LSE creators

Number of items: 67.
Article
  • Qu, Yan, Dassios, Angelos, Liu, Anxin, Zhao, Hongbiao (2025). Exact simulation of quadratic intensity models. Informs Journal on Computing, 37(5), 1182 - 1201. https://doi.org/10.1287/ijoc.2023.0323 picture_as_pdf
  • Zhang, Pengcheng, Chen, Zezhun, Tzougas, George, Calderín–Ojeda, Enrique, Dassios, Angelos, Wu, Xueyuan (2025). Multivariate zero-inflated INAR(1) model with an application in automobile insurance. North American Actuarial Journal, 29(2), 310 - 328. https://doi.org/10.1080/10920277.2024.2381726 picture_as_pdf
  • Zhang, Junyi, Dassios, Angelos, Zhong, Chong, Yao, Qiufei (2025). Truncated inverse-Lévy measure representation of the beta process. Proceedings of Machine Learning Research, 258, 1720-1728. picture_as_pdf
  • Zhang, Junyi, Dassios, Angelos (2025). Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures. Bayesian Analysis, 20(3), 795 - 825. https://doi.org/10.1214/24-BA1421 picture_as_pdf
  • Chen, Zezhun Chen, Dassios, Angelos, Tzougas, George (2024). EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects. European Actuarial Journal, 14(1), 225 – 255. https://doi.org/10.1007/s13385-023-00351-7 picture_as_pdf
  • Chen, Zezhun Chen, Dassios, Angelos, Tzougas, George (2023). INAR approximation of bivariate linear birth and death process. Journal of Applied Statistics, 26(3), 459 - 497. https://doi.org/10.1007/s11203-023-09289-9 picture_as_pdf
  • Zhang, Junyi, Dassios, Angelos (2023). Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models. Scandinavian Journal of Statistics, https://doi.org/10.1111/sjos.12688 picture_as_pdf
  • Dassios, Angelos, Zhang, Junyi (2023). Exact simulation of Poisson-Dirichlet distribution and generalised gamma process. Methodology and Computing in Applied Probability, 25(2). https://doi.org/10.1007/s11009-023-10040-3 picture_as_pdf
  • Qu, Yan, Dassios, Angelos, Zhao, Hongbiao (2023). Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74(3), 647 - 665. https://doi.org/10.1080/01605682.2022.2077660 picture_as_pdf
  • Chen, Zezhun Chen, Dassios, Angelos, Tzougas, George (2023). A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations. Journal of Applied Statistics, 50(2), 352 - 369. https://doi.org/10.1080/02664763.2021.1993798 picture_as_pdf
  • Zhang, Junyi, Dassios, Angelos (2023). Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. Statistics and Computing, picture_as_pdf
  • 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
  • Dassios, Angelos, Zhang, Junyi (2022). First hitting time of Brownian motion on simple graph with skew semiaxes. Methodology and Computing in Applied Probability, 24(3), 1805 - 1831. https://doi.org/10.1007/s11009-021-09884-4 picture_as_pdf
  • Chen, Zezhun, Dassios, Angelos, Tzougas, George (2022). Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. Computational Statistics, https://doi.org/10.1007/s00180-022-01253-0 picture_as_pdf
  • Chen, Zezhun, Dassios, Angelos, Tzougas, George (2022). EM estimation for the bivariate mixed exponential regression model. Risks, 10(5). https://doi.org/10.3390/risks10050105 picture_as_pdf
  • Chen, Zezhun, Dassios, Angelos (2022). Cluster point processes and Poisson thinning INARMA. Stochastic Processes and Their Applications, 147, 456 - 480. https://doi.org/10.1016/j.spa.2022.02.002 picture_as_pdf
  • 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
  • Dassios, Angelos, Zhang, Junyi (2021). Exact simulation of two-parameter Poisson-Dirichlet random variables. Electronic Journal of Probability, 26(0). https://doi.org/10.1214/20-EJP573 picture_as_pdf
  • Dassios, Angelos, Zhang, Junyi (2020). Parisian time of reflected Brownian motion with drift on rays and its application in banking. Risks, 8(4). https://doi.org/10.3390/risks8040127 picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2020). Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Mathematical Finance, 30(4), 1497-1526. https://doi.org/10.1111/mafi.12248 picture_as_pdf
  • Dassios, Angelos, Li, Luting (2020). Explicit asymptotic on first passage times of diffusion processes. Advances in Applied Probability, 52(2). picture_as_pdf
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2020). Exact simulation of a truncated Lévy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(3). https://doi.org/10.1145/3368088 picture_as_pdf
  • 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, Jang, Jiwook, Zhao, Hongbiao (2019). A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Risks, 7(4). https://doi.org/10.3390/risks7040103 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
  • Dassios, Angelos, Lim, Jia Wei (2019). A variation of the Azéma martingale and drawdown options. Mathematical Finance, 29(4), 1116-1130. https://doi.org/10.1111/mafi.12202
  • Dassios, Angelos, Lim, Jia Wei, Qu, Yan (2019). Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56(1), 57-75. https://doi.org/10.1017/jpr.2019.6 picture_as_pdf
  • 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
  • Dassios, Angelos, Lim, Jia Wei (2018). Recursive formula for the double barrier Parisian stopping time. Journal of Applied Probability, 55(1), 282-301. https://doi.org/10.1017/jpr.2018.17
  • 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
  • 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
