(I) Academic Background

BSc(Actuarial Sc) (1st Class*) and M.Phil. (HKU)
(Supervisor: Hailiang Yang)
MASt with Distinction^,# (Cantab) (Cambridge)
D.Phil.# (Oxon) (Oxford) (Supervisor: Terry Lyons)

(II) Honours and Awards


Visiting Professor (Associate) at the Columbia University in the City of New York, 2016

International Partnerships Development
Programme 201314, 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

(III) Research Interest

Actuarial Science
Applied Mathematics
Mathematical Finance
Probability Theory and Stochastic Analysis
Statistical Theory and Applications

(IV) Research Grants

Competitive Grants in the capacity as Principal Investigator


(With
T. Lyons) HKSARGRF 502408 (2009 to 2011). Application of the
Theory of Rough Paths to Some Issues in Geometry.

(With
Z. M. Ma) HKSARGRF 502909 (2009 to 2012). What is the Right Time
to Sell a Stock?

(With
A. Bensoussan) HKSARGRF 404012 (2013 to 2016).
Advanced Topics in Multivariate Risk Management in Finance and
Insurance.

HKSARGRF 14301015 (2015 to 2018). Advance in Mean Field Theory.

HKSARGRF 14300717 (2017 to 2020). New kinds of Forwardbackward Stochastic Systems with Applications.

Competitive Grants in the capacity as CoInvestigator


(With
A. Bensoussan (P.I.) and
Cedric K. F. Yiu) HKSARGRF 500111 (2012 to 2015). Advanced
Problems in Inventory Theory.

(With A. Bensoussan (P.I.)) HKSARGRF 500113
(2013 to 2016). Mean Field Games and Mean Field Type Control
Theory.

(With A. Bensoussan (P.I.)) HKSARGRF 11303316 (2017 to 2019). Mean Field Control with Partial Information.

NonCompetitive Grants in the capacity as Principal Investigator


(With
T. Lyons) HKPU (APC0D) (2008 to 2010). New Directions in
Computational Finance and Geometry via Rough Path Theory.

CUHK Direct Grant 2060422 (2011 to 2012).
Optimal Insurance Design under Neoclassical Financial Theories.

(With
Gary Chan) CUHK Direct Grant 2060444 (2012 to 2013). Asymptotic
Statistical Analysis in Biostatistics and Finance.

CUHK Direct Grant 4053141 (2015 to 2016). Disappointment "Averse" Risk Management in Insurance.

NonCompetitive Grants in the capacity as CoInvestigator


(With L. K. Li) HKPU (1ZVoH) (2008 to
2009). Periodic Signals for Nonlinear Systems.

(With
Eddie C. M. Hui) HKPU Collaborative Research Grant (GYH96)
(2010 to 2012).

(V) Books

 Bensoussan, A.,
Frehse, J., and Yam, P. (2013).
Mean Field Games and Mean Field Type Control Theory.
New York: Springer.

(VI) Selected Publications in Refereed Journals

Actuarial Science

Insurance and Reinsurance


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), 418428.

Cheung, K. C.,
Liu, F., and Yam, S. C. P. (2012).
Average ValueatRisk Minimizing Reinsurance under Wang's Premium Principle with Constraints.
Astin Bulletin, 42(02), 575600.

Chen, P., and Yam, S. C. P. (2013).
Optimal proportional reinsurance and investment with regimeswitching for mean–variance insurers.
Insurance: Mathematics and Economics, 53(3), 871883.

Cheung, K. C., Sung, K. C. J., and Yam, S. C. P. (2014).
Risk‐Minimizing Reinsurance Protection For Multivariate Risks.
Journal of Risk and Insurance, 81(1), 219236.

Cheung, K. C., Sung, K. C. J., Yam, S. C. P.,
and Yung, S. P. (2014).
Optimal Reinsurance under General Lawinvariant Risk Measures.
Scandinavian Actuarial Journal, 2014(1), 7291.

Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015).
The Optimal Insurance under Disappointment Theories.
Insurance: Mathematics and Economics, 64, 7790.

Siu, C. C., Yam, S. C. P.,
and Yang, H. (2015).
Valuing EquityLinked Death Benefits in a RegimeSwitching Framework.
Astin Bulletin, 45(02), 355395.
Cheung, K. C., Chong, W. F. A., and Yam, S. C. P. (2015).
Convex Ordering for Insurance Preferences.
Insurance: Mathematics and Economics, 64, 409416.

Cheung, K. C.,
Lo, A., and Yam, S. C. P.(2015).
Profit MaximizingRisk Minimizing Reinsurance Policy Provision via Adverse Selection. Submitted.
Siu, C. C., Yam, S. C. P., Yang, H.,
and Zhao, H. (2016).
A class of nonzerosum investment and reinsurance games subject to systematic risks.
Scandinavian Actuarial Journal. Available Online.

Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2017).
Riskadjusted Bowley Reinsurance under Distorted Probabilities. Submitted.

Risk Management and Ruin Theory


Cheung, K. C., Rong, Y., and Yam, S. C. P. (2014).
Borch’s Theorem from the Perspective of Comonotonicity.
Insurance: Mathematics and Economics, 54, 144151.

Chau, K. W., Yam, S. C. P., and Yang, H. (2015).
Fouriercosine Method for Ruin Probabilities.
Journal of Computational and Applied Mathematics, 281, 94106.

Chau, K. W., Yam, S. C. P., and Yang, H. (2015).
Fouriercosine Method for Gerber–Shiu Functions.
Insurance: Mathematics and Economics, 61, 170180.
Cheung, K. C., Chong, W. F. A.,
Elliott, R., and Yam, S. C. P. (2015).
Disappointment Aversion Premium Principle.
ASTIN Bulletin, 45(03), 679702.

Cheung, K. C.,
Dhaene, J., Rong, Y., and Yam, S. C. P. (2015).
A Novel Approach to Solving a General Class of Optimal Allocation Problems. Submitted.

Applied Mathematics

Analysis and PDEs

Lyons, T. J., and Yam, S. C. P. (2006).
On Gauss–Green Theorem and Boundaries of a Class of Hölder Domains.
Journal de Mathématiques Pures et Appliquées, 85(1), 3853.

Bensoussan, A., Mertz, L., and Yam, S. C. P. (2012).
Long Cycle Behavior of the Plastic Deformation of an Elastoperfectlyplastic Oscillator with Noise.
C. R. Acad. Sci. Ser. I, 350(17), 853859.

Cheung, P. L., Ng, T. W., Tsai, J., and Yam, S. C. P. (2014).
HigherOrder, Polar and Sz.Nagy’s Generalized Derivatives of Random Polynomials with Independent and Identically Distributed Zeros on the Unit Circle.
Computational Methods and Function Theory, 15(1), 159186.

JassoFuentes, H., Mertz, L., and Yam, S. C. P. (2014).
Approximate Solutions of a Stochastic Variational Inequality Modeling an Elastoplastic Problem with Noise.
Applied Mathematics Research eXpress, 2014(1), 5273.
Bensoussan, A., Feau, C., Mertz, L., and Yam, S. C. P. (2014).
An Analytical Approach for the Growth Rate of the Variance of the Deformation Related to an ElastoPlastic Oscillator Excited by a White Noise.
Applied Mathematics Research eXpress, 2015(1), 99128.

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), 14411474.

Bensoussan, A., Li, Y., and Yam, S. C. P. (2017).
Backward Stochastic Dynamics in Hilbert Spaces with Subdifferential Operator and Nonlocal Parabolic Variational Inequalities. Appear online in
Stochastic Processes and their Applications.

Bensoussan, A., Mertz, L., and Yam, S. C. P. (2016).
Nonlocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elastoplastic Oscillator Excited by a Filtered Noise.
SIAM Journal on Mathematical Analysis, 48(4), 27832805.

