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2020 – today
- 2024
[j48]Ning Wang
, Tak Kuen Siu, Kun Fan:
Robust reinsurance and investment strategies under principal-agent framework. Ann. Oper. Res. 336(1-2): 981-1011 (2024)- [j47]Ning Wang, Tak Kuen Siu:
Investment-consumption optimization with transaction cost and learning about return predictability. Eur. J. Oper. Res. 318(3): 877-891 (2024) - 2021
- [j46]Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching:
Optimal pairs trading with dynamic mean-variance objective. Math. Methods Oper. Res. 94(1): 145-168 (2021) - 2020
- [j45]Jinxia Zhu, Tak Kuen Siu, Hailiang Yang:
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Eur. J. Oper. Res. 285(1): 66-80 (2020) - [j44]Sini Guo, Wai-Ki Ching, Wai-Keung Li, Tak Kuen Siu, Zhiwen Zhang:
Fuzzy hidden Markov-switching portfolio selection with capital gain tax. Expert Syst. Appl. 149: 113304 (2020)
2010 – 2019
- 2019
- [j43]Hui Meng, Pu Liao, Tak Kuen Siu:
Continuous-time optimal reinsurance strategy with nontrivial curved structures. Appl. Math. Comput. 363 (2019) - [j42]Tak Kuen Siu, Jinxia Zhu, Hailiang Yang:
A martingale approach for asset allocation with derivative security and hidden economic risk. J. Appl. Probab. 56(3): 723-749 (2019) - 2017
- [j41]Hui Meng, Tak Kuen Siu, Hailiang Yang:
A note on optimal insurance risk control with multiple reinsurers. J. Comput. Appl. Math. 319: 38-42 (2017) - [j40]Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang:
A Higher-order interactive hidden Markov model and its applications. OR Spectr. 39(4): 1055-1069 (2017) - [j39]Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng:
On infectious model for dependent defaults. Risk Decis. Anal. 6(4): 249-261 (2017) - 2016
- [j38]Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu:
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model. Autom. 74: 194-205 (2016) - [j37]Tak Kuen Siu:
A functional Itô's calculus approach to convex risk measures with jump diffusion. Eur. J. Oper. Res. 250(3): 874-883 (2016) - [j36]Hui Meng, Tak Kuen Siu, Hailiang Yang:
Optimal insurance risk control with multiple reinsurers. J. Comput. Appl. Math. 306: 40-52 (2016) - 2015
- [j35]Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen:
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. J. Appl. Probab. 52(3): 771-785 (2015) - 2014
- [j34]Robert J. Elliott, Tak Kuen Siu:
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Appl. Math. Lett. 28: 66-71 (2014) - [j33]Robert J. Elliott, Tak Kuen Siu, Eric S. Fung:
A Double HMM approach to Altman Z-scores and credit ratings. Expert Syst. Appl. 41(4): 1553-1560 (2014) - [j32]Robert J. Elliott, Tak Kuen Siu, Leunglung Chan:
On pricing barrier options with regime switching. J. Comput. Appl. Math. 256: 196-210 (2014) - [j31]Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng:
On reduced-form intensity-based model with 'trigger' events. J. Oper. Res. Soc. 65(3): 331-339 (2014) - [j30]Yang Shen, Xin Zhang, Tak Kuen Siu:
Mean-variance portfolio selection under a constant elasticity of variance model. Oper. Res. Lett. 42(5): 337-342 (2014) - 2013
- [j29]Robert J. Elliott, Leunglung Chan, Tak Kuen Siu:
Option valuation under a regime-switching constant elasticity of variance process. Appl. Math. Comput. 219(9): 4434-4443 (2013) - [j28]Yang Shen, Tak Kuen Siu:
A stochastic maximum principle for backward control systems with random default time. Int. J. Control 86(5): 953-965 (2013) - [j27]Fuqiang Lu, Min Huang, Wai-Ki Ching, Tak Kuen Siu:
Credit portfolio management using two-level particle swarm optimization. Inf. Sci. 237: 162-175 (2013) - [j26]Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang:
Option valuation by a self-exciting threshold binomial model. Math. Comput. Model. 58(1-2): 28-37 (2013) - [j25]Yang Shen, Tak Kuen Siu:
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Oper. Res. Lett. 41(2): 180-187 (2013) - [j24]Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng:
On modeling credit defaults: A probabilistic Boolean network approach. Risk Decis. Anal. 4(2): 119-129 (2013) - [j23]Robert J. Elliott, Tak Kuen Siu, John W. Lau:
Filtering a Double Threshold Model With Regime Switching. IEEE Trans. Autom. Control. 58(12): 3185-3190 (2013) - 2012
- [j22]Tak Kuen Siu:
