Tak Kuen Siu

Publication Activity (10 Years)

Years Active: 2007-2024
Publications (10 Years): 13

Top Topics

Handwritten Word Recognition

Portfolio Selection

Poisson Process

Top Venues

J. Comput. Appl. Math.

Eur. J. Oper. Res.

J. Appl. Probab.

Expert Syst. Appl.

Publications

Ning Wang, Tak Kuen Siu
Investment-consumption optimization with transaction cost and learning about return predictability. Eur. J. Oper. Res. 318 (3) (2024)
Ning Wang, Tak Kuen Siu, Kun Fan
Robust reinsurance and investment strategies under principal-agent framework. Ann. Oper. Res. 336 (1-2) (2024)
Dong-Mei Zhu, Jia-Wen Gu, Feng-Hui Yu, Tak Kuen Siu, Wai-Ki Ching
Optimal pairs trading with dynamic mean-variance objective. Math. Methods Oper. Res. 94 (1) (2021)
Jinxia Zhu, Tak Kuen Siu, Hailiang Yang
Singular dividend optimization for a linear diffusion model with time-inconsistent preferences. Eur. J. Oper. Res. 285 (1) (2020)
Sini Guo, Wai-Ki Ching, Wai-Keung Li, Tak Kuen Siu, Zhiwen Zhang
Fuzzy hidden Markov-switching portfolio selection with capital gain tax. Expert Syst. Appl. 149 (2020)
Tak Kuen Siu, Jinxia Zhu, Hailiang Yang
A martingale approach for asset allocation with derivative security and hidden economic risk. J. Appl. Probab. 56 (3) (2019)
Hui Meng, Pu Liao, Tak Kuen Siu
Continuous-time optimal reinsurance strategy with nontrivial curved structures. Appl. Math. Comput. 363 (2019)
Wai-Ki Ching, Jia-Wen Gu, Xiaoyue Li, Tak Kuen Siu, Harry Zheng
On infectious model for dependent defaults. Risk Decis. Anal. 6 (4) (2017)
Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak Kuen Siu, Lianmin Zhang
A Higher-order interactive hidden Markov model and its applications. OR Spectr. 39 (4) (2017)
Hui Meng, Tak Kuen Siu, Hailiang Yang
A note on optimal insurance risk control with multiple reinsurers. J. Comput. Appl. Math. 319 (2017)
Hui Meng, Tak Kuen Siu, Hailiang Yang
Optimal insurance risk control with multiple reinsurers. J. Comput. Appl. Math. 306 (2016)
Dong-Mei Zhu, Yue Xie, Wai-Ki Ching, Tak Kuen Siu
Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model. Autom. 74 (2016)
Tak Kuen Siu
A functional Itô's calculus approach to convex risk measures with jump diffusion. Eur. J. Oper. Res. 250 (3) (2016)
Robert J. Elliott, Tak Kuen Siu, Samuel N. Cohen
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree. J. Appl. Probab. 52 (3) (2015)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
On reduced-form intensity-based model with 'trigger' events. J. Oper. Res. Soc. 65 (3) (2014)
Robert J. Elliott, Tak Kuen Siu, Leunglung Chan
On pricing barrier options with regime switching. J. Comput. Appl. Math. 256 (2014)
Robert J. Elliott, Tak Kuen Siu
Filtering and change point estimation for hidden Markov-modulated Poisson processes. Appl. Math. Lett. 28 (2014)
Yang Shen, Xin Zhang, Tak Kuen Siu
Mean-variance portfolio selection under a constant elasticity of variance model. Oper. Res. Lett. 42 (5) (2014)
Robert J. Elliott, Tak Kuen Siu, Eric S. Fung
A Double HMM approach to Altman Z-scores and credit ratings. Expert Syst. Appl. 41 (4) (2014)
Robert J. Elliott, Tak Kuen Siu, John W. Lau
Filtering a Double Threshold Model With Regime Switching. IEEE Trans. Autom. Control. 58 (12) (2013)
Yang Shen, Tak Kuen Siu
A stochastic maximum principle for backward control systems with random default time. Int. J. Control 86 (5) (2013)
Robert J. Elliott, Leunglung Chan, Tak Kuen Siu
Option valuation under a regime-switching constant elasticity of variance process. Appl. Math. Comput. 219 (9) (2013)
Yang Shen, Tak Kuen Siu
Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching. Oper. Res. Lett. 41 (2) (2013)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu, Harry Zheng
On modeling credit defaults: A probabilistic Boolean network approach. Risk Decis. Anal. 4 (2) (2013)
Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang
Option valuation by a self-exciting threshold binomial model. Math. Comput. Model. 58 (1-2) (2013)
