Tak Kuen Siu

Orcid: 0000-0003-2823-5138

According to our database1, Tak Kuen Siu authored at least 52 papers between 2007 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.



In proceedings 
PhD thesis 


Online presence:

On csauthors.net:


Robust reinsurance and investment strategies under principal-agent framework.
Ann. Oper. Res., May, 2024

Optimal pairs trading with dynamic mean-variance objective.
Math. Methods Oper. Res., 2021

Fuzzy hidden Markov-switching portfolio selection with capital gain tax.
Expert Syst. Appl., 2020

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences.
Eur. J. Oper. Res., 2020

A martingale approach for asset allocation with derivative security and hidden economic risk.
J. Appl. Probab., 2019

Continuous-time optimal reinsurance strategy with nontrivial curved structures.
Appl. Math. Comput., 2019

On infectious model for dependent defaults.
Risk Decis. Anal., 2017

A Higher-order interactive hidden Markov model and its applications.
OR Spectr., 2017

A note on optimal insurance risk control with multiple reinsurers.
J. Comput. Appl. Math., 2017

Optimal insurance risk control with multiple reinsurers.
J. Comput. Appl. Math., 2016

A functional Itô's calculus approach to convex risk measures with jump diffusion.
Eur. J. Oper. Res., 2016

Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model.
Autom., 2016

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree.
J. Appl. Probab., 2015

Mean-variance portfolio selection under a constant elasticity of variance model.
Oper. Res. Lett., 2014

On reduced-form intensity-based model with 'trigger' events.
J. Oper. Res. Soc., 2014

On pricing barrier options with regime switching.
J. Comput. Appl. Math., 2014

A Double HMM approach to Altman Z-scores and credit ratings.
Expert Syst. Appl., 2014

Filtering and change point estimation for hidden Markov-modulated Poisson processes.
Appl. Math. Lett., 2014

Filtering a Double Threshold Model With Regime Switching.
IEEE Trans. Autom. Control., 2013

On modeling credit defaults: A probabilistic Boolean network approach.
Risk Decis. Anal., 2013

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching.
Oper. Res. Lett., 2013

Option valuation by a self-exciting threshold binomial model.
Math. Comput. Model., 2013

Credit portfolio management using two-level particle swarm optimization.
Inf. Sci., 2013

A stochastic maximum principle for backward control systems with random default time.
Int. J. Control, 2013

Option valuation under a regime-switching constant elasticity of variance process.
Appl. Math. Comput., 2013

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance.
SIAM J. Control. Optim., 2012

Markovian forward-backward stochastic differential equations and stochastic flows.
Syst. Control. Lett., 2012

A decomposition method for optimal portfolios with regime-switching and risk constraint.
Risk Decis. Anal., 2012

Stochastic differential portfolio games for an insurer in a jump-diffusion risk process.
Math. Methods Oper. Res., 2012

Risk measures and behaviors for bonds under stochastic interest rate models.
Math. Comput. Model., 2012

A BSDE approach to risk-based asset allocation of pension funds with regime switching.
Ann. Oper. Res., 2012

Optimal Submission Problem in a Limit Order Book with VaR Constraints.
Proceedings of the Fifth International Joint Conference on Computational Sciences and Optimization, 2012

Asset Allocation under Regime-Switching Models.
Proceedings of the Fifth International Conference on Business Intelligence and Financial Engineering, 2012

Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance.
SIAM J. Control. Optim., 2011

Control of discrete-time HMM partially observed under fractional Gaussian noises.
Syst. Control. Lett., 2011

A Markovian infectious model for dependent default risk.
Int. J. Intell. Eng. Informatics, 2011

A distributed decision making model for risk management of virtual enterprise.
Expert Syst. Appl., 2011

An M-ary detection approach for asset allocation.
Comput. Math. Appl., 2011

Characteristic functions and option valuation in a Markov chain market.
Comput. Math. Appl., 2011

A BSDE approach to a risk-based optimal investment of an insurer.
Autom., 2011

On filtering and estimation of a threshold stochastic volatility model.
Appl. Math. Comput., 2011

Filtering a Markov Modulated Random Measure.
IEEE Trans. Autom. Control., 2010

Portfolio Selection in the Enlarged Markovian Regime-Switching Market.
SIAM J. Control. Optim., 2010

A Markovian network model for default risk management.
Int. J. Intell. Eng. Informatics, 2010

Optimal portfolios with regime switching and value-at-risk constraint.
Autom., 2010

On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy.
Ann. Oper. Res., 2010

Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows.
Appl. Math. Comput., 2010

A high-order Markov-switching model for risk measurement.
Comput. Math. Appl., 2009

A Continuous-time Hidden Markov Model for Mean-variance Portfolio Optimization.
Proceedings of the International Symposium on Circuits and Systems (ISCAS 2009), 2009

A Markovian regime-switching stochastic differential game for portfolio risk minimization.
Proceedings of the American Control Conference, 2008

Pricing Exotic Options under a High-Order Markovian Regime Switching Model.
Adv. Decis. Sci., 2007

Insurance Claims Modulated by a Hidden Marked Point Process.
Proceedings of the American Control Conference, 2007