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Boris Choy

Photo of Boris Choy

PhD ImpLond M.Phil Chinese HK BSc(Hons) Leeds
Senior Lecturer

Rm 4084
H70 - Abercrombie Building
The University of Sydney
NSW 2006 Australia

Telephone +61 2 9351 2787
Fax +61 2 9351 6409
boris.choy@sydney.edu.au

Bio

Boris Choy received his PhD in Statistics from Imperial College London, MPhil in Statistics from the Chinese University of Hong Kong and BSc. (First Class Honours) in Mathematics from the University of Leeds.

Boris Choy's main research interests focus on robust statistical analysis of financial time series data and insurance data using heavy-tailed distributions via Bayesian computational methods and scale mixtures density representation. In financial applications, he is working on GARCH and stochastic volatility models. In insurance applications, he focuses on accurate calculation of premiums and prediction of loss reserve. His research interests also include option pricing, statistical consultation, survival analysis in finance, accounting and medicine, etc.

Boris Choy published his papers in the Journal of Royal Statistical Society, Series B, ASTIN Bulletin, etc. He was awarded the status of Chartered Statistician (CStat) by the Royal Statistical Society (UK) in 2002 and he is an Elected Member of the International Statistical Institute (ISI).

Boris Choy received a Discipline Teaching Excellent Award in 2010, an inaugural University of Sydney Business School Students’ Choice Award for Teaching in 2013, the Wayne Lonergan Outstanding Teaching Award in 2015, an inaugural Vice-Chancellor’s Award for Outstanding Teaching in 2016 and a number of Dean’s Citation for Teaching awards.

Selected publications

2018

Journal Articles

Chan J, Choy S, Makov U, and Landsman Z (2018) Modelling Insurance Losses Using Contaminated Generalised Beta Type-II Distribution Astin Bulletin, 48 (2), 871-904. [More Information]

Yeap C, Kwok S, and Choy S (2018) A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases Journal of Financial Econometrics, In Press. [More Information]

Book Chapters

Yeap C, Choy S, and Kwok S (2018) The Skew-t Option Pricing Model Econometrics for Financial Applications (Studies in Computational Intelligence - Volume 760); Springer International Publishing, Cham, Switzerland, 309-326. [More Information]

Zhu X, Wang T, Choy S, and Autchariyapanitkul K (2018) Measures of Mutually Complete Dependence for Discrete Random Vectors Predictive Econometrics and Big Data (Studies in Computational Intelligence: volume 753); Springer, Cham, Switzerland, 302-317. [More Information]

2017

Book Chapters

Au C, and Choy S (2017) An application of bayesian seemingly unrelated regression models with flexible tails Springer Proceedings in Mathematics & Statistics; Springer International Publishing, Switzerland, 115-125. [More Information]

Leung J, and Choy S (2017) Robustness in Forecasting Future Liabilities in Insurance Robustness in Econometrics; Springer, Cham, 187-200. [More Information]

2016

Journal Articles

Choy S, Chan J, and Makov U (2016) Robust Bayesian analysis of loss reserving data using scale mixtures distributions Journal of Applied Statistics, 43 (3), 396-411. [More Information]

Lam Y, Choy S, and Yu P (2016) A sequential sampling plan for exponential distribution Sequential Analysis, 35 (3), 331-346. [More Information]

Wang Y, Choy S, and Wong H (2016) Bayesian Option Pricing Framework with Stochastic Volatility for FX Data Risks, 4 (4), 1-12. [More Information]

Book Chapter

Yatigammana R, Choy S, and Chan J (2016) Autoregressive Conditional Duration Model with an Extended Weibull Error Distribution Causal Inference in Econometrics; Springer, Cham, 83-107. [More Information]

2015

Journal Articles

Wichitaksorn N, and Choy S (2015) Assessing sectoral risk through skew-error capital asset pricing model: Empirical evidence from Thai stock market Studies in Computational Intelligence, 583, 435-447. [More Information]

