Mei Choi Chiu

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Person:319795

Available identifiers

zbMath Open chiu.mei-choiDBLP73/9919WikidataQ83422023 ScholiaQ83422023MaRDI QIDQ319795

List of research outcomes





PublicationDate of PublicationType
Optimal expansion of business opportunity2023-07-10Paper
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate2023-03-13Paper
Pairs trading under delayed cointegration2022-09-30Paper
Pairs trading with illiquidity and position limits2021-11-12Paper
FFT-network for bivariate Lévy option pricing2021-05-04Paper
Volterra mortality model: actuarial valuation and risk management with long-range dependence2021-03-17Paper
MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS2021-02-10Paper
Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy2020-02-14Paper
Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration2019-11-22Paper
Optimal investment for insurers with correlation risk: risk aversion and investment horizon2019-09-25Paper
Robust dynamic pairs trading with cointegration2019-06-11Paper
Optimal investment for insurers with the extended CIR interest rate model2019-02-14Paper
Dynamic safety first expected utility model2018-07-25Paper
Dual-curve Hull-White interest rate model with stochastic volatility2017-12-12Paper
FFT network for interest rate derivatives with Lévy processes2017-12-12Paper
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration2016-12-14Paper
Commodity derivatives pricing with cointegration and stochastic covariances2016-10-06Paper
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies2015-08-19Paper
Mean-variance asset-liability management with asset correlation risk and insurance liabilities2015-02-03Paper
Time-consistent mean-variance hedging of longevity risk: effect of cointegration2015-01-28Paper
Mean-variance asset-liability management: cointegrated assets and insurance liability2014-07-27Paper
Mean-variance portfolio selection with correlation risk2014-07-17Paper
Optimal investment for an insurer with cointegrated assets: CRRA utility2014-07-16Paper
Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility2013-09-19Paper
Mean-variance principle of managing cointegrated risky assets and random liabilities2013-06-24Paper
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility2012-07-13Paper
Mean-variance portfolio selection of cointegrated assets2011-07-13Paper
Asset-liability management under the safety-first principle2010-02-15Paper
Asset and liability management under a continuous-time mean-variance optimization framework2007-01-09Paper

Research outcomes over time

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