Control Theory and Optimization

Yang, Z., Yam, S. C. P., Li, L. K., and Wang, Y. (2010).
Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown Statedependent Control Direction Matrix.
IEEE Transactions on Automatic Control, 55(7), 17101715.
Yang, Z., Yam, S. C. P., Li, L. K., and Wang, Y. (2011).
Robust Control for Uncertain Nonlinear Systems with State‐dependent Control Direction.
International Journal of Robust and Nonlinear Control, 21(1), 106118.

Bensoussan, A., Sung, K. C. J., and Yam, S. C. P. (2013).
Linear–quadratic Timeinconsistent Mean Field Games.
Dynamic Games and Applications, 3(4), 537552.

Bensoussan, A.,
Siu, C. C., Yam, S. C. P.,
and Yang, H. (2014).
A Class of Nonzerosum Stochastic Differential Investment and Reinsurance Games.
Automatica, 50(8), 20252037.

Bensoussan, A., Sung, K. C. J., Yam, S. C. P.,
and Yung, S. P. (2014).
LinearQuadratic Mean Field Games.
Journal of Optimization Theory and Applications, 169(2), 496529.

Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2015).
Mean Field Games with a Dominating Player.
Applied Mathematics and Optimization, 74(1), 91128.

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., Chau, M. H. M.,
Lai, Y., and Yam, S. C. P. (2017).
Linear Quadratic Mean Field Stackelberg Games with State and Control Delays. To Appear in SIAM Journal on Control and Optimization.
Chau, M. H. M., Lai, Y. and Yam, S. C. P. (2017).
DiscreteTime Mean Field Partially Observable Controlled Systems Subject to Common Noise.
Invited article to appear in the Special Issue on Mean Field Games in Applied Mathematics and Optimization.

Mathematical Finance

Market Structure and Pricing

Yam, S. C. P., and Yang, H. (2006).
On Valuation of Derivative Securities: A Lie Group Analytical Approach.
Applications of Mathematics, 51(1), 4961.
Wright, J. A., Yam, P. S., and Yang, H. (2011).
On the Probability of Completeness for Large Markets.
Japan Journal of Industrial and Applied Mathematics, 28(2), 301313.

Yam, S. C. P., Yung, S. P.,
and Zhou, W. (2014).
Game Call Options Revisited.
Mathematical Finance, 24(1), 173206.

Yam, S. C. P., Zhou, W. (2016).
Optimal Liquidation of Child Limit Orders. Mathematics of Operations Research, 42(2), 546575.

Portfolio Strategy and Risk Management

Yam, S. C. P., Yung, S. P.,
and Zhou, W. (2012).
Optimal Selling Time in Stock Market over a Finite Time Horizon.
Acta Mathematicae Applicatae Sinica, English Series, 28(3), 557570.

Wei, J., Wong, K. C., Yam, S. C. P.,
and Yung, S. P. (2013).
Markowitz’s Mean–variance Asset–liability Management with Regime Switching: A Timeconsistent Approach.
Insurance: Mathematics and Economics, 53(1), 281291.

Yam, S. C. P., Yung, S. P., and Zhou, J. H. (2013).
A Meanvariance Portfolio Selection Problem Subject to a Benchmark Constraint: An Existence Result.
Risk and Decision Analysis, 4(1), 2538.

Bensoussan, A., Wong, K. C., Yam, S. C. P.,
and Yung, S. P. (2014).
Timeconsistent Portfolio Selection under Shortselling Prohibition: From Discrete to Continuous Setting.
SIAM Journal on Financial Mathematics, 5(1), 153190.

Wong, K. C., Yam, S. C. P., and Zheng, H. (2017). UtilityDeviationRisk Portfolio Selection.
SIAM Journal on Control and Optimization, 55(3), 20242051.

