI W.M. and Yao J.J., On structure testing for component covariance matrices of a high dimensional mixture, Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2018, 80: 293-318. |
| LI Z. and Yao J.J., Testing for heteroscedasticity in high-dimensional regressions, Econometrics and Statistics. 2018. |
| SHEN K., Yao J.J. and Li W.K., Forecasting high-dimensional realized volatility matrices using a factor model, Quantitative Finance. 2018, 1-9. |
| SHEN K., Yao J.J. and Li W.K., On the surprising explanatory power of higher realized moments in practice, Statistics and Its Interface. 2018, 11: 153-168. |
| Yao J.J., Associate Editor, In: A.M. Colubi, E.J. Kontoghiorghes, B.U. Park, Computational Statistics & Data Analysis. 2018. |
| Yao J.J., Associate Editor, ESAIM: Proceedings. EDP Sciences, 2018. |
| Yao J.J., Associated Editor, Random Matrices: Theory and Applications. World Scientific Publishing, 2018. |
| Yao J.J., Fellow of the Institute of Mathematical Statistics, Institute of Mathematical Statistics. 2018. |
| Yao J.J., Large sample covariance matrices and their application to high-dimensional statistics, Random Matrices and Their Applications Workshop, Kyoto University, May 2018. 2018. |
| Yao J.J., On structure testing for component covariance matrices of a high-dimensional mixture., Joint Statistical Meeting 2017, Baltimore, July 30 - August 4, 2017.. 2017. |
| Researcher : Yin G |
| Project Title: | Robust Detection of Multiple Change-Points with High-dimensional Data |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 07/2016 |
| Project Title: | Matching Survival and Quantile Estimation for Right Censored Data |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 06/2017 |
| Completion Date: | 05/2018 |
| Project Title: | European Meeting of Statisticians; Bayesian Change-Point Detection for Ordinal Data with North Atlantic Tropical Cyclones |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 07/2017 |
| Completion Date: | 07/2017 |
| Project Title: | Metric-based Reinforcement Nearest-Neighbor Tree Partition |
| Investigator(s): | Yin G |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 05/2018 |
| List of Research Outputs |
| Duan X. and Yin G., Ensemble approaches to estimating the population mean with missing response, Scandinavian Journal of Statistics. Wiley Publishing Ltd., 2017, 44: 899-917. |
| LIU Y. and Yin G., AVERAGE HOLDING PRICE, Annals of Financial Economics. World Scientific, 2018, 13(1): 1850002. |
| Lin R. and Yin G., STEIN: A simple toxicity and efficacy interval design for seamless phase I/II clinical trials, Statistics in Medicine. John Wiley & Sons, Ltd., 2017, 36: 4106-4120. |
| Liu Y. and Yin G., Partitioned log-rank tests for the overall homogeneity of hazard rate functions, Lifetime Data Analysis. Springer, 2017, 23(3): 400-425. |
| SHI H. and Yin G., Boosting conditional logit model, Journal of Choice Modelling. 2018, 26: 48-63. |
| SHI H. and Yin G., Landmark cure rate models with time-dependent covariates, Statistical Methods in Medical Research. SAGE Publications, 2017, 26(5): 2042-2054. |
| SHI H. and Yin G., Two-stage seamless transition design from open-label single-arm to randomized double-arm clinical trials, Statistical Methods in Medical Research. SAGE, 2018, 27: 158-171. |
| Yin G., LAM C.K. and SHI H., Bayesian randomized clinical trials: from fixed to adaptive design, Contemporary Clinical Trials. Elsevier Inc., 2017, 59: 77-86. |
| Zhang J., Yin G., Liu Y. and Wu Y., Censored cumulative residual independent screening for ultrahigh-dimensional survival data, Lifetime Data Analysis. 2018, 24: 273-292. |
| Zhao X., Wu Y. and Yin G., Sieve maximum likelihood estimation for a general class of accelerated hazards models with bundled parameters, Bernoulli. ISI/BS, 2017, 23(4B): 3385-3411. |
| 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: | Outstanding Research Student Supervisor Award 2010-11 |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Outstanding Research Student Supervisor Award |
| Start Date: | 12/2011 |
| Project Title: | An Integrated Study of the Population Policy for Hong Kong |
| Investigator(s): | Yip PSF, Cheung PTY, Lam KF, Lum TYS |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Strategic Public Policy Research |
| Start Date: | 03/2013 |
