 |
Optimal portfolio in a continuous-time self-exciting threshold model |
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang |
2013 |
|
|
 |
Asset allocation under threshold autoregressive models |
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang |
2012 |
—
|
|
 |
On the optimal dividend strategy in a regime-switching diffusion model |
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang |
2012 |
—
|
|
 |
Optimal surrender strategies for equity-indexed annuity investors with partial information |
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang |
2012 |
—
|
|
 |
Ruin theory in a hidden Markov-modulated risk model |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2011 |
—
|
|
 |
Filtering a Markov modulated random measure |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2010 |
|
|
 |
Option pricing when the regime-switching risk is priced |
Siu, Tak Kuen; Yang, Hailiang |
2009 |
—
|
|
 |
Pricing currency options under two-factor Markov-modulated stochastic volatility models |
Siu, Tak Kuen; Yang, Hailiang; Lau, John W |
2008 |
—
|
|
 |
Pricing participating products under a generalized jump-diffusion model |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2008 |
|
|
 |
Ruin theory under a generalized jump-diffusion model with regime switching |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2008 |
—
|
|
 |
Martingale representation for contingent claims with regime switching |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2007 |
—
|
|
 |
On valuing participating life insurance contracts with conditional heteroscedasticity |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2007 |
—
|
|
 |
On Bayesian mixture credibility |
Lau, John W; Siu, Tak Kuen; Yang, Hailiang |
2006 |
—
|
|
 |
Option pricing under threshold autoregressive models by threshold Esscher transform |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2006 |
|
|
 |
On Bayesian value at risk : from linear to non-linear portfolios |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2004 |
—
|
|
List View
