Ji-Wook Jang

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Person:1424704

Available identifiers

zbMath Open jang.jiwookMaRDI QIDQ1424704

List of research outcomes





PublicationDate of PublicationType
A Cox model for gradually disappearing events2023-06-16Paper
Cyber risk frequency, severity and insurance viability2022-09-14Paper
Transform approach for discounted aggregate claims in a risk model with descendant claims2020-11-20Paper
Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach2019-05-08Paper
Moments of renewal shot-noise processes and their applications2018-12-14Paper
CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY2018-11-23Paper
A risk model with renewal shot-noise Cox process2015-12-14Paper
A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES2015-10-14Paper
Jump diffusion transition intensities in life insurance and disability annuity2015-09-14Paper
A bivariate shot noise self-exciting process for insurance2014-06-23Paper
Pricing basket default swaps in a tractable shot noise model2011-07-26Paper
The distribution of the interval between events of a Cox process with shot noise intensity2009-04-01Paper
Jump diffusion processes and their applications in insurance and finance2007-07-19Paper
Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts2005-08-25Paper
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform2004-11-29Paper
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity2004-03-16Paper

Research outcomes over time

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