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Phillip Yam
Tytuł
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Mean field games and mean field type control theory
A Bensoussan, J Frehse, P Yam
Springer 101, 113, 2013
10092013
Linear-quadratic mean field games
A Bensoussan, KCJ Sung, SCP Yam, SP Yung
Journal of Optimization Theory and Applications 169, 496-529, 2016
3352016
Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting
KCG Chan, SCP Yam, Z Zhang
Journal of the Royal Statistical Society Series B: Statistical Methodology …, 2016
2472016
The master equation in mean field theory
A Bensoussan, J Frehse, SCP Yam
Journal de Mathématiques Pures et Appliquées 103 (6), 1441-1474, 2015
2002015
A class of non-zero-sum stochastic differential investment and reinsurance games
A Bensoussan, CC Siu, SCP Yam, H Yang
Automatica 50 (8), 2025-2037, 2014
1492014
Mean field games with a dominating player
A Bensoussan, MHM Chau, SCP Yam
Applied Mathematics & Optimization 74, 91-128, 2016
1142016
On the interpretation of the master equation
A Bensoussan, J Frehse, SCP Yam
Stochastic Processes and their Applications 127 (7), 2093-2137, 2017
1072017
Optimal reinsurance under general law-invariant risk measures
KC Cheung, KCJ Sung, SCP Yam, SP Yung
Scandinavian Actuarial Journal 2014 (1), 72-91, 2014
1052014
Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
J Wei, KC Wong, SCP Yam, SP Yung
Insurance: Mathematics and Economics 53 (1), 281-291, 2013
892013
Well-posedness of mean-field type forward–backward stochastic differential equations
A Bensoussan, SCP Yam, Z Zhang
Stochastic Processes and their Applications 125 (9), 3327-3354, 2015
782015
Time-consistent portfolio selection under short-selling prohibition: From discrete to continuous setting
A Bensoussan, KC Wong, SCP Yam, SP Yung
SIAM Journal on Financial Mathematics 5 (1), 153-190, 2014
692014
Mean field Stackelberg games: Aggregation of delayed instructions
A Bensoussan, MHM Chau, SCP Yam
SIAM Journal on Control and Optimization 53 (4), 2237-2266, 2015
682015
Oracle, multiple robust and multipurpose calibration in a missing response problem
KCG Chan, SCP Yam
652014
Linear-quadratic mean field Stackelberg games with state and control delays
A Bensoussan, MHM Chau, Y Lai, SCP Yam
SIAM Journal on Control and Optimization 55 (4), 2748-2781, 2017
562017
Behavioral optimal insurance
KCJ Sung, SCP Yam, SP Yung, JH Zhou
Insurance: Mathematics and Economics 49 (3), 418-428, 2011
522011
Control problem on space of random variables and master equation
A Bensoussan, SCP Yam
ESAIM: Control, Optimisation and Calculus of Variations 25, 10, 2019
50*2019
A Test for the Equality of Multiple Sharpe Ratios
SP Wright, J. A., Yam, S. C. P., and Yung
Journal of Risk 16 (4), 2014
502014
Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers
P Chen, SCP Yam
Insurance: Mathematics and Economics 53 (3), 871-883, 2013
452013
Risk-adjusted Bowley reinsurance under distorted probabilities
KC Cheung, SCP Yam, Y Zhang
Insurance: Mathematics and Economics 86, 64-72, 2019
432019
Valuing equity-linked death benefits in a regime-switching framework
CC Siu, SCP Yam, H Yang
ASTIN Bulletin: The Journal of the IAA 45 (2), 355-395, 2015
412015
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