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Optimal portfolio in a continuous-time self-exciting threshold model |
Meng, Hui; Yuen, Fei Lung; Siu, Tak Kuen; Yang, Hailiang |
2013 |
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Insurance claims modulated by a hidden marked point process |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2007 |
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Option pricing under threshold autoregressive models by threshold Esscher transform |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2006 |
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Filtering a Markov modulated random measure |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2010 |
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Pricing participating products under a generalized jump-diffusion model |
Siu, Tak Kuen; Lau, John W; Yang, Hailiang |
2008 |
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A Partial differential equation approach to multivariate risk theory |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2012 |
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Optimal surrender strategies for equity-indexed annuity investors with partial information |
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang |
2012 |
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On the optimal dividend strategy in a regime-switching diffusion model |
Wei, Jiaqin; Wang, Rongming; Yang, Hailiang |
2012 |
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Asset allocation under threshold autoregressive models |
Song, Na; Siu, Tak Kuen; Ching, Wa-Ki; Tong, Howell; Yang, Hailiang |
2012 |
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On a generalized form of risk measure |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2003 |
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On pricing derivatives under GARCH models : a dynamic Gerber-Shiu's approach |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2004 |
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On Bayesian value at risk : from linear to non-linear portfolios |
Siu, Tak Kuen; Tong, Howell; Yang, Hailiang |
2004 |
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On Bayesian mixture credibility |
Lau, John W; Siu, Tak Kuen; Yang, Hailiang |
2006 |
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Martingale representation for contingent claims with regime switching |
Elliott, Robert J; Siu, Tak Kuen; Yang, Hailiang |
2007 |
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Risk and probability measures |
Boyle, Phelim; Siu, Tak Kuen; Yang, Hailiang |
2002 |
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