YAM, Phillip 任尚智
| Position | Professor, Assistant Dean (Education), Co-director of QFRM |
| 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
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. 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
- Distinguished Visiting Scholar at School of Risk and Actuarial Studies, UNSW Sydney, 2025
- 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.