Wichitaksorn N, Wang J, Choy S, and Gerlach R (2015) Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures Applied Stochastic Models in Business and Industry, 31 (5), 584-608. [More Information]

Yatigammana R, Choy S, and Chan J (2015) Autoregressive conditional duration model with an extended weibull error distribution Studies in Computational Intelligence, 622, 83-107. [More Information]

Book Chapter

Wichitaksorn N, and Choy S (2015) Bayesian Parallel Computation for Intractable Likelihood Using Griddy-Gibbs Sampler Current Trends in Bayesian Methodology with Applications; CRC Press, Florida, United States, 619-631. [More Information]

2014

Journal Articles

Chan J, Choy S, and Lam C (2014) Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model Communications in Statistics - Theory and Methods, 43 (10-12), 2505-2515. [More Information]

Choy S, Chen C, and Lin E (2014) Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations Quantitative Finance, 14 (7), 1297-1313. [More Information]

Choy S, Gerlach R, and Wichitaksorn N (2014) A Generalized Class of Skew Distributions and Associated Robust Quantile Regression Models Canadian Journal of Statistics (Revue Canadienne de Statistique), 42 (4), 579-596. [More Information]

Book Chapters

Chan J, Lam C, and Choy S (2014) An Innovative Financial Time Series Model: The Geometric Process Model Modeling Dependence in Econometrics; Springer, Cham, 81-99. [More Information]

Choy S, and Bond C (2014) Statistical Analysis of Political Cycles on Australian Stock Market Returns Modeling Dependence in Econometrics; Springer, Cham, 307-328. [More Information]

2013

Journal Article

Wang J, Choy S, and Chan J (2013) Modelling Stochastic Volatility using Generalized t distribution Journal of Statistical Computation and Simulation, 83 (2), 340-354. [More Information]

2012

Journal Article

Chan J, Lam C, Yu P, Choy S, and Chen C (2012) A Bayesian conditional autoregressive geometric process model for range data Computational Statistics and Data Analysis, 56 (11), 3006-3019. [More Information]

Conference Proceeding

Wichitaksorn N, and Choy S (2012) Modeling Dependence of Seemingly Unrelated Tobit Model through Copula: A Bayesian Analysis 4th International Conference of the Thailand Econometrics Society; Chiang Mai University, Chiang Mai, Thailand.

2011

Journal Article

Wang J, Chan J, and Choy S (2011) Stochastic Volatility Models with Leverage and Heavy-Tailed Distributions: A Bayesian Approach Using Scale Mixtures Computational Statistics and Data Analysis, 55 (1), 852-862. [More Information]

Conference Proceeding

Choy S (2011) Comparison of Different Heavy-tailed Stochastic Volatility Models for Financial Data in Thailand The 3rd Conference of the Thailand Econometrics Society; Chiang Mai University Press, Thailand.

Book Chapter

Choy S, and Wichitaskorn N (2011) Contribution to the discussion of “Bayesian variable selection for random intercept modelling of Gaussian and non-Gaussian data�? by Frühwirth-Schnatter, S. & Wagner H Bayesian Statistics 9; Oxford University Press, Oxford, United Kingdom, 189-191.

2010

Journal Article

Chen C, Gerlach R, Choy S, and Lin C (2010) Estimation and inference for exponential smooth transition nonlinear volatility models Journal of Statistical Planning and Inference, 140 (3), 719-733. [More Information]

2009

Journal Articles

Chan J, Leung D, Choy S, and Wan W (2009) Nonignorable dropout models for longitudinal binary data with random effects: An application of Monte Carlo approximation through the Gibbs output Computational Statistics and Data Analysis, 53 (12), 4530-4545. [More Information]

Choy S, Chan J, and Makov U (2009) Model selection for loss reserves: The growing triangle technique Risk, Life and Pensions, 5, 35-40.

