World's Best Scientists 2026 revealed!

D-Index & Metrics

Economics and Finance

D-Index
35
Citations
5199
World Ranking
2952
National Ranking
83

Overview

Tak Kuen Siu is affiliated with Macquarie University in Australia and has contributed extensively to the field of Economics, Econometrics, and Finance. Their research prominently focuses on areas such as finance, economics and econometrics, demography, management science and operations research, and accounting.

The scientist's work addresses several specialized topics within these fields, including:

  • Stochastic processes and financial applications
  • Insurance, mortality, demography, risk management
  • Financial risk and volatility modeling
  • Risk and portfolio optimization
  • Insurance and financial risk management
  • Economic theories and models
  • Market dynamics and volatility

Tak Kuen Siu has numerous publications, with a strong focus on finance and risk management. Their recent papers include:

  • Bitcoin option pricing with a SETAR-GARCH model, 2020, European Journal of Finance
  • Household consumption-investment-insurance decisions with uncertain income and market ambiguity, 2021, Scandinavian Actuarial Journal
  • Robust reinsurance and investment strategies under principal-agent framework, 2022, Annals of Operations Research
  • Fuzzy hidden Markov-switching portfolio selection with capital gain tax, 2020, Expert Systems with Applications
  • Optimal risk exposure and dividend payout policies under model uncertainty, 2021, Insurance Mathematics and Economics

Their frequent co-authors include Robert J. Elliott, Ning Wang, Wai-Ki Ching, Jia-Wen Gu, and Yang Feng, with multiple collaborations reflecting ongoing research partnerships.

Tak Kuen Siu's work is regularly published in several academic journals where they have contributed multiple papers. The main venues of publication are:

  • Insurance Mathematics and Economics
  • Quantitative Finance
  • Journal of Industrial and Management Optimization
  • Journal of Futures Markets
  • arXiv (Cornell University)

This profile reflects a focused and diversified research agenda, involving quantitative modeling and applied finance, particularly relating to insurance, risk management, and financial economics. The scientist's contributions span theoretical development as well as applied analysis in financial markets and related domains.

Best Publications

  • Option pricing and Esscher transform under regime switching

    Robert J. Elliott;Leunglung Chan;Tak Kuen Siu

  • Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

    Robert J. Elliott;Tak Kuen Siu;Leunglung Chan

  • Pricing options under a generalized Markov-Modulated jump-diffusion model

    Robert J. Elliott;Tak Kuen Siu;Leunglung Chan;John W. Lau

  • Fair valuation of participating policies with surrender options and regime switching

    Tak Kuen Siu

  • On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach

    Tak Kuen Siu;Howell Tong;Hailiang Yang

  • On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy

    Robert J. Elliott;Robert J. Elliott;Tak Kuen Siu

  • A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

    Xin Zhang;Robert J. Elliott;Tak Kuen Siu

  • Optimal investment and reinsurance of an insurer with model uncertainty

    Xin Zhang;Tak Kuen Siu

  • On supply chain coordination for false failure returns: A quantity discount contract approach

    Ximin Huang;Sin Man Choi;Wai Ki Ching;Tak Kuen Siu

  • Impact of secondary market on consumer return policies and supply chain coordination

    Ximin Huang;Jia Wen Gu;Wai Ki Ching;Tak Kuen Siu

  • On mean-variance portfolio selection under a hidden Markovian regime-switching model

    Robert J Elliott;Robert J Elliott;Tak Kuen Siu;Alexandru Badescu

  • The maximum principle for a jump-diffusion mean-field model and its application to the mean–variance problem

    Yang Shen;Tak Kuen Siu;Tak Kuen Siu

  • On Markov-modulated exponential-affine bond price formulae

    Robert J. Elliott;Tak Kuen Siu

  • On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach

    Unknown

  • Pricing currency options under two-factor Markov-modulated stochastic volatility models

    Tak Kuen Siu;Hailiang Yang;John W. Lau

  • Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows

    Tak Kuen Siu

  • A stochastic differential game for optimal investment of an insurer with regime switching

    Robert J. Elliott;Tak Kuen Siu

  • Optimal portfolios with regime switching and value-at-risk constraint

    Ka-Fai Cedric Yiu;Jingzhen Liu;Tak Kuen Siu;Wai-Ki Ching

  • Asset allocation for a DC pension fund under regime switching environment

    Ralf Korn;Tak Kuen Siu;Aihua Zhang

  • On optimal reinsurance, dividend and reinvestment strategies

    Hui Meng;Tak Kuen Siu

  • On a multivariate Markov chain model for credit risk measurement

    Tak Kuen Siu;Wai Ki Ching;Eric S. Fung;Michael K. Ng

  • On pricing barrier options with regime switching

    Robert J. Elliott;Robert J. Elliott;Robert J. Elliott;Tak Kuen Siu;Tak Kuen Siu;Leunglung Chan

Frequent Co-Authors

Robert J. Elliott
Robert J. Elliott University of Calgary
Wai-Ki Ching
Wai-Ki Ching University of Hong Kong
Michael K. Ng
Michael K. Ng Hong Kong Baptist University
Wing-Keung Wong
Wing-Keung Wong Asian University
Dilip B. Madan
Dilip B. Madan University of Maryland, College Park

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