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Annual Best Paper Award

From the Archive

News created: 19 Jul 2010

photo of Ken_SiuAssociate Professor Ken Siu has been awarded the prestigious North American Actuarial Journal Annual Best Paper Award for his 2008 paper, ‘The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model’, co-authored with Christina Erlwein and Rogemar Mamon. The North American Actuarial Journal is the official journal of the United States Society of Actuaries, a leading authority in the field of actuarial research. Past winners of the award include many leading researchers in actuarial science around the world.

The award-winning paper addresses the pricing issue of credit default swaps in a regime-switching structural credit risk model which takes into account the impact of structural changes in economic conditions when assessing and pricing credit risk.

Ken Siu has been an Associate Professor with the Department of Actuarial Studies since 2009. He has published in leading journals, is on the editorial boards of numerous journals and serves as a reviewer for many international journals in the fields of actuarial science, economics, finance, mathematics and statistics.

He holds a Ph.D. from the Department of Statistics and Actuarial Science at the University of Hong Kong and obtained his B.Sc. (First Class Hons) in Mathematics (Statistics) from the Hong Kong University of Science and Technology in 1998. His biographical profile is listed in the 2006-2007 Edition of Marquis Who's Who in Science and Engineering, U.S.A.

Ken has won numerous awards and grants. He recently was awarded ARC Discovery Project funding for 2011-2012, along with Professor Robert J. Elliott, for a project entitled “Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models”.

One of Ken’s main research interests is in the area of Regime Switching Models in finance and actuarial science. Regime Switching Models provide a way to model the impact of changing economic or environmental regimes for the long-term behaviour of investment returns, term structures of interest rates, insurance liabilities and other key variables for actuarial and investment analysis. The notion of Regime Switching not only plays an important role in actuarial science and finance but is also a fundamental concept in other fields such as the biological, engineering, physical, management and political sciences. It permeates many aspects of human activities.

The Faculty congratulates Associate Professor Ken Siu for this achievement and recognition of his work in the field of Actuarial Science.


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