Fuqiang Lu, Min Huang, Wai-Ki Ching, Tak Kuen Siu
Credit portfolio management using two-level particle swarm optimization. Inf. Sci. 237 (2013)
Jingzhen Liu, Ka Fai Cedric Yiu, Tak Kuen Siu
A decomposition method for optimal portfolios with regime-switching and risk constraint. Risk Decis. Anal. 3 (4) (2012)
Na Song, Wai-Ki Ching, Tak Kuen Siu, Ka Fai Cedric Yiu
Optimal Submission Problem in a Limit Order Book with VaR Constraints. CSO (2012)
Xin Zhang, Robert J. Elliott, Tak Kuen Siu
A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance. SIAM J. Control. Optim. 50 (2) (2012)
Tak Kuen Siu
A BSDE approach to risk-based asset allocation of pension funds with regime switching. Ann. Oper. Res. 201 (1) (2012)
Na Song, Tak Kuen Siu, Farzad Alavi Fard, Wai-Ki Ching, Eric S. Fung
Risk measures and behaviors for bonds under stochastic interest rate models. Math. Comput. Model. 56 (9-10) (2012)
Na Song, Wai-Ki Ching, Dong-Mei Zhu, Tak Kuen Siu
Asset Allocation under Regime-Switching Models. BIFE (2012)
Robert J. Elliott, Tak Kuen Siu
Markovian forward-backward stochastic differential equations and stochastic flows. Syst. Control. Lett. 61 (10) (2012)
Xiang Lin, Chunhong Zhang, Tak Kuen Siu
Stochastic differential portfolio games for an insurer in a jump-diffusion risk process. Math. Methods Oper. Res. 75 (1) (2012)
Robert J. Elliott, Tak Kuen Siu
An M-ary detection approach for asset allocation. Comput. Math. Appl. 62 (4) (2011)
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
Characteristic functions and option valuation in a Markov chain market. Comput. Math. Appl. 62 (1) (2011)
Jia-Wen Gu, Wai-Ki Ching, Tak Kuen Siu
A Markovian infectious model for dependent default risk. Int. J. Intell. Eng. Informatics 1 (2) (2011)
Robert J. Elliott, Chuin Ching Liew, Tak Kuen Siu
On filtering and estimation of a threshold stochastic volatility model. Appl. Math. Comput. 218 (1) (2011)
Robert J. Elliott, Tak Kuen Siu
A BSDE approach to a risk-based optimal investment of an insurer. Autom. 47 (2) (2011)
Robert J. Elliott, Tak Kuen Siu
Control of discrete-time HMM partially observed under fractional Gaussian noises. Syst. Control. Lett. 60 (5) (2011)
Min Huang, Fuqiang Lu, Wai-Ki Ching, Tak Kuen Siu
A distributed decision making model for risk management of virtual enterprise. Expert Syst. Appl. 38 (10) (2011)
Hui Meng, Tak Kuen Siu
Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance. SIAM J. Control. Optim. 49 (1) (2011)
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
Filtering a Markov Modulated Random Measure. IEEE Trans. Autom. Control. 55 (1) (2010)
Wai-Ki Ching, Ho-Yin Leung, Hao Jiang, Liang Sun, Tak Kuen Siu
A Markovian network model for default risk management. Int. J. Intell. Eng. Informatics 1 (1) (2010)
Xin Zhang, Tak Kuen Siu, Qingbin Meng
Portfolio Selection in the Enlarged Markovian Regime-Switching Market. SIAM J. Control. Optim. 48 (5) (2010)
Robert J. Elliott, Tak Kuen Siu
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Ann. Oper. Res. 176 (1) (2010)
Tak Kuen Siu
Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows. Appl. Math. Comput. 216 (11) (2010)
Ka Fai Cedric Yiu, Jingzhen Liu, Tak Kuen Siu, Wai-Ki Ching
Optimal portfolios with regime switching and value-at-risk constraint. Autom. 46 (6) (2010)
Tak Kuen Siu, Wai-Ki Ching, Eric S. Fung, Michael K. Ng, Xun Li
A high-order Markov-switching model for risk measurement. Comput. Math. Appl. 58 (1) (2009)
Robert J. Elliott, Tak Kuen Siu
A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization. ISCAS (2009)
Robert J. Elliott, Tak Kuen Siu
A Markovian regime-switching stochastic differential game for portfolio risk minimization. ACC (2008)
Robert J. Elliott, Tak Kuen Siu, Hailiang Yang
Insurance Claims Modulated by a Hidden Marked Point Process. ACC (2007)
Wai-Ki Ching, Tak Kuen Siu, Limin Li
Pricing Exotic Options under a High-Order Markovian Regime Switching Model. Adv. Decis. Sci. 2007 (2007)