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Shih‐Kuei Lin

Observed names: Lin, Shih-Kuei, Shih-Kuei Lin, 林士貴
Observed institutions: National Sun Yat-sen University, National University of Kaohsiung, Institute of Statistical Science, Academia Sinica, Temple University, Academia Sinica, National Chengchi University, National Kaohsiung University of Applied Sciences
ORCID: 0000-0003-2229-7442
Observed ORCID: 0000-0003-2229-7442
OpenAlex ID: A5069048542
Machine learning and artificial neural networks to construct P2P lending credit-scoring model: A case using Lending Club data
2022 · An-Hsing Chang, Li-Kai Yang, et al. · Quantitative Finance and Economics · 60
Valuation of Catastrophe Equity Puts With Markov-Modulated Poisson Processes
2010 · Chia-Chien Chang, Shih-Kuei Lin, et al. · Journal of Risk & Insurance · 44
The valuation of contingent capital with catastrophe risks
2009 · Shih-Kuei Lin, Chia-Chien Chang, et al. · Insurance Mathematics and Economics · 42
Intelligent portfolio construction via news sentiment analysis
2023 · Ming-Chin Hung, Ping-Hung Hsia, et al. · International Review of Economics & Finance · 37
Estimation of Housing Price Jump Risks and Their Impact on the Valuation of Mortgage Insurance Contracts
2009 · Ming-Chi Chen, Chia-Chien Chang, et al. · Journal of Risk & Insurance · 33
Pricing derivatives with modeling CO 2 emission allowance using a regime-switching jump diffusion model: with regime-switching risk premium
2015 · Chang-Yi Li, Son-Nan Chen, et al. · European Journal of Finance · 27
A tale of two regimes: Theory and empirical evidence for a Markov-modulated jump diffusion model of equity returns and derivative pricing implications
2013 · Charles Chang, Cheng-Der Fuh, et al. · Journal of Banking & Finance · 19
Application of hidden Markov switching moving average model in the stock markets: Theory and empirical evidence
2008 · Shih-Kuei Lin, Shin-Yun Wang, et al. · International Review of Economics & Finance · 15
The Valuation of Contingent Capital with Catastrophe Risks
2008 · Michael R. Powers, Shih-Kuei Lin, et al. · SSRN Electronic Journal · 9
Empirical Performance and Asset Pricing in Hidden Markov Models
2003 · Cheng-Der Fuh, Inchi Hu, et al. · Communication in Statistics- Theory and Methods · 9
Fair valuation of mortgage insurance under stochastic default and interest rates
2017 · Yang-Che Wu, Yi-Ting Huang, et al. · The North American Journal of Economics and Finance · 8
Foreign exchange option pricing in the currency cycle with jump risks
2014 · Chien-Hsiu Lin, Shih-Kuei Lin, et al. · Review of Quantitative Finance and Accounting · 8
Pricing Catastrophe Insurance Products in MarkovJump Diffusion Models
2008 · Shih‐Kuei Lin, David Shyu, et al. · Zhōngguó cáiwù xuékān · 8
Pricing mortgage insurance contracts under housing price cycles with jump risk: evidence from the U.K. housing market
2017 · Ming-Che Chuang, Wan-Ru Yang, et al. · European Journal of Finance · 7
Valuation and empirical analysis of currency options
2019 · Ming-Che Chuang, Chin-Hsiang Wen, et al. · International Review of Economics & Finance · 6
Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
2017 · Shih-Kuei Lin, Shin-Yun Wang, et al. · The North American Journal of Economics and Finance · 6
Pricing gold options under Markov-modulated jump-diffusion processes
2014 · Shih-Kuei Lin, Yu-Min Lian, et al. · Applied Financial Economics · 6
Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
2007 · Shih-Kuei Lin, Ren-Her Wang, et al. · Asia-Pacific Financial Markets · 6
Portfolio Allocation with Dynamic Risk Preference Via Reinforcement Learning: Evidence from the Taiwan 50 Index
2022 · Ting-Fu Chen, Xian-Ji Kuang, et al. · Computational Economics · 5
Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
2016 · Yuan-Lin Hsu, Shih-Kuei Lin, et al. · Economic Modelling · 5
Pricing and Hedging European Energy Derivatives: A Case Study of WTI Oil Options
2014 · Chih-Chen Hsu, Shih-Kuei Lin, et al. · Asia-Pacific Journal of Financial Studies · 5
A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices
2014 · Shih-Kuei Lin, Chien-Hsiu Lin, et al. · Economic Modelling · 5
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
2020 · Yang-Che Wu, Ting-Fu Chen, et al. · Quantitative Finance · 4
The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices
2016 · Chih-Chen Hsu, An-Sing Chen, et al. · Review of Quantitative Finance and Accounting · 4
The pricing and hedging of structured notes with systematic jump risk: An analysis of the USD knock-out reversed swap
2009 · Shin-Yun Wang, Shih-Kuei Lin · International Review of Economics & Finance · 4
Works count: 61
Citation count: 416
H-index: 9
I10-index: 8
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