 
K.C. YUEN

Professor
BSc, MSc, PhD(Calgary); ASA

Office  : 
Rm 231, Run Run Shaw Building 
Email  : 
kcyuen@hku.hk 

Phone  : 
(852) 39171915 
Fax  : 
(852) 28589041 




Major interests are actuarial science and survival
analysis. Research areas include statistical
inference for semiparametric regression models and
analysis of correlated aggregate claims in insurance business.
Shen, X., Ma, C., Yuen, K.C. and Tian, G. (2019). Common risk difference test and interval estimation of risk difference for stratified bilateral correlated data. Statistical Methods in Medical Research, DOI: 10.1177/0962280218781988.
Jiang, X., Yuen, K.C. and Chen, M. (2019). Optimal investment and reinsurance with premium control. Journal of Industrial and Management Optimization, to appear.
Bi, J., Liang, Z. and Yuen, K.C. (2019). Optimal meanvariance investment/reinsurance with common shock in a regimeswitching market. Mathematical Methods of Operations Research, to appear.
Li, J., Yuen, K.C. and Chen, M. (2019). A discretetime risk model with Poisson ARCH claimnumber process. Communications in Statistics – Theory and Methods, DOI: 10.1080/03610926.2019.1594296.
Zhang, C., Liang, Z. and Yuen, K.C. (2019). Optimal dynamic reinsurance with common shock dependence and statedependent risk aversion. International Journal of Financial Engineering, 6(1), 195000445. DOI: 10.1142/S242478631950004X
Liu, Y., Tian, G., Tang, M.L. and Yuen, K.C. (2019). A new multivariate zeroadjusted Poisson model with applications to biomedicine. Biometrical Journal, DOI:10.1002/bimj.201700144.
Tian, G., Ju, D., Yuen, K.C. and Zhang, C. (2018). New EMtype algorithm via stochastic representation for the analysis of truncated normal data with applications in biomedicine. Statistical Methods in Medical Research, 27(8), 24592477.
Han, X., Liang, Z. and Yuen, K.C. (2018). Optimal proportional reinsurance to minimize the probability of drawdown under thinningdependence structure. Scandinavian Actuarial Journal, 2018(10), 863889.
Wang, W.Y., Wu, X., Peng, X.C. and Yuen, K.C. (2018). A note on joint occupation times of spectrally negative Levy risk processes with tax. Statistics and Probability Letters, 140, 1322.
Wei, W., Liang, Z. and Yuen, K.C. (2018). Optimal reinsurance in a compound Poisson risk model with dependence. Journal of Applied Mathematics and Computing, 58, 389412. DOI: 10.1007/s121900171150z.
Wat, K.P., Yuen, K.C., Li, W.K. and Wu, X. (2018). On the compound binomial risk model with delayed claims and randomized dividends. Risks, 6(2), 6, DOI:10.3390/risks6010006.
Liang, Z., Yuen, K.C. and Zhang, C. (2018). Optimal reinsurance and investment in a jumpdiffusion financial market with common shock dependence. Journal of Applied Mathematics and Computing, 56, 637664.
Yang, Y., Yuen, K.C. and Liu J. (2018). Asymptotics for ruin probabilities in Levydriven risk models with heavytailed claims. Journal of Industrial and Management Optimization, 14(1), 231247.
Dong, Y., Yuen, K.C. and Wang, G. (2018). Regimeswitching pure jump processes and applications in the valuation of mortalitylinked products. Communications in Statistics – Theory and Methods, 47(6), 13721391.
Dong, Y., Wang, G. and Yuen, K.C. (2018). Correlated default models driven by a multivariate regimeswitching shot noise process. IMA Journal of Management Mathematics, 29(4), 351375. DOI.org/10.1093/imaman/dpx004.
Zhou, M., Yuen, K.C. and Yin, C. (2017). Optimal investment and premium control in a nonlinear diffusion model. Acta Mathematicae Applicatae Sinica, 33(4), 945958.
Dong, Y., Yuen, K.C. and Wang, G. (2017). Valuation of CDS counterparty risk under a reducedform model with regimeswitching shot noise default intensities. Frontiers of Mathematics in China, 12(5), 10851112.
Yang, Y., Zhang, T. and Yuen, K.C. (2017). Asymptotics for finitetime ruin probability in a dependent discretetime risk model with CMC simulations. Journal of Computational and Applied Mathematics, 321, 143159.
Yuen, K.C., Chen, M. and Wat, K.P. (2017). On the expected penalty functions in a discrete semiMarkov risk model with randomized dividends. Journal of Computational and Applied Mathematics, 311, 239251.
Dong, Y., Yuen, K.C. and Wang, G. (2017). Pricing credit derivatives under a correlated regimeswitching hazard process. Journal of Industrial and Management Optimization, 13, 13951415.
Liang, Z., Bi, J., Yuen, K.C. and Zhang, C. (2016). Optimal meanvariance reinsurance and investment in a jumpdiffusion financial market with common shock dependence. Mathematical Methods of Operations Research, 84(1), 155181.
