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Browsing "Statistics & Actuarial Science: Journal/Magazine Articles" by Author siu, tk
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Showing results 1 to 20 of 28
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Title
Author(s)
Issue Date
A martingale approach for asset allocation with derivative security and hidden economic risk
Journal:
Journal of Applied Probability
Siu, TK
Zhu, J
Yang, H
2019
A note on optimal insurance risk control with multiple reinsurers
Journal:
Journal of Computational and Applied Mathematics
Meng, H
Siu, TK
Yang, H
2017
A PDE approach to risk measures of derivatives
Journal:
Applied Mathematical Finance
Siu, TK
Yang, H
2000
Asset allocation under threshold autoregressive models
Journal:
Applied Stochastic Models in Business and Industry
Song, N
Siu, TK
Ching, WK
Tong, H
Yang, H
2012
Bayesian risk measures for derivatives via random Esscher transform
Journal:
North American Actuarial Journal
Siu, TK
Tong, H
Yang, H
2001
Coherent risk measures for derivatives under Black-Scholes Economy
Yang, H
Siu, TK
2002
Filtering a markov modulated random measure
Journal:
IEEE Transactions on Automatic Control
Elliott, RJ
Siu, TK
Yang, H
2010
An improved multivariate Markov chain model for credit risk
Journal:
The Journal of Credit Risk
Ching, WK
Siu, TK
Li, LM
Jiang, H
Li, T
Li, WK
2009
Interactive hidden Markov models and their applications
Journal:
IMA Journal Management Mathematics
Ching, WK
Fung, E
Ng, M
Siu, TK
Li, WK
2007
Martingale Representation and Hedging Contingent Claims With Regime Switching
Journal:
Communications on Stochastic Analysis
Elliott, RJ
Siu, TK
Yang, H
2007
Modeling default data via an interactive hidden markov model
Journal:
Computational Economics
Ching, WK
Siu, TK
Li, LM
Li, T
Li, WK
2009
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 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 pricing derivatives under GARCH models: a dynamic gerber-shiu approach
Journal:
North American Actuarial Journal
Siu, TK
Tong, H
Yang, H
2004
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
Option pricing when the regime-switching risk is priced
Journal:
Acta Mathematicae Applicatae Sinica
Siu, TK
Yang, H
2009
