Ji-Wook Jang

Available identifiers

zbMath Open jang.jiwookMaRDI QIDQ1424704

List of research outcomes

Publication	Date of Publication	Type
A Cox model for gradually disappearing events	2023-06-16	Paper
Cyber risk frequency, severity and insurance viability	2022-09-14	Paper
Transform approach for discounted aggregate claims in a risk model with descendant claims	2020-11-20	Paper
Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach	2019-05-08	Paper
Moments of renewal shot-noise processes and their applications	2018-12-14	Paper
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY	2018-11-23	Paper
A risk model with renewal shot-noise Cox process	2015-12-14	Paper
A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES	2015-10-14	Paper
Jump diffusion transition intensities in life insurance and disability annuity	2015-09-14	Paper
A bivariate shot noise self-exciting process for insurance	2014-06-23	Paper
Pricing basket default swaps in a tractable shot noise model	2011-07-26	Paper
The distribution of the interval between events of a Cox process with shot noise intensity	2009-04-01	Paper
Jump diffusion processes and their applications in insurance and finance	2007-07-19	Paper
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts	2005-08-25	Paper
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform	2004-11-29	Paper
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity	2004-03-16	Paper

Research outcomes over time

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