A BSDE approach to risk-based asset allocation of pension funds with regime switching. Ann. Oper. Res. 201(1): 449-473 (2012) - [j21]Na Song, Tak Kuen Siu, Farzad Alavi Fard, Wai-Ki Ching, Eric S. Fung:
Risk measures and behaviors for bonds under stochastic interest rate models. Math. Comput. Model. 56(9-10): 204-217 (2012) - [j20]Xiang Lin, Chunhong Zhang, Tak Kuen Siu:
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Math. Methods Oper. Res. 75(1): 83-100 (2012) - [j19]Jingzhen Liu, Ka Fai Cedric Yiu, Tak Kuen Siu:
A decomposition method for optimal portfolios with regime-switching and risk constraint. Risk Decis. Anal. 3(4): 269-276 (2012) - [j18]Robert J. Elliott, Tak Kuen Siu:
Markovian forward-backward stochastic differential equations and stochastic flows. Syst. Control. Lett. 61(10): 1017-1022 (2012) - [j17]Xin Zhang, Robert J. Elliott, Tak Kuen Siu:
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. SIAM J. Control. Optim. 50(2): 964-990 (2012) - [c5]Na Song, Wai-Ki Ching, Dong-Mei Zhu, Tak Kuen Siu:
Asset Allocation under Regime-Switching Models. BIFE 2012: 144-148 - [c4]Na Song, Wai-Ki Ching, Tak Kuen Siu, Ka Fai Cedric Yiu:
Optimal Submission Problem in a Limit Order Book with VaR Constraints. CSO 2012: 266-270 - 2011
- [j16]Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu:
On filtering and estimation of a threshold stochastic volatility model. Appl. Math. Comput. 218(1): 61-75 (2011) - [j15]Robert J. Elliott, Tak Kuen Siu:
A BSDE approach to a risk-based optimal investment of an insurer. Autom. 47(2): 253-261 (2011) - [j14]Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu:
Characteristic functions and option valuation in a Markov chain market. Comput. Math. Appl. 62(1): 65-74 (2011) - [j13]Robert J. Elliott, Tak Kuen Siu:
An M-ary detection approach for asset allocation. Comput. Math. Appl. 62(4): 2083-2094 (2011) - [j12]Min Huang, Fuqiang Lu, Wai-Ki Ching, Tak Kuen Siu:
A distributed decision making model for risk management of virtual enterprise. Expert Syst. Appl. 38(10): 13208-13215 (2011) - [j11]Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu:
A Markovian infectious model for dependent default risk. Int. J. Intell. Eng. Informatics 1(2): 174-195 (2011) - [j10]Robert J. Elliott, Tak Kuen Siu:
Control of discrete-time HMM partially observed under fractional Gaussian noises. Syst. Control. Lett. 60(5): 350-355 (2011) - [j9]Hui Meng, Tak Kuen Siu:
Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance. SIAM J. Control. Optim. 49(1): 254-279 (2011) - 2010
- [j8]Tak Kuen Siu:
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows. Appl. Math. Comput. 216(11): 3184-3190 (2010) - [j7]Robert J. Elliott, Tak Kuen Siu:
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Ann. Oper. Res. 176(1): 271-291 (2010) - [j6]Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching:
Optimal portfolios with regime switching and value-at-risk constraint. Autom. 46(6): 979-989 (2010) - [j5]Wai-Ki Ching, Ho-Yin Leung, Hao Jiang, Liang Sun, Tak Kuen Siu:
A Markovian network model for default risk management. Int. J. Intell. Eng. Informatics 1(1): 104-124 (2010) - [j4]Xin Zhang, Tak Kuen Siu, Qingbin Meng:
Portfolio Selection in the Enlarged Markovian Regime-Switching Market. SIAM J. Control. Optim. 48(5): 3368-3388 (2010) - [j3]Robert J. Elliott, Tak Kuen Siu, Hailiang Yang:
Filtering a Markov Modulated Random Measure. IEEE Trans. Autom. Control. 55(1): 74-88 (2010)
2000 – 2009
- 2009
- [j2]Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li:
A high-order Markov-switching model for risk measurement. Comput. Math. Appl. 58(1): 1-10 (2009) - [c3]Robert J. Elliott, Tak Kuen Siu:
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS 2009: 1189-1192 - 2008
- [c2]Robert J. Elliott, Tak Kuen Siu:
A Markovian regime-switching stochastic differential game for portfolio risk minimization. ACC 2008: 1017-1022 - 2007
- [j1]Wai-Ki Ching, Tak Kuen Siu, Limin Li:
Pricing Exotic Options under a High-Order Markovian Regime Switching Model. Adv. Decis. Sci. 2007: 18014:1-18014:15 (2007) - [c1]Robert J. Elliott, Tak Kuen Siu, Hailiang Yang:
Insurance Claims Modulated by a Hidden Marked Point Process. ACC 2007: 390-395
Coauthor Index
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last updated on 2024-08-23 19:26 CEST by the dblp team
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