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/ |
12/11/2021
New Publication in Proceedings of the National Academy of Sciences of the United States of America:
Taylor’s Law of Fluctuation Scaling for Semivariances and Higher Moments of Heavy-tailed Data.
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)
Books:
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., 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.
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., 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.
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.
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.
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.
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.
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.
Bensoussan, A., Graber, P. J., and Yam, S. C. P. (2024). Control on Hilbert Spaces and Application to Mean Field Type Control. To appear in Annals of Applied Probability.
Chu, D., Ng, T. H., Yam, S. C. P. Zheng, H. (2024). Mean Field Analysis of Two-Party Governance: Competition versus Cooperation among Leaders. To appear in Automatica.
Han, J., Li, X., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). Production Management with General Demands and Lost Sales. Apppear online in Operations Research.
Please refer to my personal homepage for more publications in refereed journals.
Please refer to my personal homepage for more information on research grants.
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