| Project Title: | World Congress for Suicide Prevention IASP; Stigma: A Major Barrier For Suicide Prevention /Suicidal Behaviors In Hong Kong: An Update /A Study On The Mutual Causation Of Suicide Reporting And Suicide Incidences |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 09/2013 |
| Project Title: | A temporal spatial analysis of morbidity and mortality for Hong Kong population |
| Investigator(s): | Yip PSF, Chang S |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 11/2014 |
| Completion Date: | 10/2017 |
| Project Title: | A Study on the demographics of older adults in Hong Kong |
| Investigator(s): | Yip PSF |
| Department: | HKJC Ctr for Suicide Research & Preventn |
| Source(s) of Funding: | The Hong Kong Jockey Club Charities Trust - General Award |
| Start Date: | 04/2015 |
| Project Title: | Assessing the socioeconomic costs of drug abuse in Hong Kong SAR |
| Investigator(s): | Yip PSF, Laidler KA |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Beat Drugs Fund |
| Start Date: | 06/2015 |
| Project Title: | Study on Identifying and Locating Poor Elderly in Hong Kong |
| Investigator(s): | Yip PSF |
| Department: | HKJC Ctr for Suicide Research & Preventn |
| Source(s) of Funding: | Oxfam Hong Kong |
| Start Date: | 07/2016 |
| Project Title: | A Study on Population Dynamics in One Belt One Road: Opportunities and Challenges |
| Investigator(s): | Yip PSF, Kwok CL |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Public Policy Research Funding Scheme |
| Start Date: | 09/2016 |
| Completion Date: | 08/2017 |
| Project Title: | The effect of individual- and neighborhood- socioeconomic status on older adult’s health: a cross-sectional and prospective cohort study in Hong Kong |
| Investigator(s): | Yip PSF, Chan CH, Lum TYS |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2017 |
| Project Title: | Construction of a Population Wellbeing index |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 05/2017 |
| Completion Date: | 04/2018 |
| Project Title: | Connect Vulnerable Youth by Activating Their Social Networks |
| Investigator(s): | Yip PSF, Cheng Q |
| Department: | HKJC Ctr for Suicide Research & Preventn |
| Source(s) of Funding: | Hongkong Bank Foundation General Award |
| Start Date: | 07/2017 |
| Project Title: | 29th IASP World Congress malaysia; "A spatial and temporal analysis of suicides and “hotspots” for suicide prevention" : Hong Kong Experiences |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 07/2017 |
| Completion Date: | 07/2017 |
| Project Title: | Online Crisis Support Service for Youth Project |
| Investigator(s): | Yip PSF, Cheng Q |
| Department: | HKJC Ctr for Suicide Research & Preventn |
| Source(s) of Funding: | The Hong Kong Jockey Club Charities Trust - General Award |
| Start Date: | 09/2017 |
| Project Title: | An early warning system for self harm behavior |
| Investigator(s): | Yip PSF |
| Department: | Soc Work & Social Administration |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 05/2018 |
| 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: | A Unified Framework for Bridging the Gap between Nonparametric and Parametric Inferences based on Ranking Data |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 09/2015 |
| Project Title: | 10th Conference of the IASC-ARS/68th Annual NZSA Conference; Deep Learning High-Dimensional Covariance Matrices |
| Investigator(s): | Yu PLH |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 12/2017 |
| Completion Date: | 12/2017 |
| List of Research Outputs |
| Alvo M., Lai T.L. and Yu P.L.H., Parametric embedding of nonparametric inference problems, Journal of Statistical Theory and Practice. 2018, 12: 151-164. |
| XU H., Alvo M... and Yu P.L.H., Angle-based models for ranking data, Computational Statistics and Data Analysis. 2018, 121: 113-136. |
| Yu P.L.H., Associate Editor, Computational Statistics. 2017. |
| Yu P.L.H., Associate Editor, In: Dr. Chia-Lin Chang and Dr. Michael McAleer, Journal of Health & Medical Economics. 2017. |
| Yu P.L.H., Associate Editor, In: Dr. Michael McAleer, Journal of Informatics and Data Mining. 2017. |
| Yu P.L.H., Associate Editor, Statistics, Optimization and Information Computing. 2017. |
| Yu P.L.H., WANG X. and ZHU Y., High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood, Computational Statistics and Data Analysis. Elsevier, 2017, 114: 12-25. |
