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~subject:"Risiko"
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Risiko
Theorie
48
Theory
48
Markov chain
40
Markov-Kette
38
Option pricing theory
37
Optionspreistheorie
37
Stochastic process
31
Stochastischer Prozess
31
Portfolio selection
24
Portfolio-Management
24
Risk
18
Volatility
13
Volatilität
13
Esscher transform
11
Option trading
11
Optionsgeschäft
11
Regime-switching
11
Hedging
10
Risikomanagement
10
Risikomaß
10
Risk management
10
Risk measure
10
ARCH model
8
ARCH-Modell
8
Derivat
8
Derivative
8
Credit risk
7
Kreditrisiko
7
Martingal
7
Martingale
7
Börsenkurs
6
CAPM
6
Capital income
6
Dividend
6
HJB equation
6
Kapitaleinkommen
6
Option pricing
6
Reinsurance
6
Risikomodell
6
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Undetermined
10
Free
1
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Article
18
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18
Aufsatz in Zeitschrift
18
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English
18
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Siu, Tak Kuen
17
Elliott, Robert J.
3
Zhu, Jinxia
3
Feng, Yang
2
Liu, Jingzhen
2
Wang, Ning
2
Yang, Hailiang
2
Chan, Leunglung
1
Goswami, Anindya
1
Jin, Zhuo
1
Lau, John W.
1
Lin, Xiang
1
Madan, Dilip B.
1
Meng, Hui
1
Qiu, Ming
1
Rana, Nimit
1
Shen, Yang
1
Yiu, Ka-fai Cedric
1
Zhang, Chunhong
1
Zhang, Xin
1
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Insurance / Mathematics & economics
3
Annals of finance
2
European journal of operational research : EJOR
2
Scandinavian actuarial journal
2
Annals of operations research
1
Applied economics
1
Computational economics
1
Insurance : mathematics and economics
1
Journal of mathematical economics
1
Mathematical methods of operations research
1
Research in international business and finance
1
Risk and decision analysis
1
Risks : open access journal
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ECONIS (ZBW)
18
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18
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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:
7
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:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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