Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming Household consumption-investment-insurance decisions with uncertain income and market ambiguity. (English) Zbl 07483110 Scand. Actuar. J. 2021, No. 10, 832-865 (2021). MSC: 91G05 91B42 PDF BibTeX XML Cite \textit{N. Wang} et al., Scand. Actuar. J. 2021, No. 10, 832--865 (2021; Zbl 07483110) Full Text: DOI OpenURL
Wang, Ning; Siu, Tak Kuen Robust reinsurance contracts with risk constraint. (English) Zbl 1447.91151 Scand. Actuar. J. 2020, No. 5, 419-453 (2020). MSC: 91G05 91B43 91B41 PDF BibTeX XML Cite \textit{N. Wang} and \textit{T. K. Siu}, Scand. Actuar. J. 2020, No. 5, 419--453 (2020; Zbl 1447.91151) Full Text: DOI OpenURL
Siu, Tak Kuen; Elliott, Robert J. Hedging options in a doubly Markov-modulated financial market via stochastic flows. (English) Zbl 1431.91404 Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019). Reviewer: George Stoica (Saint John) MSC: 91G20 60J28 91G10 PDF BibTeX XML Cite \textit{T. K. Siu} and \textit{R. J. Elliott}, Int. J. Theor. Appl. Finance 22, No. 8, Article ID 1950047, 41 p. (2019; Zbl 1431.91404) Full Text: DOI OpenURL
Meng, Hui; Zhou, Ming; Siu, Tak Kuen Optimal dividend-reinsurance with two types of premium principles. (English) Zbl 1414.91220 Probab. Eng. Inf. Sci. 30, No. 2, 224-243 (2016). MSC: 91B30 62P05 91G60 PDF BibTeX XML Cite \textit{H. Meng} et al., Probab. Eng. Inf. Sci. 30, No. 2, 224--243 (2016; Zbl 1414.91220) Full Text: DOI OpenURL
Siu, Tak Kuen A self-exciting threshold jump-diffusion model for option valuation. (English) Zbl 1369.91185 Insur. Math. Econ. 69, 168-193 (2016). MSC: 91G20 60J75 62M10 PDF BibTeX XML Cite \textit{T. K. Siu}, Insur. Math. Econ. 69, 168--193 (2016; Zbl 1369.91185) Full Text: DOI OpenURL
Siu, Tak Kuen A functional Itô’s calculus approach to convex risk measures with jump diffusion. (English) Zbl 1346.91272 Eur. J. Oper. Res. 250, No. 3, 874-883 (2016). MSC: 91G80 60H30 60G57 91B30 93E20 PDF BibTeX XML Cite \textit{T. K. Siu}, Eur. J. Oper. Res. 250, No. 3, 874--883 (2016; Zbl 1346.91272) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Cohen, Samuel N. Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. (English) Zbl 1390.91333 J. Appl. Probab. 52, No. 3, 771-785 (2015). MSC: 91G70 39A50 60H30 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., J. Appl. Probab. 52, No. 3, 771--785 (2015; Zbl 1390.91333) Full Text: DOI Euclid OpenURL
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming Pricing annuity guarantees under a double regime-switching model. (English) Zbl 1318.91111 Insur. Math. Econ. 62, 62-78 (2015). MSC: 91B30 91G60 PDF BibTeX XML Cite \textit{K. Fan} et al., Insur. Math. Econ. 62, 62--78 (2015; Zbl 1318.91111) Full Text: DOI OpenURL
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal insurance in a changing economy. (English) Zbl 1281.93107 Math. Control Relat. Fields 4, No. 2, 187-202 (2014). MSC: 93E20 49L20 91B30 PDF BibTeX XML Cite \textit{J. Liu} et al., Math. Control Relat. Fields 4, No. 2, 187--202 (2014; Zbl 1281.93107) Full Text: DOI OpenURL
Fard, Farzad Alavi; Siu, Tak Kuen Pricing and managing risks of European-style options in a Markovian regime-switching binomial model. (English) Zbl 1298.91163 Ann. Finance 9, No. 3, 421-438 (2013). MSC: 91G20 60J20 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{T. K. Siu}, Ann. Finance 9, No. 3, 421--438 (2013; Zbl 1298.91163) Full Text: DOI OpenURL
