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The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen - In: Applied economics 53 (2021) 17, pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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Optimal payout strategies when Bruno de Finetti meets model uncertainty
Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 116 (2024), pp. 148-164
Persistent link: https://www.econbiz.de/10015066799
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On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.; Siu, Tak Kuen - 2010
Persistent link: https://www.econbiz.de/10003964890
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
Lin, Xiang; Zhang, Chunhong; Siu, Tak Kuen - In: Mathematical methods of operations research 75 (2012) 1, pp. 83-100
Persistent link: https://www.econbiz.de/10009490707
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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
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A decomposition method for optimal portfolios with regime-switching and risk constraint
Liu, Jingzhen; Yiu, Ka-fai Cedric; Siu, Tak Kuen - In: Risk and decision analysis 3 (2012) 4, pp. 269-276
Persistent link: https://www.econbiz.de/10009704597
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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
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.; Siu, Tak Kuen - In: Computational economics 31 (2008) 3, pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
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A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883
Persistent link: https://www.econbiz.de/10011445346