LSE creators

Number of items: 20.
2023
  • Jang, Jiwook, Qu, Yan, Zhao, Hongbiao, Dassios, Angelos (2023). A Cox model for gradually disappearing events. Probability in the Engineering and Informational Sciences, 37(1), 214 - 231. https://doi.org/10.1017/S0269964821000553 picture_as_pdf
    • 2021
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2021). Random variate generation for exponential and gamma tilted stable distributions. ACM Transactions on Modeling and Computer Simulation, 31(4). https://doi.org/10.1145/3449357 picture_as_pdf
  • Chen, Zezhun, Dassios, Angelos, Kuan, Valerie, Lim, Jia Wei, Qu, Yan, Surya, Budhi, Zhao, Hongbiao (2021). A two-phase dynamic contagion model for COVID-19. Results in Physics, 26, https://doi.org/10.1016/j.rinp.2021.104264 picture_as_pdf
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2021). Exact simulation of Ornstein-Uhlenbeck tempered stable processes. Journal of Applied Probability, 58(2), 347 - 371. https://doi.org/10.1017/jpr.2020.92 picture_as_pdf
    • 2019
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2019). Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2019.1657368 picture_as_pdf
  • Dassios, Angelos, Qu, Yan, Zhao, Hongbiao (2019). Efficient simulation of Lévy-driven point processes. Advances in Applied Probability, 51(4), 927-966. picture_as_pdf
    • 2018
  • Dassios, Angelos, Qu, Yan, Zhao, Hongbiao (2018). Exact simulation for a class of tempered stable. ACM Transactions on Modeling and Computer Simulation, 28(3). https://doi.org/10.1145/3184453
  • Jang, Jiwook, Dassios, Angelos, Zhao, Hongbiao (2018). Moments of renewal shot-noise processes and their applications. Scandinavian Actuarial Journal, (8), 727-752. https://doi.org/10.1080/03461238.2018.1452285
    • 2017
  • Dassios, Angelos, Zhao, Hongbiao (2017). Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65(6), 1494-1515. https://doi.org/10.1287/opre.2017.1640
  • Dassios, Angelos, Zhao, Hongbiao (2017). A generalised contagion process with an application to credit risk. International Journal of Theoretical and Applied Finance, 20(1). https://doi.org/10.1142/S0219024917500030
    • 2015
  • Dassios, Angelos, Jang, Jiwook, Zhao, Hongbiao (2015). A risk model with renewal shot-noise Cox process. Insurance: Mathematics and Economics, 65, 55-65. https://doi.org/10.1016/j.insmatheco.2015.08.009
    • 2014
  • Dassios, Angelos, Zhao, Hongbiao (2014). A Markov chain model for contagion. Risks, 2(4), 434-455. https://doi.org/10.3390/risks2040434
    • 2013
  • Dassios, Angelos, Zhao, Hongbiao (2013). A risk model with delayed claims. Journal of Applied Probability, 50(3), 686-702. https://doi.org/10.1239/jap/1378401230
  • Dassios, Angelos, Zhao, Hongbiao (2013). Exact simulation of Hawkes process with exponentially decaying intensity. Electronic Communications in Probability, 18(62). https://doi.org/10.1214/ECP.v18-2717
    • 2012
  • Zhao, Hongbiao (2012). A dynamic contagion process for modelling contagion risk in finance and insurance [Doctoral thesis]. London School of Economics and Political Science. picture_as_pdf
  • Dassios, Angelos, Zhao, Hongbiao (2012). Ruin by dynamic contagion claims. Insurance: Mathematics and Economics, 51(1), 93-106. https://doi.org/10.1016/j.insmatheco.2012.03.006
    • 2011
  • Zhao, Hongbiao (2011). Portfolio credit risk of default and spread widening. The Author.
  • Dassios, Angelos, Zhao, Hongbiao (2011-05-26) A dynamic contagion process and an application to credit risk [Poster]. LSE Research Day 2011: The Early Career Researcher, London, United Kingdom, GBR.
  • Dassios, Angelos, Zhao, Hongbiao (2011). A dynamic contagion process. Advances in Applied Probability, 43(3), 814-846. https://doi.org/10.1239/aap/1316792671
    • 2010
  • Dassios, Angelos, Zhao, Hongbiao (0001-01-03) Point processes with contagion and an application to credit risk [Poster]. LSE PhD posters.