| 以文本方式查看主题 - SCI论坛 (http://artsoncqu.eicp.top/scibbs/index.asp) -- 统计与精算 (http://artsoncqu.eicp.top/scibbs/list.asp?boardid=9) ---- 杨虎教授 (http://artsoncqu.eicp.top/scibbs/dispbbs.asp?boardid=9&id=3938) |
| -- 作者：sciadmin -- 发布时间：2004/9/29 7:41:15 -- 杨虎教授 简介 重庆大学二级教授、博士生导师，1983年毕业于四川大学数学系，1986-1987在中国科技大学研究生院数理统计研究生班学习，导师王松桂教授，92年获得云南大学基础数学硕士学位，导师王学仁教授，92年破格由助教直接晋升副教授、95年破格晋升教授，03年获得重庆大学计算机博士学位，导师程代杰教授，现为大学生数学建模竞赛全国组委会委员，教育部统计学专业教学指导分委员会成员，中国现场统计研究会副理事长，全国大学生数学竞赛委员会委员，中国工业与应用数学学会常务理事，重庆市工业与应用数学学会理事长，中国统计学会常务理事，中国数学会理事，中国教育统计学会理事，曾担任重庆大学数理学院院长（2002-2010），重庆大学数学与统计学院院长（2010-2011），重庆市科技青年联合会副主席（2003-2008），大学生数学建模竞赛重庆赛区主任（2006-2008）。2002年香港大学高级访问学者、2005年美国NotreDame大学访问教授、2006年新加坡国立大学高级访问学者、先后还访问了普林斯顿大学、芝加哥大学、西北大学、明尼苏达大学、澳大利亚国立大学、昆士兰大学、台 湾淡江大学、辅仁大学等高校。 主要从事参数估计与统计计算、矩阵与数值代数、随机精算模型、统计诊断、金融统计、非参数统计等方面的研究工作，主持承担了国家自然科学基金、交通部、国家统计局和国家移民局、重庆市科委等资助的科研项目20余项，曾参与美国第三世界科学院科学基金资助的项目研究。88年建立了迹商类广义Kontorovich不等式，完满地解决了估计误差理论中的均方误差比效率的界问题，94年建立了匹特曼准则下线性估计的比较，96年运用正则化方法解释了有偏估计的数值稳定性等，本世纪以来除了传统的优势方向外，研究领域拓展到金融统计、数据挖掘、精算数学、非参数统计等方面，已在国内外正式发表学术论文170余篇，被SSCI收录13篇，SCI收录70余篇。曾担任AMSE\'93国际学术会议分会场主席、中国科协首届学术年会大中企业改革发展分会场副主席、中国科协第四届学术年会迎接WTO挑战的中国金融与经济统计学主会场主席。九七年六月获得重庆市第三次工业普查资料开发应用成果一等奖；98年获得全国统计科技进步二等奖；2009年获得重庆市优秀教学成果一等奖，2009年获全国统计优秀成果三等奖。 1992年指导大学生数学建模竞赛曾获得全国一等奖，2003年指导的本科生毕业论文获得重庆市一等奖，2004年指导硕士论文获得重庆市教委“重庆移动通信杯”优秀学位论文奖，2005年指导的“重庆大学大学生创新基金”项目获校优秀项目一等奖，2005年11月获重庆大学“路通校友奖教金”，2006年编著的《应用数理统计》被评为全国工程硕士核心教材，2004年编著的《数理统计》获得重庆大学优秀教材一等奖，2006年因主持申报获得计算数学博士点荣记重庆大学特等功并评为先进工作者，2010年指导的博士生获得教育部博士研究生学术新人奖，2011年指导的博士论文获重庆市优秀博士论文奖。 1990年被遴选为交通部首批部级“优秀科技人才”，是当时国内最年轻的省部级有突出贡献的中青年专家（26岁）；1994年12月被授予四川省"优秀青年教师"称号；1996年获得国务院政府特殊津贴；2006年9月获得重庆市优秀中青年骨干教师称号；2008年评为重庆市学术技术带头人。是重庆大学数学一级学科博士点创建带头人和统计学一级学科博士点创建带头人。 |
| -- 作者：sciadmin -- 发布时间：2008/10/8 15:14:52 -- 博士专业招生方向：金融统计、统计模型与诊断、精算学与风险管理
报考前请和导师联系yh@cqu.edu.cn，未联系的考生将不被录取，导师主页：http://sci.cqu.edu.cn/yh |
| -- 作者：夜莺 -- 发布时间：2011/7/16 16:22:50 -- 被SSCI检索的论文列表：（统计截止时间2024.7.9）
1 On a discrete risk model with two-sided jumps Yang, H and Zhang, ZM Jun 1 2010 JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 234 (3) , pp.835-844 In this paper, we consider a discrete renewal risk model with phase-type interarrival times and two-sided jumps. In this model, downward jumps represent claim loss, while upward jumps are also allowed to represent random gains. Assume that the downward jumps have an arbitrary probability function and the upward jumps have a rational probability generating function. We study the (Gerber-Shiu) di Show more Context Sensitive LinksFree Full Text From Publisher 1 Citation 27 References Related records 2 WLAD-LASSO method for robust estimation and variable selection in partially linear models Yang, H and Li, N 2018 COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 47 (20) , pp.4958-4976 This paper focuses on robust estimation and variable selection for partially linear models. We combine the weighted least absolute deviation (WLAD) regression with the adaptive least absolute shrinkage and selection operator (LASSO) to achieve simultaneous robust estimation and variable selection for partially linear models. Compared with the LAD-LASSO method, the WLAD-LASSO method will resist Show more Context Sensitive LinksFull Text at Publisher 2 Citations 33 References Related records 3 Penalized and constrained LAD estimation in fixed and high dimension Wu, XF; Liang, RM and Yang, H Feb 2022 STATISTICAL PAPERS 63 (1) , pp.53-95 Recently, many literatures have proved that prior information and structure in many application fields can be formulated as constraints on regression coefficients. Following these work, we propose a L-1 penalized LAD estimation with some linear constraints in this paper. Different from constrained lasso, our estimation performs well when heavy-tailed errors or outliers are found in the response Show more