| Yu P.L.H., Li W.K. and NG F.C., The generalized conditional autoregressive Wishart model for multivariate stochastic volatility, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 513-527. |
| Zhu K., Li W.K. and Yu P.L.H., Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 528-542. |
| Researcher : Yuen KC |
| Project Title: | On Some Actuarial Problems for Risk Models with Dependence |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2014 |
| Project Title: | Optimality Studies for Contemporary Insurance Models |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | General Research Fund (GRF) |
| Start Date: | 01/2017 |
| Project Title: | Empirical likelihood-based U-structured statistical inference for high-dimensional data |
| Investigator(s): | Yuen KC |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research |
| Start Date: | 06/2018 |
| List of Research Outputs |
| Dong Y., Yuen K.C. and Wang G., Pricing credit derivatives under a correlated regime-switching hazard process, Journal of Industrial and Management Optimization. American Institute of Mathematical Sciences, 2017, 13: 1395-1415. |
| Dong Y., Yuen K.C. and Wang G., Regime-switching pure jump processes and applications in the valuation of mortality-linked products, Communications in Statistics - Theory and Methods. 2018, 47(6): 1372-1391. |
| Dong Y., Yuen K.C. and Wang G., Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities, Frontiers of Mathematics in China. Springer, 2017, 12(5): 1085-1112. |
| Liang Z., Yuen K.C. and Zhang C., Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence, Journal of Applied Mathematics and Computing. 2018, 56: 637-664. |
| Wat K.P., Yuen K.C., Li W.K. and Wu X., On the compound binomial risk model with delayed claims and randomized dividends, Risks. 2018, 6(1),6: 1-13. |
| Yang Y., Zhang T. and Yuen K.C., Asymptotics for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations, Journal of Computational and Applied Mathematics. Elsevier, 2017, 321: 143-159. |
| Yang Y., Yuen K.C. and Liu J., Asymptotics for ruin probabilities in Levy-driven risk models with heavy tails , Journal of Industrial and Management Optimization. 2018, 14(1): 231-247. |
| Yuen K.C., Computational Statistics and Data Analysis, Associate Editor, 2018. |
| Yuen K.C., Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure, The 2nd International Conference on Econometrics and Statistics, The City University of Hong Kong, Hong Kong. 2018. |
| Yuen K.C., Optimal reinsurance with dependent risks, College of Mathematics and Computational Science, Hunan University of Arts and Science, Hunan, China. 2017. |
| Zhou M., Yuen K.C. and Yin C., Optimal investment and premium control in a linear diffusion model, Acta Mathematicae Applicatae Sinica. 2017, 33(4): 945-958. |
| Researcher : ZHANG Y |
| List of Research Outputs |
| ZHANG Y., Li X. and Cheung K.C., ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES, ASTIN Bulletin. 2018, 48: 817-839. |
| Researcher : ZHENG Y |
| List of Research Outputs |
| ZHENG Y., Li W.K. and Li G., A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models, Biometrika. UK, Biometrika Trust, 2018, 105: 73-89. |
| Researcher : ZHU Y |
| List of Research Outputs |
| Yu P.L.H., WANG X. and ZHU Y., High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood, Computational Statistics and Data Analysis. Elsevier, 2017, 114: 12-25. |
| Researcher : Zhu K |
| Project Title: | Model diagnostics checking for nonlinear co-integrating regression |
| Investigator(s): | Zhu K |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | Seed Fund for Basic Research for New Staff |
| Start Date: | 05/2017 |
| Project Title: | ICSA-Canada Chapter 2017 Symposium; On a measure of lack of fit in nonlinear cointegrating regression |
| Investigator(s): | Zhu K |
| Department: | Statistics & Actuarial Science |
| Source(s) of Funding: | URC/CRCG - Conference Support for Teaching Staff |
| Start Date: | 08/2017 |
| List of Research Outputs |
| Li D., Zhang X., Zhu K. and Ling S., The ZD-GARCH model: A new way to study heteroscedasticity, Journal of Econometrics. 2018, 202: 1-17. |
| Zhu K., Li W.K. and Yu P.L.H., Buffered autoregressive models with conditional heteroscedasticity: An application to exchange rates, Journal of Business and Economic Statistics. Taylor & Francis, 2017, 35 (4): 528-542. |