Curnow D, Cobbin D, Wyndham J, and Choy S (2009) Altered motor control, posture and the Pilates method of exercise prescription Journal of Bodywork and Movement Therapies, 13 (1), 104-111. [More Information]

2008

Journal Articles

Chan J, and Choy S (2008) Analysis of covariance structures in time series Journal of Data Science, 6 (4), 573-589.

Chan J, and Choy S (2008) Analysis of covariance structures in time series Journal of Data Science, 6 (4), 573-589.

Chan J, Choy S, and Makov U (2008) Robust Bayesian Analysis of Loss Reserves Data using the Generalized-t Distribution Astin Bulletin, 38 (1), 207-230. [More Information]

Choy S, and Chan J (2008) Scale mixtures distributions in statistical modelling Australian and New Zealand Journal of Statistics, 50 (2), 135-146. [More Information]

Conference Proceedings

Chan J, Lam C, Chen C, and Choy S (2008) Threshold geometric process model for financial time series Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, Yokohama.

Choy S, and Chan J (2008) Bayesian analysis of stochastic of volatilities using the generalized-t distribution Joint Meeting of 4th World Conference of the IASC and 6th Conference of the Asian Regional Section of the IASC on Computational Statistics & Data Analysis, Yokohama.

Loh A, Chan C, and Choy S (2008) Using Statistical Modeling to Detect Signal in the Presence of Background Noises in the Scope of Building Services Engineering - A Review Joint Symposium 2008 Shaping Our Future Environment, the role of Building Services Professionals; Hong Kong Polytechnic University, Hong Kong.

Book Chapter

Choy S, Wan W, and Chan C (2008) Bayesian student-t stochastic volatility models via scale mixtures Bayesian Econometrics (Advances in Econometrics volume 23); JAI Press, Bingley, UK, 595-618.

2007

Journal Articles

Chan J, Choy S, and Lee A (2007) Bayesian analysis of constant elasticity of variance models Applied Stochastic Models in Business and Industry, 23 (1), 83-96. [More Information]

Chan J, Choy S, and Lee A (2007) Bayesian analysis of constant elasticity of variance models Applied Stochastic Models in Business and Industry, 23 (1), 83-96. [More Information]

Strudwick M, Hinks R, and Choy S (2007) Point injection as an alternative acupuncture technique - an exploratory study of responses in healthy subjects Acupuncture in Medicine, 25 (4), 166-174.

Strudwick M, McMahon K, and Choy S (2007) Rapid response of autonomic nervous system to acupuncture in subject under stress Australian Journal of Acupuncture and Chinese Medicine, 2 (1), 9-15.

2006

Journal Articles

Read J, Choy S, Beale P, and Clarke S (2006) An evaluation of the prevalence of malnutrition in cancer patients attending the outpatient oncology clinic Asia-Pacific Journal of Clinical Oncology, 2 (2), 80-86. [More Information]

Read J, Choy S, Beale P, and Clarke S (2006) Evaluation of nutritional and inflammatory status of advanced colorectal cancer patients and its correlation with survival. Nutrition and Cancer: an international journal, 55 (1), 78-85. [More Information]

2005

Journal Article

Read J, Crockett N, Volker D, MacLennan P, Choy S, Beale P, and Clarke S (2005) Nutritional assessment in cancer: comparing the Mini-Nutritional Assessment (MNA) with the scored Patient-Generated Subjective Global Assessment (PGSGA). Nutrition and Cancer: an international journal, 53 (1), 51-56. [More Information]

2003

Conference Proceeding

Choy S, Chan J, and Yam C (2003) Robust analysis of salamander data, Generalized Linear model with random effects 7th Valencia International Meeting on Bayesian Statistics; Oxford University Press, New York.

Selected grants

Recent Units Taught

  • QBUS2830 Actuarial Data Analytics

  • QBUS3810 Business Risk Analysis

  • QBUS5002 Quantitative Methods for Accounting