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Research InterestsService and Professional ExperiencePublicationsResearch Grants
TopResearch Interests
  1. Derivative Pricing
  2. Risk Management
  3. Actuarial Science
  4. Financial Economics
  5. Operations Research
TopService and Professional Experience
  1. Reviewer for Journals: ASTIN Bulletin, Insurance: Mathematics and Economics, North American Actuarial Journal, Journal of Industrial and Management Optimization, IMA Journal of Management Mathematics and other international journals
  2. Reviewer for Research Grants: Engineering and Physical Sciences Research Council, UK
TopPublications

..........Journal Articles..........

  1. Fung, D. W. H., Lee, W. Y., Yeh, J. J. H., and Yuen, F. L., Friend or Foe: The Divergent Effects of FinTech on Financial Stability, Emerging Markets Review, Vol. 45, Article 100727, 2020.
  2. Cheung, K. C., and Yuen, F. L., On the Uncertainty of VaR of Individual Risk, Journal of Computational and Applied Mathematics, Vol. 367, Article 112468, Mar 2020.
  3. Cheung, K. C., Yam, S. C. P., Yuen, F. L., and Zhang, Y., Concave Distortion Risk Minimizing Reinsurance Design under Adverse Selection, Insurance: Mathematics and Economics, Vol. 91, 155-165, Mar 2020.
  4. Yuen, F. L., Lee, W. Y., and Fung, D. W. H., A Cyclic Approach on Classical Ruin Model, Insurance: Mathematics and Economics, Vol. 91, 104-110, Mar 2020.
  5. Cheung, K. C., Ling, H. K., Tang, Q., Yam, S. C. P., and Yuen, F. L., On Additivity of Tail Comonotonic Risks, Scandinavian Actuarial Journal, Vol. 2019, No. 10, 837-866, Jun 2019.
  6. Cheung, K. C., Yam, S. C. P., and Yuen, F. L., Reinsurance Contract Design with Adverse Selection, Scandinavian Actuarial Journal, Vol. 2019, No. 9, 784-798, May 2019.
  7. Choy, S. K., Yuen, F. L., and Yu, K. W., Fuzzy Bit-plane-dependence Image Segmentation, Signal Processing, Vol. 154, 30-44, Jan. 2019.
  8. Yam, S. C. P., Yang, H. and Yuen, F. L., Optimal Asset Allocation: Risk and Information Uncertainty, European Journal of Operational Research, Vol. 251, No. 2, 554-561, 2016.
  9. Yuen, F. L., Siu, T. K., and Yang, H., Option Valuation by a Self-exciting Threshold Binomial Model, Mathematical and Computer Modelling, Vol. 58, 28-37, July 2013.
  10. Meng, H., Yuen, F. L., Siu, T. K., and Yang, H., Optimal Portfolio in a Continuous-time Self-exciting Threshold Model, Journal of Industrial and Management Optimization, Vol. 9, No. 2, 487-504, April 2013.
  11. Yuen, F. L., and Yang H., Optimal Asset Allocation - A Worst Scenario Expectation Approach, Journal of Optimization Theory and Applications, Vol. 153, No. 3, 2012.
  12. Yuen, F. L., and Yang H., Pricing Options and Equity-indexed Annuities in a Regime-switching Model by Trinomial Tree Method, Journal of Systemics, Cybernetics and Informatics, Vol. 6, No. 9, 81-86, 2011.
  13. Yuen, F. L., and Yang H., Pricing Asian Options and Equity-indexed Annuities with Regime-switching by Trinomial Tree Method, North American Actuarial Journal, Vol. 14, No. 2, 256-272, Apr 2010.
  14. Yuen, F. L., and Yang H., Option Pricing with Regime Switching by Trinomial Tree Method, Journal of Computational and Applied Mathematics, Vol. 233, No. 8, 1821-1833, Feb 2010.
  15. Yuen, F. L., and Yang H., Option Pricing in a Jump-diffusion Model with Regime-switching, ASTIN Bulletin, Vol. 39, No. 2, 515-539, Nov 2009.
 

TopResearch Grants
  1. (UGC/FDS14/P02/16) HK$1,152,383. “On the Uncertainty of Value-at-Risk of Individual Risk,” funded by the University Grants Committee (UGC) 2016/2017. (PI)
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