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Browsing by Author SIU, TK
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Showing results 26 to 45 of 55
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Title
Author(s)
Issue Date
Nonparametric Bayesian Credibility
Journal:
Australian Actuarial Journal
Siu, TK
Yang, H
2009
On a generalised form of risk measure
Journal:
Australian Actuarial Journal
Elliott, RJ
Siu, TK
Yang, H
2003
On a multivariate Markov chain model for credit risk measurement
Journal:
Quantitative Finance
Siu, TK
Ching, WK
Fung, ES
Ng, MK
2005
On Bayesian mixture credibility
Journal:
ASTIN Bulletin
Lau, JW
Siu, TK
Yang, H
2006
On Bayesian value at risk: from linear to non-linear portfolios
Journal:
Asia-Pacific Financial Markets
Siu, TK
Tong, H
Yang, H
2004
On infectious models for dependent default risk
Proceeding/Conference:
Proceedings of the International Joint Conference on Computational Sciences and Optimization, CSO 2011
Gu, J
Ching, WK
Siu, TK
2011
On Optimal Cash Management under a Stochastic Volatility Model
Journal:
East Asian Journal on Applied Mathematics
Song, N
Ching, WK
Siu, TK
Yiu, C
2013
On pricing derivatives under GARCH models: a dynamic gerber-shiu approach
Journal:
North American Actuarial Journal
Siu, TK
Tong, H
Yang, H
2004
On Pricing Derivatives under Nonlinear Time Series Models
Proceeding/Conference:
PAMM
Siu, TK
Yang, H
2008
On supply chain coordination for false failure returns: A quantity discount contract approach
Journal:
International Journal of Production Economics
Huang, X
Choi, SM
Ching, WK
Siu, TK
Huang, M
2011
On valuing participating life insurance contracts with conditional heteroscedasticity
Journal:
Asia-Pacific Financial Markets
Siu, TK
Lau, JW
Yang, H
2007
Optimal dividends with debts and nonlinear insurance risk processes
Journal:
Insurance: Mathematics and Economics
Meng, H
Siu, TK
Yang, H
2013
Optimal insurance risk control with multiple reinsurers
Journal:
Journal of Computational and Applied Mathematics
Meng, H
Siu, TK
Yang, H
2016
Optimal portfolios with regime switching and value-at-risk constraint
Journal:
Automatica
Yiu, KFC
Liu, J
Siu, TK
Ching, WK
2010
Optimal submission problem in a limit order book with VaR constraints
Proceeding/Conference:
International Joint Conference on Computational Sciences and Optimization Proceedings
Song, N
Ching, WK
Siu, TK
Yiu, C
2012
Option pricing when the regime-switching risk is priced
Journal:
Acta Mathematicae Applicatae Sinica
Siu, TK
Yang, H
2009
Option valuation by a self-exciting threshold binomial model
Journal:
Mathematical and Computer Modelling
Yuen, FL
Siu, TK
Yang, H
2013
Option valuation under a multivariate Markov chain model
Proceeding/Conference:
3rd International Joint Conference on Computational Sciences and Optimization, CSO 2010: Theoretical Development and Engineering Practice
Song, N
Ching, WK
Siu, TK
Fung, ES
Ng, MK
2010
A PDE Approach To Multivariate Risk Theory
Book:
Stochastic Analysis and Applications to Finance: Essays in Honour of Jia-An Yan
Elliott, RJ
Siu, TK
Yang, H
2012
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Journal:
Insurance: Mathematics and Economics
Siu, TK
Yang, H
Lau, JW
2008