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Siu, Tak Kuen
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Badescu, Alex
3
Elliott, Robert J.
3
Zhang, Xin
3
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Insurance / Mathematics & economics
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14
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1
European option pricing with market frictions, regime switches and model uncertainty
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
113
(
2023
),
pp. 233-250
Persistent link: https://www.econbiz.de/10014466214
Saved in:
2
Optimal risk exposure and dividend payout policies under model uncertainty
Feng, Yang
;
Zhu, Jinxia
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012622379
Saved in:
3
A self-exciting threshold jump-diffusion model for option valuation
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 168-193
Persistent link: https://www.econbiz.de/10011530946
Saved in:
4
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
5
Optimal dividends with debts and nonlinear insurance risk processes
Meng, Hui
;
Siu, Tak Kuen
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
53
(
2013
)
1
,
pp. 110-121
Persistent link: https://www.econbiz.de/10009785414
Saved in:
6
Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 757-768
Persistent link: https://www.econbiz.de/10010227881
Saved in:
7
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
Saved in:
8
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
Saved in:
9
A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
Saved in:
10
Esscher transforms and consumption-based models
Badescu, Alex
;
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 337-347
Persistent link: https://www.econbiz.de/10009517559
Saved in:
11
Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
1
,
pp. 81-88
Persistent link: https://www.econbiz.de/10009517594
Saved in:
12
Optimal dividends with debts and nonlinear insurance risk processes
Meng, Hui
;
Siu, Tak Kuen
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
53
(
2013
)
1
,
pp. 110-121
Persistent link: https://www.econbiz.de/10010148973
Saved in:
13
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10010062198
Saved in:
14
A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
47
(
2010
)
3
,
pp. 374-385
Persistent link: https://www.econbiz.de/10008717972
Saved in:
15
Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
1
,
pp. 81-88
Persistent link: https://www.econbiz.de/10008277114
Saved in:
16
Esscher transforms and consumption-based models
Badescu, Alex
;
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 337-347
Persistent link: https://www.econbiz.de/10008332292
Saved in:
17
Esscher transforms and consumption-based models
Badescu, Alex
;
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
3
,
pp. 337-348
Persistent link: https://www.econbiz.de/10008890270
Saved in:
18
Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
45
(
2009
)
1
,
pp. 81-89
Persistent link: https://www.econbiz.de/10008895437
Saved in:
19
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
- In:
Insurance / Mathematics & economics
43
(
2008
)
3
,
pp. 295-302
Persistent link: https://www.econbiz.de/10008149219
Saved in:
20
A game theoretic approach to option valuation under Markovian regime-switching models
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
42
(
2008
)
3
,
pp. 1146-1158
Persistent link: https://www.econbiz.de/10008057637
Saved in:
21
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-107
Persistent link: https://www.econbiz.de/10008082358
Saved in:
22
On option pricing under a completely random measure via a generalized Esscher transform
Lau, John W.
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
43
(
2008
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10008883789
Saved in:
23
A game theoretic approach to option valuation under Markovian regime-switching models
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
42
(
2008
)
3
,
pp. 1146-1159
Persistent link: https://www.econbiz.de/10008893114
Saved in:
24
Pricing currency options under two-factor Markov-modulated stochastic volatility models
Siu, Tak Kuen
;
Yang, Hailiang
;
Lau, John W.
- In:
Insurance / Mathematics & economics
43
(
2008
)
3
,
pp. 295-303
Persistent link: https://www.econbiz.de/10008893165
Saved in:
25
Fair valuation of participating policies with surrender options and regime switching
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
37
(
2005
)
3
,
pp. 533-552
Persistent link: https://www.econbiz.de/10006874110
Saved in:
26
Subjective risk measures: Bayesian predictive scenarios analysis
Siu, Tak Kuen
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
25
(
1999
)
2
,
pp. 157-170
Persistent link: https://www.econbiz.de/10006910268
Saved in:
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