Context Sensitive LinksFree Full Text From Publisher 5 Citations 77 References Related records 4 RUIN PROBABILITY IN A SEMI-MARKOV RISK MODEL WITH CONSTANT INTEREST FORCE AND HEAVY-TAILED CLAIMS Yang, H and Xue, K Jul 2013 ACTA MATHEMATICA SCIENTIA 33 (4) , pp.998-1006 In the present paper, we consider a kind of semi-Markov risk model (SMRM) with constant interest force and heavy-tailed claims, in which the claim rates and sizes are conditionally independent, both fluctuating according to the state of the risk business. First, we derive a matrix integro-differential equation satisfied by the survival probabilities. Second, we analyze the asymptotic behaviors Show more Context Sensitive LinksFull Text at Publisher 17 References Related records 5 Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy Yang, H and Zhang, ZM Jun 2008 INSURANCE MATHEMATICS & ECONOMICS 42 (3) , pp.984-991 This paper studies a Sparre Andersen model in which the inter-claim times are generalized Erlang(n) distributed. We assume that the premium rate is a step function depending on the current surplus level. A piecewise integro-differential equation for the Gerber-Shiu discounted penalty function is derived and solved. Finally, to illustrate the solution procedure, explicit expression for the Lapla Show more Context Sensitive LinksFull Text at Publisher 28 Citations 17 References Related records 6 Semiparametric EGARCH model with the case study of China stock market Yang, H and Wu, XC May 2011 ECONOMIC MODELLING 28 (3) , pp.761-766 In this paper, we propose a new semiparametric method for GARCH model by combining the EGARCH (1,1) model and local polynomial regression. Based on the idea of two-stage estimate, a link function is estimated by the local polynomial and then the parameters are obtained via the weighted least square method. Finally we apply this method to the Shanghai Composite Index in the China stock market an Show more Context Sensitive LinksFull Text at Publisher 2 Citations 18 References Related records 7 Preliminary test Liu estimators based on the conflicting W, LR and LM tests in a regression model with multivariate Student-t error Yang, H and Xu, JW May 2011 METRIKA 73 (3) , pp.275-292 In this paper, the problem of estimation of the regression coefficients in a multiple regression model with multivariate Student-t error is considered under the multicollinearity situation when it is suspected that the regression coefficients may be restricted to a linear manifold. The preliminary test Liu estimators (PTLE) based on the Wald, Likelihood ratio (LR) and Lagrangian multiplier (LM) Show more Context Sensitive LinksFull Text at Publisher 12 Citations 29 References Related records 8 Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times Zhang, ZM and Yang, H Jan 1 2011 JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 235 (5) , pp.1189-1204 In this paper, we consider a compound Poisson risk model perturbed by a Brownian motion. We construct the bivariate cumulative distribution function of the claim size and interclaim time by Farlie-Gumbel-Morgenstern copula. The integro-differential equations and the Laplace transforms for the Gerber-Shiu functions are obtained. We also show that the Gerber-Shiu functions satisfy some defective Show more Context Sensitive LinksFree Full Text From Publisher 30 Citations 21 References Related records 9 Ruin problems in a discrete Markov risk model Yang, H; Zhang, ZM and Lan, CM Jan 1 2009 STATISTICS & PROBABILITY LETTERS 79 (1) , pp.21-28 In this paper, we extend the compound binomial risk model to a Markov dependent model in which the claim occurrence and the claim amount are both regulated by a discrete time Markov process. The explicit expression for the "discounted" joint probability function of the surplus before