YAM, Phillip 任尚智
| Position | Professor, Assistant Dean (Education), Co-director of QFRM |
| scpyam [at] cuhk.edu.hk | |
| ORCiD | 0000-0002-4380-0919 |
| Phone Number | 3943 7941 |
| Fax Number | 2603 5188 |
| Address | LSB G19 |
| Homepage | http://www.sta.cuhk.edu.hk/scpy/ |
Academic Background
BSc(Actuarial Sc) (First Class Honors)* and M.Phil. (HKU) (Supervisor: Hailiang Yang)
Part III of Math Tripos, M.A.St with Distinction^,# (Cantab) (Cambridge)
DPhil# (Oxon) (Oxford) (Supervisor: Terry Lyons)
Research Interest
Selected Publication
Books:
- Bensoussan, A., Frehse, J., and Yam, P. (2013). Mean Field Games and Mean Field Type Control Theory (2013). New York: Springer Verlag.
- Chen, Y., Cheung, K. C., and Yam, P. (2024). Financial Data Analytics: with Machine Learning, Optimization and Statistics. Wiley Finance Series; John Wiley & Sons.
Partial list of top-tier journal articles in different fields:
Sung, K. C. J., Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2011). Behavioral Optimal Insurance. Insurance: Mathematics and Economics, 49(3), 418-428.
- Bensoussan, A., Siu, C. C., Yam, S. C. P., and Yang, H. (2014). A Class of Non-zero-sum Stochastic Differential Investment and Reinsurance Games. Automatica, 50(8), 2025-2037.
Bensoussan, A., Wong, K. C., Yam, S. C. P., and Yung, S. P. (2014). Time-consistent Portfolio Selection under Short-selling Prohibition: From Discrete to Continuous Setting. SIAM Journal on Financial Mathematics, 5(1), 153-190.
Cheung, K. C., Sung, K. C. J., Yam, S. C. P., and Yung, S. P. (2014). Optimal Reinsurance under General Law-invariant Risk Measures. Scandinavian Actuarial Journal, 2014(1), 72-91.
- Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2015). Mean Field Stackelberg Games: Aggregation of Delayed Instructions. SIAM Journal on Control and Optimization, 53(4), 2237–2266.
- Bensoussan, A., Frehse, J., and Yam, S. C. P. (2015). The Master Equation in Mean Field Theory. Journal de Mathématiques Pures et Appliquées, 103(6), 1441-1474.
- Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2015). Globally Efficient Non-parametric Inference of Averge Treatment Effects by Empirical Balancing Calibration Weighting. Journal of the Royal Statistical Society: Series B, 78(3), 673-700.
Chau, K. W., Yam, S. C. P., and Yang, H. (2015). Fourier-cosine Method for Gerber–Shiu Functions. Insurance: Mathematics and Economics, 61, 170-180.
- Bensoussan, A., Mertz, L., and Yam, S. C. P. (2016). Non-local Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-plastic Oscillator Excited by a Filtered Noise. SIAM Journal on Mathematical Analysis, 48(4), 2783-2805.
Bensoussan, A., Chau, M. H. M., Lai, Y., and Yam, S. C. P. (2017). Linear Quadratic Mean Field Stackelberg Games with State and Control Delays. SIAM Journal on Control and Optimization, 55(4), 2748-2781.
Wong, K. C., Yam, S. C. P., and Zheng, H. (2017). Utility-Deviation-Risk Portfolio Selection. SIAM Journal on Control and Optimization, 55(3), 2024-2051.
- Chan, K. C. G., Ling, H. K. B., Sit, T., and Yam, S. C. P. (2018). Estimation of a Monotone Density in S-sample Biased Sampling Models. Annals of Statistics, 46(5), 2125-2152.
Bensoussan, A., Chen, S., Chutani, A., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2019). Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising. SIAM Journal on Control and Optimization, 57(5), 3413-3444.
Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2019). A Paradox in Time Consistency in the Mean-variance Problem? Finance and Stochastics, 23(1), 173-207.
- Cheung, K. C., Ling, H. K. B., Tang, Q., Yam, S. C. P., and Yuen, F. L. K., (2019). On Additivity of Tail Comonotonic Risks. Scandinavian Actuarial Journal, 10, 837-866.
- Bensoussan, A., Cass, T., Chau, M. H. M., and Yam, S. C. P. (2020). Mean Field Games with Parametrized Followers. IEEE Transactions on Automatic Control, 65(1), 12-27.
Bensoussan, A., Frehse, J., and Yam, S. C. P. (2021). Systems of Quasilinear Parabolic Equations in R^n and Systems of Quadratic Backward Stochastic Differential Equations. Journal de Mathématiques Pures et Appliquées, 149, 135-185.
