Journal Publications Wang, L., Chiu, M.C., & Wong, H.Y. (2021). Volterra mortality model: Acturial valuation and risk management with longrange dependence. Insurance: Mathematics and Economics, 96, 114. Feng, M., Chiu, M.C. & Wong, H.Y. (2020). Pairstrading with illiquidity and position limits. Journal of Industrial and Management Optimization, 16, 29913009. Chiu, M.C. (2020). Meanvariance equilibrium assetliability management strategy with cointegrated assets. ANZIAM Journal, 62, 209234. Chen, K., Chiu, M.C. & Wong, H.Y. (2019). Timeconsistent meanvariance pairstrading with regimeswitching cointegration. SIAM Journal on Financial Mathematics, 10, 632665. Chen, K., Chiu, M.C., Shin, Y.H., & Wong, H.Y. (2019). Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy. SIAM Journal on Financial Mathematics, 10, 9771005. Chiu, M.C., Wong, H.Y. & Zhao, J. (2018). Dynamic Safety First Expected Utility Model. European journal of Operational Research, 271, 141154. Chiu, M.C. & Wong, H.Y. (2018). Robust dynamic pairs trading with cointegration. Operations Research Letters, 46(2), 225232. Chiu, M.C., & Wong, H.Y. (2018). Optimal investment for insurers with correlation risk: risk aversion and investment horizon. IMA Journal of Management Mathematics, 29, 207227. Chiu, M.C., Liang, W. & Wong, H.Y. (2017). Dualcurve Hull–White interest rate model with stochastic volatility. Japan Journal of Industrial and Applied Mathematics, 34, 711745. Chiu, M.C., Xu, Z. & Wong, H.Y. (2017). FFT network for interest rate derivatives with Levy processes. Japan Journal of Industrial and Applied Mathematics, 34, 675710. Chiu, M.C., Pun, C.S. & Wong, H.Y. (2017). Big data challenges of highdimensional continuoustime meanvariance portfolio selection and a remedy. Risk Analysis, 37, 15321549. Wong, T.W., Chiu, M.C. & Wong, H.Y. (2017). Managing mortality risk with longevity bonds when mortality rates are cointegrated. Journal of Risk and Insurance, 84, 9871023. Kwok, K.Y., Chiu, M.C. & Wong, H.Y. (2016). Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration. Insurance: Mathematics and Economics, 71, 353366. Chiu, M.C., & Wong, H.Y. (2015). Dynamic cointegrated pairs trading: Meanvariance timeconsistent strategies. Journal of Computational and Applied Mathematics, 290, 516534. Chiu, M.C., Wong, H.Y. & Zhao, J. (2015). Commodity derivatives pricing with cointegration and stochastic covariances. European Journal of Operational Research, 246(2), 476486. Chiu, M.C., & Wong, H.Y. (2014). Meanvariance assetliability management with asset correlation risk and insurance liabilities. Insurance: Mathematics and Economics, 59, 300310. Chiu, M.C., & Wong, H.Y. (2014). Optimal investment for insurers with the extended CIR interest rate model. Abstract and Applied Analysis, (2014) Article ID 129474, 112. Chiu, M.C., & Wong, H.Y. (2014). Meanvariance portfolio selection with correlation risk. Journal of Computational and Applied Mathematics, 263, 432444. Wong, T.W., Chiu, M.C., Wong, H.Y. (2014). Timeconsistent meanvariance hedging of longevity risk: Effect of cointegration. Insurance: Mathematics and Economics, 56, 5667. Wong, H.Y. & Chiu, M.C. (2013). Homotopy analysis method for boundaryvalue problem of turbo warrant pricing under stochastic volatility. Abstract and Applied Analysis, (2013) Article ID 682524, 15. Chiu, M.C., & Wong, H.Y. (2013). Meanvariance principle of managing cointegrated risky assets and random liabilities. Operations Research Letters, 41(1), 98106. Chiu, M.C., & Wong, H.Y. (2013). Optimal investment for an insurer with cointegrated assets: CRRA utility. Insurance: Mathematics and Economics, 52(1), 5264. Chiu, M.C. & Wong, H.Y. (2012). Meanvariance assetliability management: Cointegrated assets and insurance liabilities. European Journal of Operational Research, 223(3), 785793. Chiu, M.C., Wong, H.Y. & Li, D. (2012). Roy's safetyfirst portfolio principle in financial risk management of disastrous events. Risk Analysis, 32, 18561872. Chiu, M.C. & Wong, H.Y. (2011). Meanvariance portfolio selection of cointegrated assets. Journal of Economic Dynamics and Control, 35(8), 13691385. Chiu, M.C., Lo, Y.W. & Wong, H.Y (2011). Asymptotic expansion for pricing options on meanreverting assets with multiscale stochastic volatility. Operations Research Letters, 39(4), 289295. Chiu, M.C. & Li, D. (2009). Assetliability management under the safetyfirst principle. Journal of Optimization Theory and Applications, 143, 455478. Shiu, W.C. & Chiu, M.C. (2008). Invariant factors of cartesian product of graphs and one point unions of graphs. Congressus Numerantium, 191, 173184. Chiu, M.C. & Li, D. (2006). Asset and liability management under a continuoustime meanvariance optimization framework. Insurance: Mathematics and Economics, 39, 330355.