ruin and the deficit at ruin is derived when the initial surplus u = 0, and a recursive formula to calculate suc Show more Context Sensitive LinksFull Text at Publisher 13 Citations 10 References Related records 10 On a compound Poisson risk model with delayed claims and random incomes Hao, YY and Yang, H Aug 15 2011 APPLIED MATHEMATICS AND COMPUTATION 217 (24) , pp.10195-10204 The main focus of this paper is to analyze the Gerber-Shiu penalty function of a compound Poisson risk model with delayed claims and random incomes. It is assumed that every main claim will produce a by-claim which can be delayed with a certain probability. We derive the integral equation satisfied by the Gerber-Shiu penalty function. Given that the premium size is exponentially distributed, th Show more Context Sensitive LinksFull Text at Publisher 6 Citations 16 References Related records 11 On a perturbed Sparre Andersen risk model with multi-layer dividend strategy Yang, H and Zhang, ZM Oct 15 2009 JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 232 (2) , pp.612-624 In this paper, we consider a perturbed Sparre Andersen risk model, in which the inter-claim times are generalized Erlang(n) distributed. Under the multi-layer dividend strategy, piece-wise integro-differential equations for the discounted penalty functions are derived, and a recursive approach is applied to express the solutions. A numerical example to calculate the ruin probabilities is given Show more Context Sensitive LinksFree Full Text From Publisher 4 Citations 18 References Related records 12 A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps Zhang, ZM and Yang, H Apr 1 2010 STATISTICS & PROBABILITY LETTERS 80 (7-8) , pp.597-607 In this paper, we consider a Sparre-Andersen risk model with two-sided jumps, where the downward jumps represent the claims as usual and the upward jumps are also allowed to explain random gains. A generalized discounted penalty function is studied by using random walk techniques and the renewal theory. (C) 2009 Elsevier B.V. All rights reserved. Context Sensitive LinksFull Text at Publisher 11 Citations 26 References Related records 13 On a risk model with stochastic premiums income and dependence between income and loss Zhang, ZM and Yang, H May 1 2010 JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 234 (1) , pp.44-57 Labbe and Sendova (2009) [9] consider a compound Poisson risk model with stochastic premiums income. In this paper, we extend their model by assuming that there exists a specific dependence structure among the claim sizes, interclaim times and premium sizes. Assume that the distributions of the premium sizes and interclaim times are controlled by the claim sizes. When the individual premium siz Show more Context Sensitive LinksFree Full Text From Publisher 19 Citations 15 References Related records 14 On a class of renewal risk model with random income Yang, H and Zhang, ZM Nov-dec 2009 APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 25 (6) , pp.678-695 In this paper, we consider a renewal risk process with random premium income based on a Poisson process. Generating function for the discounted penalty function is obtained. We show that the discounted penalty function satisfies a defective renewal equation and the corresponding explicit expression can be obtained via a compound geometric tail. Finally, we consider the Laplace transform of the Show more Context Sensitive LinksFree Full Text From Publisher 17 Citations 16 References Related records 15 The perturbed compound Poisson risk model with multi-layer dividend strategy Yang, H and Zhang, ZM Jan 1 2009 STATISTICS & PROBABILITY LETTERS 79 (1) , pp.70-78 In this paper, we consider a perturbed compound Poisson risk model with multi-layer dividend strategy. Integro-differential and