Yang, Y. and Yuen, K.C. (2016). Finitetime and infinitetime ruin probabilities in a twodimensional delayed renewal risk model with Sarmanov dependent claims. Journal of Mathematical Analysis and Application, 442(2), 600626.
Dong, Y., Yuen, K.C., Wang, G. and Wu, C. (2016). A reducedform model for correlated defaults with regimeswitching shot noise intensities. Methodology and Computing in Applied Probability, 18(3), 459486.
Dong, Y., Wang, G. and Yuen K.C. (2016). A regimeswitching model with jumps and its application to bond pricing and insurance. Stochastics and Dynamics, 16(6), 116, DOI: 10.1142/S0219493716500234.
Liang, Z. and Yuen, K.C. (2016). Optimal dynamic reinsurance with dependent risks: variance premium principle. Scandinavian Actuarial Journal, 2016(1), 1836.
Yang, Y. and Yuen, K.C. (2016). Asymptotics for a discretetime risk model with Gammalike insurance risks. Scandinavian Actuarial Journal, 2016(6), 565579.
Chen, M. and Yuen, K.C. (2016). Optimal dividend and reinsurance in the presence of two reinsurers. Journal of Applied Probability, 53(2), 554571. Corresponding author.
Shen, J., Yuen, K.C. and Liu, C. (2016). Empirical likelihood confidence regions for one or two samples with doubly censored data. Computational Statistics and Data Analysis, 93, 285293.
Yin, C.C., Yuen, K.C. and Shen, Y. (2015). Convexity of ruin probability and optimal dividend strategies for a general Lévy process. The Scientific World Journal, 2015: 354129, DOI:10.1155/2015/354129.
Yuen, K.C., Liang, Z. and Zhou, M. (2015). Optimal proportional reinsurance with common shock dependence. Insurance: Mathematics and Economics, 64(1), 113.
Ding, J., Tian, G.L., and Yuen, K.C. (2015). A new MM algorithm for constrained estimation in the proportional hazards model. Computational Statistics and Data Analysis, 84(1), 13551.
Yin, C.C. and Yuen, K.C. (2015). Optimal dividend problems for a jumpdiffusion model with capital injections and proportional transaction costs. Journal of Industrial and Management Optimization, 11(4), 12471262.
Zhou, M. and Yuen, K.C. (2015). Portfolio selection by minimizing the present value of capital injection costs. ASTIN Bulletin, 45(1), 207238.
Li, L., Yuen, K.C. and Yang, J. (2014). Distorted mix method for constructing copulas with tail dependence. Insurance: Mathematics and Economics, 57, 7789.
Dong, Y., Yuen, K.C. and Wu, C. (2014). A multivariate regimeswitching mean reverting process and its application to the valuation of credit risk. Stochastic Analysis and Applications, 32(4), 687710.
Chen, M., Yuen, K.C. and Guo, Y. (2014). Survival probabilities in a discrete semiMarkov risk model. Applied Mathematics and Computation, 232, 205215.
Dong, Y., Yuen, K.C. and Wu, C. (2014). Unilateral counterparty risk valuation of CDS using a regimeswitching intensity model. Statistics and Probability Letters, 85, 2535.
Dong, Y., Wang, G. and Yuen, K.C. (2014). Bilateral counterparty risk valuation on a CDS with a common shock model. Methodology and Computing in Applied Probability, 16(3), 643673.
Shen, Y., Yin, C. and Yuen, K.C. (2013). Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes. Acta Mathematicae Applicatae Sinica, 29(4), 705716.
Yuen, K.C., Li, J. and Wu, R. (2013). On a discretetime risk model with delayed claims and dividends. Risk and Decision Analysis, 4(1), 316.
Chen, Y. and Yuen, K.C. (2012). Precise large deviations of aggregate claims in a sizedependent renewal risk model. Insurance: Mathematics and Economics, 51(2), 457461.
Liang, Z., Yuen, K.C. and Cheung, K.C. (2012). Optimal reinsuranceinvestment problem in a constant elasticity of variance stock market for jumpdiffusion risk model. Applied Stochastic Models in Business and Industry, 28(6), 585597.
Zhou, M. and Yuen, K.C. (2012). Optimal reinsurance and dividend for a diffusion model with capital injection: variance premium principle. Economic Modelling, 29(2), 198207.
Chen, Y., Yuen, K.C. and Ng, K.W. (2011). Precise large deviations of random sums in presence of negative dependence and consistent variation. Methodology and Computing in Applied Probability, 13, 821833.
Chen, Y., Ng, K.W. and Yuen K.C. (2011). On the Maximum of Randomly Weighted Sums of Longtailed Random Variables in Insurance and Finance, Stochastic Analysis and Applications, 29, 10331044.
Liang, Z., Yuen, K.C. and Guo, J. (2011). Optimal proportional reinsurance and investment in a stock market with OrnsteinUhlenbeck process. Insurance: Mathematics and Economics, 49, 207215.
Yuen, K.C. and Yin, C. (2011). On optimality of the barrier strategy for a general Levy risk process. Mathematical and Computer Modelling, 53, 17001707.
Chen, Y., Yuen, K.C. and Ng, K.W. (2011). Asymptotics for ruin probabilities of a twodimensional renewal risk model with heavytailed claims. Applied Stochastic Models in Business and Industry, 27(2), 290300.
