YAM, Phillip 任尚智

Position	Professor, Assistant Dean (Education), Co-director of QFRM
Email	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

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

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. To appear in 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. 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.
Kennedy, A. P., Sethi, S. P., Siu, C. C., and Yam, S. C. P. (2024). The Generalized Sethi Advertising Model. Appear online in Operations Research.

Please refer to my personal homepage for more publications in refereed journals.

Professional Services

Associate Editor, Risks — Open Access Risk Management Journal
Associate Editor, Journal of Industrial & Management Optimization
Associate Editor, Insurance: Mathematics and Economics
Associate Editor, Mathematics (MDPI)
Associate Editor, IAENG International Journal of Applied Mathematics
Editor, International Journal of Data Science in the Mathematical Sciences

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

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.

Please refer to my personal homepage for more information on research grants.