integral equations for the expected discounted penalty function are derived and solved. When the claims are subexponentially distributed, the asymptotic formula for ruin probability is obtained. (c) 2008 Elsevier B.V. All rights reserved. Context Sensitive LinksFull Text at Publisher 17 Citations 24 References Related records 16 A kind of new time-weighted nonnegative lasso index-tracking model and its application Chen, QA; Hu, QY; (...); Qi, K Jan 2022 NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 59 This study describes improved index-tracking methods to replicate the target index\'s market performance in a high-dimensional sparse linear regression with nonnegative constraints on the coefficients. The main objective of this study is to construct a sparse portfolio with a better prediction effect and robustness. Considering the influence of time factors on index tracking, we propose a time-w Show more Context Sensitive LinksFull Text at Publisher 4 Citations 49 References Related records 17 On a Sparre Andersen risk model perturbed by a spectrally negative Levy process Zhang, ZM; Yang, HL and Yang, H May 1 2013 SCANDINAVIAN ACTUARIAL JOURNAL (3) , pp.213-239 In this paper, we consider a Sparre Andersen risk model perturbed by a spectrally negative Levy process (SNLP). Assuming that the interclaim times follow a Coxian distribution, we show that the Laplace transforms and defective renewal equations for the GerberShiu functions can be obtained by employing the roots of a generalized Lundberg equation. When the SNLP is a combination of a Brownian mot Show more Context Sensitive LinksFull Text at Publisher 3 Citations 33 References Related records 18 On a nonparametric estimator for ruin probability in the classical risk model Zhang, ZM; Yang, HL and Yang, H Jun 1 2014 SCANDINAVIAN ACTUARIAL JOURNAL 2014 (4) , pp.309-338 In this paper, we present a nonparametric estimator for ruin probability in the classical risk model with unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density, we present some large sample properties of the estimator. Some simulation studies are also gi Show more Context Sensitive LinksFree Accepted Article From RepositoryFull Text at Publisher 27 Citations 19 References Related records 19 On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation Zhang, ZM; Yang, HL and Yang, H Dec 2012 METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY 14 (4) , pp.973-995 In this paper, we consider a Sparre Andersen risk model where the interclaim time and claim size follow some bivariate distribution. Assuming that the risk model is also perturbed by a jump-diffusion process, we study the Gerber-Shiu functions when ruin is due to a claim or the jump-diffusion process. By using a q-potential measure, we obtain some integral equations for the Gerber-Shiu function Show more Context Sensitive LinksFull Text at Publisher 17 Citations 29 References Related records 20 Penalized LAD Regression for Single-index Models Yang, H; Lv, J and Guo, CH 1st Meeting of y-BIS / 1st Meeting of jSPE 2016 COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION 45 (7) , pp.2392-2408 In this article, we consider the penalized LAD regression which deals with variable selection and estimation simultaneously for single-index models. The proposed estimator is robust and efficient with respect to heavy tailed errors or outliers in the response. Then, we introduce a practical algorithm where the unknown link function is estimated by local linear smoothing combined with LAD regres Show more Context Sensitive LinksFull Text at Publisher 4 Citations 27 References Related records 21 Model averaging marginal regression for high dimensional conditional quantile prediction Tu, JW; Yang, H; (...); Lv, J Dec 2021 STATISTICAL PAPERS 62 (6) , pp.2661-2689 In