Tang, Q., Wang, G. and Yuen, K.C. (2010). Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Insurance: Mathematics and Economics, 46(2), 362370.
Tian, G.L., Tang, M.L., Yuen, K.C. and Ng, K.W. (2010). Further properties and new applications for the nested Dirichlet distribution. Computational Statistics and Data Analysis, 54(2), 394405.
Chen, Y. and Yuen, K.C. (2009). Sums of pairwise quasiasymptotically independent random variables with consistent variation. Stochastic Models, 25(1), 7689.
Yuen, K.C., Lu, Y. and Wu, R. (2009). The compound Poisson process perturbed by diffusion with a threshold dividend strategy. Applied Stochastic Models in Business and Industry, 25(1), 7393.
Tian, G.L., Yuen, K.C., Tang, M.L. and Tan, M.T. (2008). Bayesian nonrandomized response models for surveys with sensitive questions. Statistics and Its Interface, 2(1), 1325.
Yuen, K.C., Zhou, M. and Guo, J. (2008). On a risk model with debit interest and dividend payments. Statistics and Probability Letters, 78(15), 24262432.
Zhu, C., Yuen, K.C., Sun, J. and Zhao, X. (2008). A nonparametric test for intervalcensored failure time data with unequal censoring. Communications in Statistics  Theory and Methods, 37(12), 18951904.
Wang, Y., He, S., Zhu, L. and Yuen, K.C. (2007). Asymptotics for a censored generalized linear model with unknown link function, Probability Theory and Related Fields, 138(1), 235267.
Zhang, Z., Yuen, K.C. and Li, W.K. (2007). A timeseries model with constant interest for dependent classes of business. Insurance: Mathematics and Economics, 41(1), 3240.
Yuen, K.C., Wang, G. and Li, W.K. (2007). The GerberShiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Insurance: Mathematics and Economics, 40(1), 104112.
Yuen, K.C. and Guo, J. (2006). Some results on the compound Markov binomial models. Scandinavian Actuarial Journal, 2006(3), 129140.
Yuen, K.C., Wang, G. and Wu, R. (2006). On the renewal risk model with stochastic interest. Stochastic Processes and their Applications, 116(10), 14961510.
Yuen, K.C., Shi, J. and Zhu, L. (2006). A ksample test with intervalcensored data. Biometrika, 93(2), 315328.
Zhang, Z., Li, W.K. and Yuen, K.C. (2006). On a mixture GARCH time series model. Journal of Time Series Analysis, 27, 577597.
Yuen, K.C., Guo, J.Y. and Wu, X. (2006). On the first time on ruin in the bivariate compound Poisson model. Insurance: Mathematics and Economics, 38(2), 298308.
Wang, G. and Yuen, K.C. (2005). On a correlated aggregate claims model with thinning dependence. Insurance: Mathematics and Economics, 36(3), 456468.
Yuen, K.C. and Wang, G. (2005). Some ruin problems for a risk process with stochastic interest. North American Actuarial Journal, 9(3), 129142.
Yuen, K.C., Guo, J. and Ng, K.W. (2005). On ultimate ruin in a delayedclaims risk model. Journal of Applied Probability, 42(1), 163174.
Yuen, K.C., Wang, G. and Ng, K.W. (2004). Ruin probabilities for a risk process with stochastic return on investments. Stochastic Processes and Their Applications, 110(2), 259274.
Wu, X. and Yuen, K.C. (2003). A discretetime risk model with interaction between classes of business. Insurance: Mathematics and Economics, 33(1), 117133.
Yuen, K.C., Zhu, L. and Tang, N.Y. (2003). On the mean residual life regression model. Journal of Statistical Planning and Inference, 113, 685698.
Yuen, K.C., Guo, J. and Wu, X. (2002). On a correlated aggregate claims model with Poisson and Erlang risk processes. Insurance: Mathematics and Economics, 31(2), 205214.
Yuen, K.C., Zhu, L. and Zhang, D. (2002). Comparing cumulative incidence functions through resampling methods. Lifetime Data Analysis, 8(4), 401412.
Zhu, L., Yuen, K.C. and N.Y. Tang (2002). Resampling methods for testing a semiparametric random censorship model. Scandinavian Journal of Statistics, 29(1), 111123.
Yuen, K.C., Yang, H. and Chu, K.L. (2001). Estimation in the constant elasticity of variance model. British Actuarial Journal, 7, 275292.
Yuen, K.C., Yang, H. and Chu, K.L. (2001). Premium calculation using ruin probability. Journal of Actuarial Practice, 9, 213227.
Yuen, K.C. and Guo, J. (2001). Ruin probabilities for timecorrelated claims in the compound binomial model. Insurance: Mathematics and Economics, 29(1), 4757.
Yuen, K.C. and Burke, M.D. (1997). A test of fit for a semiparametric additive risk model. Biometrika, 84(3), 631639.
Burke, M.D. and Yuen, K.C. (1995). Goodnessoffit tests for the Cox model via bootstrap method. Journal of Statistical Planning and Inference, 47, 237256.