  • Sankar, Subhra, Bergsma, Wicher, Dassios, Angelos (2017). Testing independence of covariates and errors in nonparametric regression. Scandinavian Journal of Statistics, 45(3), 421-443. https://doi.org/10.1111/sjos.12301
  • Dassios, Angelos, Lim, Jia Wei (2017). An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options. Mathematical Finance, 27(2), 604-620. https://doi.org/10.1111/mafi.12091
  • 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
  • Dassios, Angelos, Lim, Jia Wei (2017). An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Methodology and Computing in Applied Probability, 20(1), 189-204. https://doi.org/10.1007/s11009-017-9542-y
  • Dassios, Angelos, Zhang, You You (2016). The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing. Finance and Stochastics, 20, 773-804. https://doi.org/10.1007/s00780-016-0302-6
  • Dhar, Subhra Sankar, Dassios, Angelos, Bergsma, Wicher (2016). A study of the power and robustness of a new test for independence against contiguous alternatives. Electronic Journal of Statistics, 10(1), 330-351. https://doi.org/10.1214/16-EJS1107
  • 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
  • Dassios, Angelos, Zhao, Hongbiao (2014). A Markov chain model for contagion. Risks, 2(4), 434-455. https://doi.org/10.3390/risks2040434
  • Bergsma, Wicher, Dassios, Angelos (2014). A consistent test of independence based on a sign covariance related to Kendall's tau. Bernoulli, 20(2), 1006-1028. https://doi.org/10.3150/13-BEJ514
  • 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
  • Che, Xiaonan, Dassios, Angelos (2013). Stochastic boundary crossing probabilities for the Brownian motion. Journal of Applied Probability, 50(2), 419-429. https://doi.org/10.1239/jap/1371648950
  • Dassios, Angelos, Lim, Jia Wei (2013). Parisian option pricing: a recursive solution for the density of the Parisian stopping time. SIAM Journal on Financial Mathematics, 4(1), 599-615. https://doi.org/10.1137/120875466
  • Jang, Jiwook, Dassios, Angelos (2013). A bivariate shot noise self-exciting process for insurance. Insurance: Mathematics and Economics, 53(3), 524-532. https://doi.org/10.1016/j.insmatheco.2013.08.003
  • 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
  • Dassios, Angelos, Wu, Shanle (2011). Double-barrier Parisian options. Journal of Applied Probability, 48(1), 1-20. https://doi.org/10.1239/jap/1300198132
  • Dassios, Angelos, Zhao, Hongbiao (2011). A dynamic contagion process. Advances in Applied Probability, 43(3), 814-846. https://doi.org/10.1239/aap/1316792671
  • Dassios, Angelos, Wu, Shanle (2010). Perturbed Brownian motion and its application to Parisian option pricing. Finance and Stochastics, 14(3), 473-494. https://doi.org/10.1007/s00780-009-0113-0
  • Dassios, Angelos, Wu, Shanle (2009). On barrier strategy dividends with Parisian implementation delay for classical surplus processes. Insurance: Mathematics and Economics, 45(2), 195-202. https://doi.org/10.1016/j.insmatheco.2009.05.013
  • Dassios, Angelos, Jang, Jiwook (2008). The distribution of the interval between events of a Cox process with shot noise intensity. Journal of Applied Mathematics and Stochastic Analysis, 2008, 1-14. https://doi.org/10.1155/2008/367170
  • Dassios, Angelos, Nagaradjasarma, Jayalaxshmi (2006). The square-root process and Asian options. Quantitative Finance, 6(4), 337-347. https://doi.org/10.1080/14697680600724775
  • Dassios, Angelos, Jang, J.W. (2005). 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, 42(1), 93-107. https://doi.org/10.1239/jap/1110381373
  • Dassios, Angelos (2005). On the quantiles of the Brownian motion and their hitting times. Bernoulli, 11(1), 29-36.
  • Dassios, Angelos, Jang, Jiwook (2003). Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Finance and Stochastics, 7(1), 73-95. https://doi.org/10.1007/s007800200079
  • Basu, Sankarshan, Dassios, Angelos (2002). A Cox process with log-normal intensity. Insurance: Mathematics and Economics, 31(2), 297-302. https://doi.org/10.1016/S0167-6687(02)00152-X
    • Conference or Workshop Item
  • 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 (0001-01-03) Point processes with contagion and an application to credit risk [Poster]. LSE PhD posters.
    • Working paper
  • Dassios, Angelos, Wu, Shanle (2011). Brownian excursions in a corridor and related Parisian options. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos, Wu, Shanle (2011). Brownian excursions outside a corridor and two-sided Parisian options. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos, Wu, Shanle (2011). Barrier strategies with Parisian delay. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos, Nagaradjasarma, Jayalaxshmi (2011). Pricing of Asian options on interest rates in the CIR model. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos, Wu, Shanle (2008). Ruin probabilities of the Parisian type for small claims. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos, Wu, Shanle (2008). Parisian ruin with exponential claims. Department of Statistics, London School of Economics and Political Science.
  • Dassios, Angelos (2006). Quantiles of Lévy processes and applications in finance. Department of Statistics, London School of Economics and Political Science.