Yang, H., Yam, S. C. P.,
and Yuen, F. L. K. (2015).
Optimal Asset Allocation: Risk and Information Uncertainty.
European Journal of Operational Research, 251(2), 554561.
Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2016).
A Paradoxes in Time Consistency in Meanvariance Problem? Submitted.

Cheung, K. C., Ling, H. K. B.,
Tang, Q., Yam, S. C. P., and Yuen, F. L. K., (2017). On Cardinality of Upper Tail Comonotonicity. Submitted.

Probability Theory and Stochastic Analysis

Yam, S. C. P., Yung, S. P.,
and Zhou, W. (2009).
Two Rationales behind The 'Buyandhold or Sellatonce' Strategy.
Journal of Applied Probability, 46(3), 651668.

Yam, S. C. P., Yung, S. P.,
and Zhou, W. (2013).
A Unified "BangBang" Principle with Respect to RInvariant Performance Benchmarks.
SIAM: Theory of Probability & Its Applications, 57(2), 357366.

Bensoussan, A., Yam, S. C. P., and Zhang, Z. (2015).
Wellposedness of Meanfield Type Forward–backward Stochastic Differential Equations.
Stochastic Processes and their Applications, 125(9), 33273354.

Wright, J. A., Yam, S. C. P., and Zhang, Z. (2015).
Enlargement of Filtration on Poisson Space. Submitted.
Bensoussan, A., and Yam, S. C. P. (2016).
Control Problem on Space of Random Variables and Master Equation. Submitted.
Bensoussan, A., Frehse, J., and Yam, S. C. P. (2017).
On the Interpretation of the Master Equation. Stochastic Processes and their Applications, 127(7). 20932137.

Privault, N., Yam, S. C. P., and Zhang, Z. (2017).
Poisson Discretizations of Wiener Functionals and Malliavin Operators with Wasserstein Estimates. Submitted.

Statistical Theory and Applications

Asymptotic Theory


Chan, K. C. G., and Yam, S. C. P. (2014).
Oracle, Multiple Robust and Multipurpose Calibration in a Missing Response Problem.
Statistical Science, 29(3), 380396.

Chan, K. C. G., Yam, S. C. P.,
and Zhang, Z. (2015).
Globally Efficient Nonparametric Inference of Averge Treatment Effects by Empirical Balancing Calibration Weighting.
Journal of the Royal Statistical Society: Series B, 78(3), 673700.

Chan, K. C. G. Liu, F., and Yam, S. C. P. (2015).
A Sharper Rate of Convergence of Generalized Empirical Likelihood Weights for Incorporating Auxiliary Data Information.
Submitted.

Chan, K. C. G., Imai, K.,
Yam, S. C. P., and Zhang, Z. (2015). Efficient Nonparametric Estimation of Causal Mediation Effects. Submitted.

Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2015).
Product Moment Matching for Efficient and Robust Model Inference with General Treatment Regimes. Submitted.

Chan, K. C. G.,
Huang, W., and Yam, S. C. P. (2015). Exponential Weighting Aggregation Penalized Splines. Submitted.

Chan, K. C. G., Ling, H. K. B.,
Sit, T., and Yam, S. C. P. (2017).
Estimation of a Monotone Density in Ssample Biased Sampling Models. To Appear in
Annals of Statistics .

Chan, K. C. G., Lai, Y.,
Yam, S. C. P. and Zhang, Z(2016).
Seminonparametric Inference in Possibly Misspecified Regression Models with Missing Data. Submitted.

Financial Statistics


Chan, N. H., and Yam, S. C. P. (2012).
Higher‐order Asymptotics in Finance.
Wiley Interdisciplinary Reviews: Computational Statistics, 4(6), 571587.

Hui, E. C., Yam, S. C. P., and Chen, S. W. (2012).
ShiryaevZhou Index–a Noble Approach to Benchmarking and Analysis of Real Estate Stocks.
International Journal of Strategic Property Management, 16(2), 158172.

Wong, W. K.,
Wright, J. A., Yam, S. C. P., and Yung, S. P. (2012).
A Mixed Sharpe Ratio.
Risk and Decision Analysis, 3(12),3765.