this article, we propose a high dimensional semiparametric model average approach to predict the conditional quantile of the response variable. Firstly, we approximate the multivariate conditional quantile function by an affine combination of one-dimensional marginal conditional quantile functions which can be estimated by the local linear regression. Secondly, based on the estimated margina Show more Context Sensitive LinksView full text 1 Citation 49 References Related records 22 Nonnegative estimation and variable selection via adaptive elastic-net for high-dimensional data Li, N; Yang, H and Yang, J Dec 2 2021 COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION 50 (12) , pp.4263-4279 This paper proposes the nonnegative adaptive elastic-net for simultaneous nonnegative estimation and variable selection in sparse high-dimensional linear regression models. By inheriting the good features of adaptive elastic-net, the nonnegative adaptive elastic-net enjoys the oracle property even in high-dimensional settings where the dimension of covariates can be much larger than the sample Show more Context Sensitive LinksFull Text at Publisher 8 Citations 21 References Related records 23 Conditioning theory of the equality constrained quadratic programming and its applications Wang, SX and Yang, H Apr 26 2021 LINEAR & MULTILINEAR ALGEBRA 69 (6) , pp.1161-1183 Perturbation analysis of the equality constrained quadratic programming is considered. We present two different perturbation bounds to explore underlying factors for affecting the conditioning of equality constrained quadratic programming, and propose the condition numbers to give sharp forward error bounds. To improve the computational efficiency of condition numbers, some new compact forms an Show more Context Sensitive LinksFull Text at Publisher 3 Citations 37 References Related records 24 On the penalized maximum likelihood estimation of high-dimensional approximate factor model Wang, SX; Yang, H and Yao, CL Jun 2019 COMPUTATIONAL STATISTICS 34 (2) , pp.819-846 In this paper, we mainly focus on the penalized maximum likelihood estimation of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance matrix, by reformulating the estimation of error covariance matrix and based on the lagrangian duality, we propose an accelerated proximal gradient (APG) algorith Show more Context Sensitive LinksFree Submitted Article From RepositoryFull Text at PublisherView Full Text on ProQuest 1 Citation 43 References Related records 25 The perturbed compound Poisson risk model with two-sided jumps Zhang, ZM; Yang, H and Li, SM Feb 15 2010 JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 233 (8) , pp.1773-1784 In this paper, we consider a perturbed compound Poisson risk model with two-sided jumps. The downward jumps represent the claims following an arbitrary distribution, while the upward jumps are also allowed to represent the random gains. Assuming that the density function of the upward jumps has a rational Laplace transform, the Laplace transforms and defective renewal equations for the discount Show more Context Sensitive LinksFull Text at Publisher 41 Citations 20 References Related records 26 Rank-based shrinkage estimation for identification in semiparametric additive models Yang, J; Yang, H and Lu, F Aug 2019 STATISTICAL PAPERS 60 (4) , pp.1255-1281 In this paper, we propose a novel and robust procedure for model identification in semiparametric additive models based on rank regression and spline approximation. Under some mild conditions, we establish the theoretical properties of the identified nonparametric functions and the linear parameters. Furthermore, we demonstrate that the proposed rank estimate has a great efficiency gain across Show more Context Sensitive LinksFull Text at Publisher |