S. C. P. Yam

The Chinese University of Hong Kong. Department of Statistics

Hong Kong

SCHOLARLY PAPERS

12

DOWNLOADS

207

SSRN CITATIONS

10

CROSSREF CITATIONS

11

Scholarly Papers (12)

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 May 2013
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 40 (573,697)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 Jan 2014 Last Revised: 10 Feb 2022
Ka Chun Cheung, Jan Dhaene, Yian Rong and S. C. P. Yam
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 27 (654,147)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

2.

Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising

SIAM Journal on Control and Optimization, Volume 57, Issue 5
Number of pages: 35 Posted: 13 Dec 2019 Last Revised: 18 Mar 2020
University of Texas at Dallas - Naveen Jindal School of Management, University of Texas at Dallas, affiliation not provided to SSRN, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 47 (527,864)
Citation 2

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Stackelberg differential game, Nash differential game, feedback solution, cooperative advertising

3.

Co-op advertising in a dynamic three-echelon supply chain

Kennedy, A. P., S. P. Sethi, C. C. Siu, S. C. P. Yam (2021) ``Co-op advertising in a dynamic three-echelon supply chain. Forthcoming in Production and Operations Management, available at SSRN: https://ssrn.com/abstract=3575061
Number of pages: 53 Posted: 06 May 2020 Last Revised: 19 May 2021
The Chinese University of Hong Kong (CUHK) - Department of Statistics, University of Texas at Dallas - Naveen Jindal School of Management, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics
Downloads 46 (532,378)

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cooperative advertising, sales-advertising dynamics, the Sethi model, differential games, linear and isoelastic demands.

4.

Convex Ordering for Insurance Preferences

Insurance: Mathematics and Economics, 64:409-416
Number of pages: 24 Posted: 23 Apr 2015 Last Revised: 26 Aug 2015
Ka Chun Cheung, Wing Fung Chong and S. C. P. Yam
The University of Hong Kong, Heriot-Watt University - Department of Actuarial Mathematics and Statistics and The Chinese University of Hong Kong. Department of Statistics
Downloads 38 (571,839)
Citation 1

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Convex ordering, Karlin-Novikoff-Stoyan-Taylor crossing conditions, Value-at-Risk, Average Value-at-Risk, Optimal insurance decision problem

5.

A Fourier-Cosine Method for Finite-Time Ruin Probabilities

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 38 Posted: 30 Apr 2021
The Hang Seng University of Hong Kong - Department of Mathematics and Statistics, Southern University of Science and Technology, University of Waterloo - Department of Statistics and Actuarial ScienceGeorgia State University, Southern University of Science and Technology and The Chinese University of Hong Kong. Department of Statistics
Downloads 9 (778,239)

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6.

Production Management with General Demands and Lost Sales

Posted: 04 Apr 2022
University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong (CUHK) - Department of Statistics, Southern University of Science and Technology, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics

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production-inventory system, optimal replenishment rate, lost sales, Lévy subordinator, Fourier-Cosine method

7.

Co-op Advertising and Pricing in Randomly Fluctuating Markets

Posted: 22 Jul 2021 Last Revised: 24 Jan 2022
University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong (CUHK) - Department of Statistics, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics

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Fluctuating market environment, co-op advertising, differential games, Sethi model, feedback Stackelberg equilibrium

8.

The Generalized Sethi Advertising Model

Posted: 17 Sep 2020
The Chinese University of Hong Kong (CUHK) - Department of Statistics, University of Texas at Dallas - Naveen Jindal School of Management, The Chinese University of Hong Kong. Department of Statistics and Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong

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Dynamic Sales-Advertising Model, Sethi Advertising Model, Advertising Policy, Generalized Sethi Model, Integrated Marketing Communications.

9.

A Test for the Equality of Multiple Sharpe Ratios

Journal of Risk, Vol. 16, No. 4, 2014
Number of pages: 20 Posted: 07 Jun 2016
John Wright, S. C. P. Yam and Siu Pang Yung
The Chinese University of Hong Kong, The Chinese University of Hong Kong. Department of Statistics and The University of Hong Kong
Downloads 0 (879,257)
Citation 3
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Sharpe ratios, equality

10.

Calendar Effects and Real Estate Securities

Journal of Real Estate Finance and Economics, Vol. 49, No. 1, 2014
Posted: 19 Jun 2014 Last Revised: 02 Sep 2016
Eddie Hui, John Wright and S. C. P. Yam
Hong Kong Polytechnic University, The Chinese University of Hong Kong and The Chinese University of Hong Kong. Department of Statistics

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Calendar effects; Real estate securities index; Reality check test; Superior predictive test; Market efficiency

11.

Risk‐Minimizing Reinsurance Protection for Multivariate Risks

Journal of Risk and Insurance, Vol. 81, Issue 1, pp. 219-236, 2014
Number of pages: 18 Posted: 15 Feb 2014
K. C. Cheung, K. C. J. Sung and S. C. P. Yam
The University of Hong Kong - Department of Statistics and Actuarial Science, The University of Hong Kong - Department of Statistics and Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 0 (879,257)
Citation 3

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12.

Game Call Options Revisited

Mathematical Finance, Vol. 24, Issue 1, pp. 173-206, 2014
Number of pages: 34 Posted: 13 Dec 2013
S. C. P. Yam, S. P. Yung and W. Zhou
The Chinese University of Hong Kong. Department of Statistics, The University of Hong Kong and The University of Hong Kong
Downloads 0 (879,257)

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Optimal stopping (Dynkin) games, δ‐penalty game call options, American down‐and‐out call options, local time