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Esscher transforms and consumption-based models
Badescu, Alex; Elliott, Robert J; Siu, Tak Kuen
2009
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Loss reserving using loss aversion functions
Choo, Weihao; de Jong, Piet
2009
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Semiparametric model for prediction of individual claim loss reserving
Zhao, Xiao Bing; Zhou, Xian; Wang, Jing Long
2009
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The Credibility premiums for models with dependence induced by common effects
Wen, Limen; Wu, Xianyi; Zhou, Xian
2009
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Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin; Siu, Tak Kuen
2009
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On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W; Siu, Tak Kuen
2008
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A Game theoretic approach to option valuation under Markovian regime-switching models
Siu, Tak Kuen
2008
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A Hidden Markov regime-switching model for option valuation
Liew, Chuin; Siu, Tak Kuen
2010
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Graduates' use of spreadsheet tools in learning and applying financial mathematics
Kyng, Timothy; Taylor, Paul
2008
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A New characterization of distortion premiums via countable additivity for comonotonic risks
Wu, Xianyi; Zhou, Xian
2006
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Jump diffusion processes and their applications in insurance and finance
Jang, Jiwook
2007
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1
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Author/Creator
Siu, Tak Kuen
(5)
Zhou, Xian
(3)
Wu, Xianyi
(2)
Badescu, Alex
(1)
Choo, Weihao
(1)
Elliott, Robert J
(1)
Jang, Jiwook
(1)
Kyng, Timothy
(1)
Lau, John W
(1)
Liew, Chuin
(1)
Subject Keyword
010400 Statistics
(10)
Esscher transform
(4)
Stochastic differential game
(2)
Consumption-based model
(1)
Esscher–Girsanov transform
(1)
Euler equation
(1)
Expected Maximum Loss
(1)
Exponential affine form
(1)
Exponential utility
(1)
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