Hui, E. C. M.,
Wright, J. A., and Yam, S. C. P. (2014).
Calendar Effects and Real Estate Securities.
The Journal of Real Estate Finance and Economics, 49(1), 91115.

Hui, E., Yam, P.,
Wright, J., and Chan, K. (2014).
Shall We Buy and Hold? Evidence from Asian Real Estate Markets.
Journal of Property Investment and Finance, 32(2), 168186.

Hui, E. C., and Yam, S. C. P. (2014).
Can We Beat the "Buyandhold" Strategy? Analysis on European and American Securitized Real Estate Indices.
International Journal of Strategic Property Management, 18(1), 2837.

Wright, J. A., Yam, S. C. P.,
and Yung, S. P. (2014).
A Test for the Equality of Multiple Sharpe Ratios.
The Journal of Risk, 16(4), 3.

Huang, W., Wright, J. A., and Yam, S. C. P. (2016).
Faster Robust Performance Hypothesis Testing for Multiple Sharpe Ratios. Submitted.

(VII) Book Chapters/Proceedings 
 Bensoussan, A., Wong, K. C., and Yam, S. C. P. (2012).
Meanvariance Precommitment Policies Revisited via a Meanfield Technique.
Recent Advances in Financial Engineering 2012, 177198.
 Cheung, P. L., Ng, T. W., and Yam, S. C. P. (2014).
Critical Points of Random Finite Blaschke Products with Independent and Identically Distributed Zeros.
Complex Analysis and Potential Theory with Applications, 9th International Society for Analysis, its Applications and Computation (ISAAC) Congress, Krakow, Poland, in August 2013. Cambridge Scientific Publishers.
 Siu, C. C., Yam, S. C. P., and Zhou, W. (2015).
Callable Stock Loans.
Recent Advances in Financial Engineering 2014,
World Scientific.
Bensoussan, A., Frehse, J.,
Peng, S. and Yam, S. C. P. (2016).
Parabolic Equations with Quadratic Growth in R^n.
A book chapter dedicated to Olivier Pironneau
.

(VIII) Working Papers


Tsai, J., Yam, S. C. P., and Zhou, W. (2011).
Conformal invariance of the exploration path in 2d critical bond percolation in the square lattice.
arXiv preprint arXiv:1112.2017.

Bensoussan, A., Mertz, L., Yam, S. C. P., and Zhang, Z. (2012).
Mean Field Stopping Games.

Wong, K. C., Yam, S. C. P., and Zhou, W. (2012)
Robust Bounds for American Calls with Small Dividend Payments.

Chan, K. C. G., Lai, Y., Yam, S. C. P., and Zhang, Z. (2013).
Global Semiparametric Efficient Weighted Estimating Equation for Missing Data.
Bensoussan, A., Chau, M. H. M.,
Siu, C. C., and Yam, S. C. P. (2014).
Systemic Risk with a Regulator.

Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2014).
Mean Field Stackelberg Games among Heterogeneous Classes.
Chen, P., He, X..Z.,
Siu, C. C., and Yam, S. C. P. (2015).
A Nash Game between Timeinconsistent Insurers.
Chen, P., Yam, S. C. P., and Yao. H. (2015).
Meanvariance Portfolio Selection with Noshorting Constraints and Regimeswitching.
Wong, K. C., Yam, S. C. P. and Zheng, H. (2015).
Convergence of Optimal UtilityRisk Portfolio Values and Policies.
Chau, M. H. M., Lai, Y., Yam, S. C. P., and Zheng, H. (2016).
On One versus Two Party Systems in Governance.
Bensoussan, A.,
Peng, S.,
Yam, S. C. P. and Zhang, Z. (2016).
Stochastic Control on the Space of Random Variables and Second Order Master Equations.

Cheung, K. C., Chong, W. F.,
Sethi, S. P. and Yam, S. C. P. (2016).
Intertemporal Pension Management.

