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Author ID: chiu.mei-choi Recent zbMATH articles by "Chiu, Mei Choi"
Published as: Chiu, Mei Choi; Chiu, M. C.
External Links: ORCID
Documents Indexed: 27 Publications since 2006
Co-Authors: 13 Co-Authors with 25 Joint Publications
372 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

22 Publications have been cited 281 times in 177 Documents Cited by Year
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
63
2006
Mean-variance portfolio selection of cointegrated assets. Zbl 1217.91166
Chiu, Mei Choi; Wong, Hoi Ying
36
2011
Mean-variance asset-liability management: cointegrated assets and insurance liability. Zbl 1292.91158
Chiu, Mei Choi; Wong, Hoi Ying
34
2012
Time-consistent mean-variance hedging of longevity risk: effect of cointegration. Zbl 1304.91136
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying
19
2014
Mean-variance principle of managing cointegrated risky assets and random liabilities. Zbl 1267.91041
Chiu, Mei Choi; Wong, Hoi Ying
17
2013
Mean-variance asset-liability management with asset correlation risk and insurance liabilities. Zbl 1306.91122
Chiu, Mei Choi; Wong, Hoi Ying
16
2014
Optimal investment for an insurer with cointegrated assets: CRRA utility. Zbl 1291.91099
Chiu, Mei Choi; Wong, Hoi Ying
14
2013
Mean-variance portfolio selection with correlation risk. Zbl 1291.91190
Chiu, Mei Choi; Wong, Hoi Ying
14
2014
Commodity derivatives pricing with cointegration and stochastic covariances. Zbl 1346.91227
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing
12
2015
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
12
2009
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies. Zbl 1319.91139
Chiu, Mei Choi; Wong, Hoi Ying
10
2015
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Zbl 1242.91185
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying
7
2011
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration. Zbl 1371.91096
Kwok, Kai Yin; Chiu, Mei Choi; Wong, Hoi Ying
7
2016
Robust dynamic pairs trading with cointegration. Zbl 07064477
Chiu, Mei Choi; Wong, Hoi Ying
4
2018
Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying
4
2019
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
3
2021
Dynamic safety first expected utility model. Zbl 1403.91142
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing
2
2018
Optimal investment for insurers with correlation risk: risk aversion and investment horizon. Zbl 07110043
Chiu, Mei Choi; Wong, Hoi Ying
2
2018
Optimal investment for insurers with the extended CIR interest rate model. Zbl 1406.91198
Chiu, Mei Choi; Wong, Hoi Ying
2
2014
FFT network for interest rate derivatives with Lévy processes. Zbl 1386.91137
Chiu, Mei Choi; Xu, Zhuolu; Wong, Hoi Ying
1
2017
Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility. Zbl 1273.91447
Wong, Hoi Ying; Chiu, Mei Choi
1
2013
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. Zbl 1433.91152
Chen, Kexin; Chiu, Mei Choi; Shin, Yong Hyun; Wong, Hoi Ying
1
2019
Volterra mortality model: actuarial valuation and risk management with long-range dependence. Zbl 1460.91240
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying
3
2021
Time-consistent mean-variance pairs-trading under regime-switching cointegration. Zbl 1431.91355
Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying
4
2019
Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. Zbl 1433.91152
Chen, Kexin; Chiu, Mei Choi; Shin, Yong Hyun; Wong, Hoi Ying
1
2019
Robust dynamic pairs trading with cointegration. Zbl 07064477
Chiu, Mei Choi; Wong, Hoi Ying
4
2018
Dynamic safety first expected utility model. Zbl 1403.91142
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing
2
2018
Optimal investment for insurers with correlation risk: risk aversion and investment horizon. Zbl 07110043
Chiu, Mei Choi; Wong, Hoi Ying
2
2018
FFT network for interest rate derivatives with Lévy processes. Zbl 1386.91137
Chiu, Mei Choi; Xu, Zhuolu; Wong, Hoi Ying
1
2017
Demand for longevity securities under relative performance concerns: stochastic differential games with cointegration. Zbl 1371.91096
Kwok, Kai Yin; Chiu, Mei Choi; Wong, Hoi Ying
7
2016
Commodity derivatives pricing with cointegration and stochastic covariances. Zbl 1346.91227
Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing
12
2015
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies. Zbl 1319.91139
Chiu, Mei Choi; Wong, Hoi Ying
10
2015
Time-consistent mean-variance hedging of longevity risk: effect of cointegration. Zbl 1304.91136
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying
19
2014
Mean-variance asset-liability management with asset correlation risk and insurance liabilities. Zbl 1306.91122
Chiu, Mei Choi; Wong, Hoi Ying
16
2014
Mean-variance portfolio selection with correlation risk. Zbl 1291.91190
Chiu, Mei Choi; Wong, Hoi Ying
14
2014
Optimal investment for insurers with the extended CIR interest rate model. Zbl 1406.91198
Chiu, Mei Choi; Wong, Hoi Ying
2
2014
Mean-variance principle of managing cointegrated risky assets and random liabilities. Zbl 1267.91041
Chiu, Mei Choi; Wong, Hoi Ying
17
2013
Optimal investment for an insurer with cointegrated assets: CRRA utility. Zbl 1291.91099
Chiu, Mei Choi; Wong, Hoi Ying
14
2013
Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility. Zbl 1273.91447
Wong, Hoi Ying; Chiu, Mei Choi
1
2013
Mean-variance asset-liability management: cointegrated assets and insurance liability. Zbl 1292.91158
Chiu, Mei Choi; Wong, Hoi Ying
34
2012
Mean-variance portfolio selection of cointegrated assets. Zbl 1217.91166
Chiu, Mei Choi; Wong, Hoi Ying
36
2011
Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility. Zbl 1242.91185
Chiu, Mei Choi; Lo, Yu Wai; Wong, Hoi Ying
7
2011
Asset-liability management under the safety-first principle. Zbl 1182.91190
Chiu, M. C.; Li, D.
12
2009
Asset and liability management under a continuous-time mean-variance optimization framework. Zbl 1151.91493
Chiu, Mei Choi; Li, Duan
63
2006
all top 5