Fard, Farzad Alavi; Siu, Tak Kuen Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. (English) Zbl 1290.91179 Insur. Math. Econ. 53, No. 3, 712-721 (2013). MSC: 91G60 91B30 60J75 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 712--721 (2013; Zbl 1290.91179) Full Text: DOI OpenURL
Meng, Hui; Siu, Tak Kuen; Yang, Hailiang Optimal dividends with debts and nonlinear insurance risk processes. (English) Zbl 1284.91564 Insur. Math. Econ. 53, No. 1, 110-121 (2013). MSC: 91G50 91B30 91G80 49L20 PDF BibTeX XML Cite \textit{H. Meng} et al., Insur. Math. Econ. 53, No. 1, 110--121 (2013; Zbl 1284.91564) Full Text: DOI Link OpenURL
Elliott, Robert J.; Siu, Tak Kuen Reflected backward stochastic differential equations, convex risk measures and American options. (English) Zbl 1343.60093 Stochastic Anal. Appl. 31, No. 6, 1077-1096 (2013). MSC: 60H30 60H10 60G40 91G80 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Stochastic Anal. Appl. 31, No. 6, 1077--1096 (2013; Zbl 1343.60093) Full Text: DOI OpenURL
Liu, Jingzhen; Yiu, Ka-Fai Cedric; Siu, Tak Kuen; Ching, Wai-Ki Optimal investment-reinsurance with dynamic risk constraint and regime switching. (English) Zbl 1280.91093 Scand. Actuar. J. 2013, No. 4, 263-285 (2013). MSC: 91B30 62P05 62M02 90C90 PDF BibTeX XML Cite \textit{J. Liu} et al., Scand. Actuar. J. 2013, No. 4, 263--285 (2013; Zbl 1280.91093) Full Text: DOI OpenURL
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang Asset allocation under threshold autoregressive models. (English) Zbl 1286.91127 Appl. Stoch. Models Bus. Ind. 28, No. 1, 60-72 (2012). MSC: 91G10 91B84 90C39 93E20 62M10 PDF BibTeX XML Cite \textit{N. Song} et al., Appl. Stoch. Models Bus. Ind. 28, No. 1, 60--72 (2012; Zbl 1286.91127) Full Text: DOI OpenURL
Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen A Bayesian approach for optimal reinsurance and investment in a diffusion model. (English) Zbl 1276.91065 J. Eng. Math. 76, 195-206 (2012). MSC: 91B30 91G80 49L20 93E11 PDF BibTeX XML Cite \textit{X. Zhang} et al., J. Eng. Math. 76, 195--206 (2012; Zbl 1276.91065) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen An HMM approach for optimal investment of an insurer. (English) Zbl 1276.93084 Int. J. Robust Nonlinear Control 22, No. 7, 778-807 (2012). MSC: 93E20 60J10 91B30 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Int. J. Robust Nonlinear Control 22, No. 7, 778--807 (2012; Zbl 1276.93084) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen Markovian forward-backward stochastic differential equations and stochastic flows. (English) Zbl 1273.60067 Syst. Control Lett. 61, No. 10, 1017-1022 (2012). MSC: 60H10 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Syst. Control Lett. 61, No. 10, 1017--1022 (2012; Zbl 1273.60067) Full Text: DOI Link OpenURL
Siu, Tak Kuen A BSDE approach to risk-based asset allocation of pension funds with regime switching. (English) Zbl 1260.91233 Ann. Oper. Res. 201, 449–473 (2012). MSC: 91G10 60H15 35Q91 91G80 91A23 91G60 91B30 91B32 91A15 PDF BibTeX XML Cite \textit{T. K. Siu}, Ann. Oper. Res. 201, 449--473 (2012; Zbl 1260.91233) Full Text: DOI OpenURL