- Brown, M., Cohen, J., Tang, C. F., and Yam, S. C. P. (2021). Taylor’s Law of Fluctuation Scaling for Semivariances and Higher Moments of Heavy-tailed Data. Proceedings of the National Academy of Sciences of the United States of America, 118(46): e2108031118.
Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2021). Co-op Advertising in a Dynamic Three-Echelon Supply Chain. Production and Operations Management, 30(11), 3881-3905.
Lee, W. Y. B., Liu, F., Li, X. L., Shi, Y. F. and Yam, S. C. P. (2021). Fourier-cosine Method for Finite-time Ruin Probabilities . Insurance: Mathematics and Economics, 99, 256-267.
- Li, X. L., Shi, Y. F., Yam, S. C. P. and Yang, H. (2021). Fourier-cosine Method for Finite-time Gerber-Shiu Functions. SIAM Journal on Scientific Computing, 43(3), 650-677.
Bensoussan, A., Cheung, K. C., Li, Y. and and Yam, S. C. P. (2022). Inter-temporal Mutual-fund Management. Mathematical Finance, 32(3), 825-877.
- Bensoussan, A., Han, J., Yam, S. C. P. and Zhou, X. (2022). Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm. SIAM Journal on Numerical Analysis, 61(2), 973-994.
- Bensoussan, A., Ma, G. Siu, C. C., and Yam, S. C. P. (2022). Dynamic Mean-variance Problem with Frictions. Finance and Stochastics, 26, 267-300.
- Han, J., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2022). Co-op Advertising in Randomly Fluctuating Markets. Production and Operations Management, 32(6), 1617-1635.
Han, J., and Yam, S. C. P. (2022). A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management. SIAM Journal on Control and Optimization, 60(3), 1193-1222.
- Ma, G. Siu, C. C., Yam, S. C. P., and Zhou, Z. (2023). Dynamic Trading with Markov Liquidity Switching. Automatica, 155: 111556.
Bensoussan, A., Graber, P. J., and Yam, S. C. P. (2024). Control on Hilbert Spaces and Application to Mean Field Type Control. Annals of Applied Probability, 34(4): 4085-4136.
Chu, D., Ng, T. H., Yam, S. C. P. Zheng, H. (2024). Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders. Automatica, 173: 112028.
Han, J., Li, X., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). Production Management with General Demands and Lost Sales. Operations Research, 72(5): 1751-1764.
- Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). The Generalized Sethi Advertising Model. Operations Research, 72(4):1526-1535.
Please refer to my personal homepage for more publications in refereed journals.
Professional Services
- Editor, Insurance: Mathematics and Economics
- Editor, International Journal of Data Science in the Mathematical Sciences
- Associate Editor, Risks — Open Access Risk Management Journal
- Associate Editor, Journal of Industrial & Management Optimization
- Associate Editor, Mathematics (MDPI)
- Associate Editor, IAENG International Journal of Applied Mathematics
Teaching
- Academic Year Term 1
RMSC4002 Financial Data Analytics with Machine Learning
STAT6105 Basic Actuarial Principles and Their Applications - Academic Year Term 2
STAT4012 Statistical Principles of Deep Learning with Business Applications
Honours and Awards
- Distinguished Visiting Scholar at School of Risk and Actuarial Studies, UNSW Sydney, 2025
- Visiting Professor at Naveen Jindal School of Management, the University of Texas at Dallas, 2024-2026
- Silver Medal (2023), 48th International Exhibition of Inventions Geneva, Switzerland
- Visiting Professor at Department of Statistics, the Columbia University in the City of New York, 2016
- International Partnerships Development Programme 2013-14, OAL, The Chinese University of Hong Kong, Hong Kong
- Research fellowship (2010 and 2013), The Hausdorff Institute of Mathematics, University of Bonn, Germany
- Junior research fellowship (2007), The Erwin Schrodinger International Institute for Mathematical Physics, University of Vienna, Austria
- #Scholarships (2002 – 2003, 2004 – 2007), Croucher Foundation, Hong Kong
- ^E. M. Burnett Prize in Mathematics (2003), University of Cambridge, United Kingdom
- *Dean’s Honors Listings (1997 to 1999), The University of Hong Kong, Hong Kong
Research Grants
- (With A. Bensoussan) HKSAR-GRF 14301321 (2021 to 2024). General Theory for Infinite Dimensional Stochastic Control: Mean Field and Some Classical Problems.
- HKSAR-GRF 14300123 (2023 to 2026). Well-posedness of Some Poisson-driven Mean Field Learning Models and their Applications.
- (With T. Long) Germany/Hong Kong Joint Research Scheme G-CUHK411/23 (2024 to 2025). A Robust Data Analytics-based FBSDE Solver for High-dimensional Stochastic Control Problem.
(With X. Geng) HKSAR-GRF 14300025 (2025 to 2028). A Generic Theory for Stochastic Control against Fractional Brownian Motions.
Please refer to my personal homepage for more information on research grants.