LSE creators

Number of items: 8.
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
    • 2019
  • 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
    • 2018
  • 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
    • 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
    • 2013
  • 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
    • 2008
  • 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
    • 2003
  • 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
    • 1998
  • Jang, Ji-Wook (1998). Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives. [Doctoral thesis]. London School of Economics and Political Science. picture_as_pdf