Bensoussan, A.,
Cheung, K. C.,
Li, Y. and and Yam, S. C. P. (2016).
Intertemporal Mutual Fund Management.
Cass, T., Chau, M. H. M and Yam, S. C. P. (2016).
The Pathwise Solutions to BSDEs Driven by Fractional Brownian Motion with Hurst Parameter Greater than 1/2.
Wong, K. C., and Yam, S. C. P. (2017).
Riskadjusted Kelly's Formula.
Lee, W. Y. B., Liu, F., and Yam, S. C. P. (2017).
Fouriercosine Numerical Approximation for Finitetime Ruin Probabilities.

Cheung, K. C., Yam, S. C. P. and Zhang, Y. (2017).
Modelfree Credibility Formula.

Cheung, K. C., Yam, S. C. P. and Yuen, F. L. K. (2017).
Optimal Reinsurance under Adverse Selection.
Wong, K. C., Yam, S. C. P., and Zeng, J. (2017).
MeanRisk Models with Bankruptcy Prohibition.
Bensoussan, A., Chau, M. H. M., and Yam, S. C. P. (2017).
Hilbert Calculus and Mean Field Games.

Chan, K. C. G., Yam, S. C. P., and Zhang, Z. (2017).
Biased Sampling for Cox Proportional Hazard Models.

Chan, L. L., Yam, S. C. P., and Zhang, X. (2017).
Pricing of the Quadratic Variance Swaps: Asymptotic Approximation Approach.

(IX) My Postgraduate Students

Graduated PhD Students

1) Zhou, W. (PhD, HKU (Maths)). Vice President of Equity Derivatives Quantitative Research in JP Morgan Chase & Co.
2) Wright, J. A. (PhD, HKU (Maths)). Faculty member in Department of Statistics, CUHK.
3) Zhang, Z. (PhD, CUHK (Statistics)). Faculty member in Institute of Statistics and Big Data, Renmin University of China.
4) Wong, K. C. (Joint PhD, ICL and HKU(Mathematical Finance)). Faculty member in School of Mathematical Sciences, Dublin City University.
5) Lai, Y. (PhD, CUHK (Statistics)). Researcher in Department of Mathematics and Statistics, University of Calgary.

Graduated MPhil students

1) Liu, F. (MPhil, HKU (Maths)). PhD in University of Waterloo. Faculty member in Central University of Finance and Economics.
2) Wong, K. C. (MPhil, HKU (Maths)). Joint PhD in Mathematical Finance at Imperial College London and The University of Hong Kong. Faculty member in School of Mathematical Sciences, Dublin City University.
3) Chau, M. H. M. (MPhil, CUHK (Risk Management Science)). Pursuing Joint PhD in Mathematical Finance and Stochastic Analysis at Imperial College London and The University of Hong Kong.
4) Chong, W. F. A. (MPhil, CUHK (Risk Management Science)). Pursuing Joint PhD in Actuarial Science and Mathematical Finance at King's College London and The University of Hong Kong.
5) Huang, W. (MPhil, CUHK (Risk Management Science)). Pursuing PhD in Statistics at University of Melbourne.
6) Ling, H. K. B. (MPhil, CUHK (Risk Management Science)). Pursuing PhD in Statistics at Columbia University.
7) Chau, K. W. (MPhil, HKU (Maths)). Pursuing PhD in Numerical Finance at Delft University of Technology.
8) Zhang, X. (CUHK, Risk Management Science).

Current PhD Students

1) Li, Y. (CityU of HK, System Eng. & Eng. Management). Analysis and PDEs.
2) Chau, M. H. M. (Imperial College London, Maths; HKU, Statistics and Actuarial Science). Mathematical finance and stochastic analysis.
3) Wang, M. (CityU of HK, System Eng. & Eng. Management). Mean Field Theory and FBSDEs.

Current MPhil Students

1) Zeng, J. (CUHK, Risk Management Science) . Mathematical finance.