Cited by 271 Authors

21 Wong, Hoi Ying
15 Chiu, Mei Choi
9 Shen, Yang
7 Li, Zhongfei
7 Wei, Jiaqin
7 Zeng, Yan
6 Yao, Haixiang
5 Chen, Ping
5 Pan, Jian
5 Sun, Zhongyang
4 Cui, Xiangyu
4 Forsyth, Peter A.
4 Jin, Zhuo
4 Li, Duan
4 Li, Xun
4 Peng, Liang
4 Wang, Tianxiao
3 Escobar Anel, Marcos
3 Li, Danping
3 Ling, Chen
3 Pham, Huyên
3 Pun, Chi Seng
3 Suzuki, Kiyoshi
3 Wang, Jian
3 Weng, Chengguo
3 Wu, Yonghong
3 Xiao, Qingxian
3 Zhu, Huainian
2 Chen, Junhe
2 Chen, Shumin
2 Chen, Zhiping
2 Clegg, Matthew
2 Deelstra, Griselda
2 Ewald, Christian-Oliver
2 Fouque, Jean-Pierre
2 Grasselli, Martino
2 Guambe, Calisto
2 Guo, Junyi
2 Han, Bingyan
2 Huang, Hong-Chih
2 Krauss, Christopher
2 Kufakunesu, Rodwell
2 Li, Deyuan
2 Li, Johnny Siu-Hang
2 Li, Shuang
2 Li, Shuanming
2 Liang, Zongxia
2 Ma, Guiyuan
2 Ma, Huiqiang
2 Regis, Luca
2 Rong, Ximin
2 Shen, Peilong
2 Sheng, Delei
2 Siu, Tak Kuen
2 Tan, Ken Seng
2 Valladão, Davi Michel
2 Van Weverberg, Christopher
2 Veiga, Alvaro
2 Wang, Guangchen
2 Wang, Shouyang
2 Wiwatanapataphee, Benchawan
2 Wong, Tat Wing
2 Wu, Huiling
2 Xie, Shuxiang
2 Yan, Tingjin
2 Yang, Hailiang
2 Yuen, Kam Chuen
2 Zhang, Chengke
2 Zhang, Jiannan
2 Zhang, Xin
2 Zhang, Yan
2 Zhao, Hui
2 Zhao, Jing
2 Zhao, Qian
2 Zhou, Kenneth Q.
2 Zhou, Xiangying
2 Zhu, Songping
1 Agarwal, Arun
1 Alghalith, Moawia
1 Altay, Sühan
1 Angkola, Francisca
1 Angoshtari, Bahman
1 Benson, Karen
1 Beyers, Conrad F. J.
1 Bian, Lihua
1 Blake, David
1 Bosserhoff, Frank
1 Brigo, Damiano
1 Cairns, Andrew J. G.
1 Cao, Ming
1 Chang, Hao
1 Chang, Kai
1 Chen, Fenge
1 Chen, Kexin
1 Chen, Lv
1 Chen, Wenting
1 Ching, Wai-Ki
1 Choi, So Eun
1 Chuliá, Helena
1 Chunxiang, A.
...and 171 more Authors
all top 5

Cited in 56 Serials

32 Insurance Mathematics & Economics
18 European Journal of Operational Research
11 Quantitative Finance
8 Journal of Computational and Applied Mathematics
7 Journal of Industrial and Management Optimization
5 ASTIN Bulletin
4 Journal of Mathematical Analysis and Applications
4 Operations Research Letters
4 Journal of Economic Dynamics & Control
4 Discrete Dynamics in Nature and Society
4 Scandinavian Actuarial Journal
4 SIAM Journal on Financial Mathematics
3 International Journal of Control
3 Chaos, Solitons and Fractals
3 Applied Mathematics and Optimization
3 Automatica
3 Optimization
3 Abstract and Applied Analysis
3 Mathematical Methods of Operations Research
3 Methodology and Computing in Applied Probability
3 North American Actuarial Journal
2 Applied Mathematics and Computation
2 Journal of Optimization Theory and Applications
2 Annals of Operations Research
2 Japan Journal of Industrial and Applied Mathematics
2 Communications in Statistics. Theory and Methods
2 Mathematical Problems in Engineering
2 Mathematical Finance
2 International Journal of Theoretical and Applied Finance
2 The ANZIAM Journal
2 Annals of Finance
1 Computers & Mathematics with Applications
1 Physica A
1 Journal of Econometrics
1 Numerische Mathematik
1 Opsearch
1 SIAM Journal on Control and Optimization
1 Systems & Control Letters
1 Statistics
1 Asia-Pacific Journal of Operational Research
1 Applied Mathematical Finance
1 Complexity
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 Journal of Inequalities and Applications
1 Infinite Dimensional Analysis, Quantum Probability and Related Topics
1 Journal of Systems Science and Complexity
1 Decisions in Economics and Finance
1 Stochastic Models
1 Asia-Pacific Financial Markets
1 Fuzzy Optimization and Decision Making
1 Advances in Difference Equations
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Algorithms
1 Journal of the Operations Research Society of China
1 Journal of Function Spaces

Citations by Year