Ji-Wook Jang

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A Cox model for gradually disappearing events Probability in the Engineering and Informational Sciences	2023-06-16	Paper
Cyber risk frequency, severity and insurance viability Insurance Mathematics & Economics	2022-09-14	Paper
Transform approach for discounted aggregate claims in a risk model with descendant claims Annals of Operations Research	2020-11-20	Paper
Capital Allocation for a Sum of Dependent Compound Mixed Poisson Variables: A Recursive Algorithm Approach North American Actuarial Journal	2019-05-08	Paper
Moments of renewal shot-noise processes and their applications Scandinavian Actuarial Journal	2018-12-14	Paper
Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity International Journal of Theoretical and Applied Finance	2018-11-23	Paper
A risk model with renewal shot-noise Cox process Insurance Mathematics & Economics	2015-12-14	Paper
A multivariate jump diffusion process for counterparty risk in CDS rates Journal of the Korea Society for Industrial and Applied Mathematics	2015-10-14	Paper
Jump diffusion transition intensities in life insurance and disability annuity Insurance Mathematics & Economics	2015-09-14	Paper
A bivariate shot noise self-exciting process for insurance Insurance Mathematics & Economics	2014-06-23	Paper
Pricing basket default swaps in a tractable shot noise model Statistics & Probability Letters	2011-07-26	Paper
The distribution of the interval between events of a Cox process with shot noise intensity Journal of Applied Mathematics and Stochastic Analysis	2009-04-01	Paper
Jump diffusion processes and their applications in insurance and finance Insurance Mathematics & Economics	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 Journal of Applied Probability	2005-08-25	Paper
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform Insurance Mathematics & Economics	2004-11-29	Paper
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity Finance and Stochastics	2004-03-16	Paper

Research outcomes over time

This page was built for person: Ji-Wook Jang