Zhang, Xin; Siu, Tak Kuen On optimal proportional reinsurance and investment in a Markovian regime-switching economy. (English) Zbl 1258.91115 Acta Math. Sin., Engl. Ser. 28, No. 1, 67-82 (2012). MSC: 91B30 91B54 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{T. K. Siu}, Acta Math. Sin., Engl. Ser. 28, No. 1, 67--82 (2012; Zbl 1258.91115) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen A stochastic differential game for optimal investment of an insurer with regime switching. (English) Zbl 1232.91346 Quant. Finance 11, No. 3, 365-380 (2011). MSC: 91B30 91G50 91A15 49N70 49L20 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Quant. Finance 11, No. 3, 365--380 (2011; Zbl 1232.91346) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen A BSDE approach to a risk-based optimal investment of an insurer. (English) Zbl 1213.60100 Automatica 47, No. 2, 253-261 (2011). Reviewer: Nikolaos Halidias (Athens) MSC: 60H10 91A23 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, Automatica 47, No. 2, 253--261 (2011; Zbl 1213.60100) Full Text: DOI OpenURL
Liew, Chuin Ching; Siu, Tak Kuen A hidden Markov regime-switching model for option valuation. (English) Zbl 1231.91443 Insur. Math. Econ. 47, No. 3, 374-384 (2010). MSC: 91G20 60J27 PDF BibTeX XML Cite \textit{C. C. Liew} and \textit{T. K. Siu}, Insur. Math. Econ. 47, No. 3, 374--384 (2010; Zbl 1231.91443) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen Discussion on: “Pricing annuity guarantees under a regime-switching model”. (English) Zbl 1483.91191 N. Am. Actuar. J. 13, No. 3, 333-337 (2009). MSC: 91G05 PDF BibTeX XML Cite \textit{R. J. Elliott} and \textit{T. K. Siu}, N. Am. Actuar. J. 13, No. 3, 333--337 (2009; Zbl 1483.91191) Full Text: DOI OpenURL
Badescu, Alex; Elliott, Robert J.; Siu, Tak Kuen Esscher transforms and consumption-based models. (English) Zbl 1231.91423 Insur. Math. Econ. 45, No. 3, 337-347 (2009). MSC: 91G20 91B25 91B30 PDF BibTeX XML Cite \textit{A. Badescu} et al., Insur. Math. Econ. 45, No. 3, 337--347 (2009; Zbl 1231.91423) Full Text: DOI Link OpenURL
Zhang, Xin; Siu, Tak Kuen Optimal investment and reinsurance of an insurer with model uncertainty. (English) Zbl 1231.91257 Insur. Math. Econ. 45, No. 1, 81-88 (2009). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{X. Zhang} and \textit{T. K. Siu}, Insur. Math. Econ. 45, No. 1, 81--88 (2009; Zbl 1231.91257) Full Text: DOI OpenURL
Siu, Tak Kuen; Erlwein, Christina; Mamon, Rogemar S. The pricing of credit default swaps under a Markov-modulated Merton’s structural model. (English) Zbl 1481.91211 N. Am. Actuar. J. 12, No. 1, 18-46 (2008). MSC: 91G20 91G40 35Q92 91G60 PDF BibTeX XML Cite \textit{T. K. Siu} et al., N. Am. Actuar. J. 12, No. 1, 18--46 (2008; Zbl 1481.91211) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung A PDE approach for risk measures for derivatives with regime switching. (English) Zbl 1233.91271 Ann. Finance 4, No. 1, 55-74 (2008). MSC: 91G20 91B30 60J70 35Q91 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Ann. Finance 4, No. 1, 55--74 (2008; Zbl 1233.91271) Full Text: DOI OpenURL
Lau, John W.; Siu, Tak Kuen Modelling long-term investment returns via Bayesian infinite mixture time series models. (English) Zbl 1224.91068 Scand. Actuar. J. 2008, No. 4, 243-282 (2008). Reviewer: Rostyslav E. Yamnenko (Kyïv) MSC: 91B30 91G70 62M10 62F15 91G50 PDF BibTeX XML Cite \textit{J. W. Lau} and \textit{T. K. Siu}, Scand. Actuar. J. 2008, No. 4, 243--282 (2008; Zbl 1224.91068) Full Text: DOI OpenURL
Lau, John W.; Siu, Tak Kuen On option pricing under a completely random measure via a generalized Esscher transform. (English) Zbl 1140.91400 Insur. Math. Econ. 43, No. 1, 99-107 (2008). MSC: 91G20 PDF BibTeX XML Cite \textit{J. W. Lau} and \textit{T. K. Siu}, Insur. Math. Econ. 43, No. 1, 99--107 (2008; Zbl 1140.91400) Full Text: DOI OpenURL
