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Discussion of paper already published : "Computation of multivariate barrier crossing probability and its applications in credit risk models," Joonghee Huh and Adam Kolkiewicz, July 2008 |
Siu, Tak Kuen |
2010 |
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Fast senstitivity computations for Monte Carlo valuation of pension funds |
Pitt, David; Joshi, Mark |
2010 |
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Model Selection and claim frequency for workers' compensation insurance |
Cui, Jisheng; Pitt, David; Qian, Guoqi |
2010 |
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Estimation of multi-stage survival distributions based on age-stage data |
Wu, Xianyi; Wang, Jinglong; Zhou, Xian |
2009 |
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A Higher-order Markov-switching model for risk measurement |
Siu, T. K; Ching, W. K; Fung, E; Ng, M; Li, X |
2009 |
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Nonparametric Bayesian credibility |
Siu, T. K; Yang, H |
2009 |
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Nonparametric Bayesian estimation based on beta prior in cure model |
Zhao, Xiaobing; Xiao, Ciului; Zhou, Xian |
2009 |
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On Markov-modulated exponential-affine bond price formulae |
Elliott, Robert J; Siu, Tak Kuen |
2009 |
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Option pricing when the regime-switching risk is priced |
Siu, Tak Kuen; Yang, Hailiang |
2009 |
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Portfolio risk minimization and differential games |
Elliott, Robert J; Siu, Tak Kuen |
2009 |
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Stochastic scheduling on parallel machines to minimize discounted holding costs |
Cai, Xiaoqiang; Wu, Xianyi; Zhou, Xian |
2009 |
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A Valuation model for perpetual convertible bonds with Markov regime switching models |
Song, Na; Jiao, Yue; Ching, Wai-Ki; Siu, Tak-Kuen; Wu, Zhen-Yu |
2009 |
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"Asset Allocation with Hedge Funds on the Menu" Phelim Boyle and Sun Siang Liew's October 2007 |
Siu, Tak Kuen |
2008 |
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Modelling long-term investment returns via Bayesian infinite mixture time series models |
Lau, John W; Siu, Tak Kuen |
2008 |
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The Pricing of credit default swaps under a Markov-modulated Merton's structural model |
Siu, Tak Kuen; Erlwein, Christina; Mamon, Rogemar |
2008 |
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