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A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a … such that a risk metric of an investment portfolio is minimized. By adopting a sub-additive convex risk measure, which … takes into account interest rate risk, as a measure for risk, the investment problem is discussed mathematically in a form …

Persistent link: https://www.econbiz.de/10011811551

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

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

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

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

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

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

Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Wang, Ning; Zhuo, Jin; Siu, Tak Kuen; Qiu, Ming - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 832-865

Persistent link: https://www.econbiz.de/10012696889

Robust reinsurance contracts with risk constraint

Wang, Ning; Siu, Tak Kuen - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 419-453

Persistent link: https://www.econbiz.de/10012262748

Two price economic equilibria and financial market bid/ask prices

Elliott, Robert J.; Madan, Dilip B.; Siu, Tak Kuen - In: Annals of finance 17 (2021) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10012489935