Siu, Tak Kuen A game theoretic approach to option valuation under Markovian regime-switching models. (English) Zbl 1141.91344 Insur. Math. Econ. 42, No. 3, 1146-1158 (2008). MSC: 91B28 60J75 91A23 91C15 PDF BibTeX XML Cite \textit{T. K. Siu}, Insur. Math. Econ. 42, No. 3, 1146--1158 (2008; Zbl 1141.91344) Full Text: DOI OpenURL
Siu, Tak Kuen; Lau, John W.; Yang, Hailiang On valuing participating life insurance contracts with conditional heteroscedasticity. (English) Zbl 1136.91488 Asia-Pac. Financ. Mark. 14, No. 3, 255-275 (2007). MSC: 91B30 PDF BibTeX XML Cite \textit{T. K. Siu} et al., Asia-Pac. Financ. Mark. 14, No. 3, 255--275 (2007; Zbl 1136.91488) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung; Lau, John W. Pricing options under a generalized Markov-modulated jump-diffusion model. (English) Zbl 1155.91380 Stochastic Anal. Appl. 25, No. 4, 821-843 (2007). MSC: 91G20 60G42 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Stochastic Anal. Appl. 25, No. 4, 821--843 (2007; Zbl 1155.91380) Full Text: DOI OpenURL
Siu, Tak Kuen Option pricing under autoregressive random variance models. (English) Zbl 1479.91416 N. Am. Actuar. J. 10, No. 2, 62-75 (2006). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{T. K. Siu}, N. Am. Actuar. J. 10, No. 2, 62--75 (2006; Zbl 1479.91416) Full Text: DOI OpenURL
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Risk measures for derivatives with Markov-modulated pure jump processes. (English) Zbl 1283.91173 Asia-Pac. Financ. Mark. 13, No. 2, 129-149 (2006). MSC: 91G20 60J28 60J60 91G80 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Asia-Pac. Financ. Mark. 13, No. 2, 129--149 (2006; Zbl 1283.91173) Full Text: DOI OpenURL
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung Option pricing for GARCH models with Markov switching. (English) Zbl 1138.91437 Int. J. Theor. Appl. Finance 9, No. 6, 825-841 (2006). MSC: 91G20 60G42 62M10 91B84 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Int. J. Theor. Appl. Finance 9, No. 6, 825--841 (2006; Zbl 1138.91437) Full Text: DOI OpenURL
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen Option pricing and Esscher transform under regime switching. (English) Zbl 1233.91270 Ann. Finance 1, No. 4, 423-432 (2005). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{R. J. Elliott} et al., Ann. Finance 1, No. 4, 423--432 (2005; Zbl 1233.91270) Full Text: DOI OpenURL
Siu, Tak-Kuen; Ching, Wai-Ki; Fung, S. Eric; Ng, Michael K. On a multivariate Markov chain model for credit risk measurement. (English) Zbl 1134.91485 Quant. Finance 5, No. 6, 543-556 (2005). MSC: 91B30 PDF BibTeX XML Cite \textit{T.-K. Siu} et al., Quant. Finance 5, No. 6, 543--556 (2005; Zbl 1134.91485) Full Text: DOI Link OpenURL
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang On Bayesian value at risk: from linear to non-linear portfolios. (English) Zbl 1188.91206 Asia-Pac. Financ. Mark. 11, No. 2, 161-184 (2004). MSC: 91G10 91B30 91G20 PDF BibTeX XML Cite \textit{T. K. Siu} et al., Asia-Pac. Financ. Mark. 11, No. 2, 161--184 (2004; Zbl 1188.91206) Full Text: DOI OpenURL
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang Bayesian risk measures for derivatives via random Esscher transform. (English) Zbl 1083.62544 N. Am. Actuar. J. 5, No. 3, 78-91 (2001). MSC: 62P05 62F15 91B30 PDF BibTeX XML Cite \textit{T. K. Siu} et al., N. Am. Actuar. J. 5, No. 3, 78--91 (2001; Zbl 1083.62544) Full Text: DOI OpenURL