Dr Yuguang Fan

Research School of Finance, Actuarial Studies and Statistics

Bachelor of Science, National University of Singapore

Ph.D, Australian National Unviersity 


  • Statistics

Research interests

My research interest lies in the interface of probability theory and statistical applications. Currently they are

  • Levy processes and their applications
  • Combinatorial stochastic processes
  • Functional data analysis
  • Applied statistical problems

Fan, Y., Convergence of trimmed Lévy process to trimmed stable random variables at 0. Stochastic Process. Appl. 125(10), October 2015, 3691–3724. arXiv:1503.05290

Fan, Y., Tightness and convergence of trimmed Lévy process to normality at small times. Journal of Theoretical Probability, Dec 2015, 1-25. DOI:10.1007/s10959-015-0658-0. arXiv:1410.

Buchmann, B., Fan, Y. and Maller R. A., Distributional representations and dominance of a Lévy process over its maximal jump processes. Bernoulli. 22(4), 2016, 2325-2371. arXiv:1409.4050

Fan, Y., Wang, T., Griffin, P., Maller, R. A. and Szimayer, A., The effects of largest claim and excess of loss reinsurance on a company’s ruin time and valuation. Risks. 5, 3, 2017. DOI:10.3390/risks5010003.

Buchmann, B., Ipsen, Y. F. and Maller R. A., Functional laws for trimmed Lévy processes, to appear in Journal of Applied Probability. 2017. arXiv:1609.07206

Ipsen, Y. F. and Maller R. A. Negative Binomial Construction of Random Discrete Distributions on the Infinite Simplex. Theory of Stochastic Processes. Vol. 22(38), no.2, 2017 arXiv:1802.02655

Ipsen Y. F., Maller R. A. and Resnick S. I., Ratios of ordered points of point processes with regularly varying intensity measures, to appear in Stochastic Processes and Applications, 2018.  DOI:10.1016/j.spa.2018.02.015 arXiv:1707.09653

Ipsen Y. F., Kevei P. and Maller R. A., Convergence to stable limits for ratios of trimmed Lévy processes and their jumps. to appear in Markov Processes and Related Fields,  2018. arXiv:1708.08344

STAT3004 Stochastic Modelling, Semester 1, 2019