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Dassios, Angelos

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Author ID: dassios.angelos Recent zbMATH articles by "Dassios, Angelos"
Published as: Dassios, A.; Dassios, Angelos
External Links: MGP
Documents Indexed: 35 Publications since 1989

Publications by Year

Citations contained in zbMATH

28 Publications have been cited 320 times in 245 Documents Cited by Year
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
70
1989
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
57
2003
A dynamic contagion process. Zbl 1230.60089
Dassios, Angelos; Zhao, Hongbiao
32
2011
The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options. Zbl 0837.60076
Dassios, Angelos
21
1995
Perturbed Brownian motion and its application to Parisian option pricing. Zbl 1226.91073
Dassios, Angelos; Wu, Shanle
17
2010
A consistent test of independence based on a sign covariance related to Kendall’s tau. Zbl 1400.62091
Bergsma, Wicher; Dassios, Angelos
16
2014
Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Zbl 1076.62093
Dassios, Angelos; Jang, Ji-Wook
13
2005
Exact simulation of Hawkes process with exponentially decaying intensity. Zbl 1320.60115
Dassios, Angelos; Zhao, Hongbiao
10
2013
Ruin by dynamic contagion claims. Zbl 1284.91224
Dassios, Angelos; Zhao, Hongbiao
10
2012
On barrier strategy dividends with Parisian implementation delay for classical surplus processes. Zbl 1231.91430
Dassios, Angelos; Wu, Shanle
7
2009
The square-root process and Asian options. Zbl 1134.91409
Dassios, Angelos; Nagaradjasarma, Jayalaxshmi
7
2006
Sample quantiles of stochastic processes with stationary and independent ents. Zbl 0860.60025
Dassios, Angelos
7
1996
A Cox process with log-normal intensity. Zbl 1055.91038
Basu, Sankarshan; Dassios, Angelos
6
2002
A generalized contagion process with an application to credit risk. Zbl 1396.91788
Dassios, Angelos; Zhao, Hongbiao
5
2017
Double-barrier Parisian options. Zbl 1208.91143
Dassios, Angelos; Wu, Shanle
5
2011
Efficient simulation of clustering jumps with CIR intensity. Zbl 1405.91545
Dassios, Angelos; Zhao, Hongbiao
4
2017
A risk model with renewal shot-noise Cox process. Zbl 1348.91139
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao
4
2015
Parisian option pricing: a recursive solution for the density of the Parisian stopping time. Zbl 1295.91098
Dassios, Angelos; Lim, Jia Wei
4
2013
A study of the power and robustness of a new test for independence against contiguous alternatives. Zbl 1332.62167
Sankar Dhar, Subhra; Dassios, Angelos; Bergsma, Wicher
3
2016
A risk model with delayed claims. Zbl 1278.91084
Dassios, Angelos; Zhao, Hongbiao
3
2013
Stochastic boundary crossing probabilities for the Brownian motion. Zbl 1291.60081
Che, Xiaonan; Dassios, Angelos
3
2013
The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304
Dassios, Angelos; Jang, Jiwook
3
2008
On the quantiles of Brownian motion and their hitting times. Zbl 1062.60079
Dassios, Angelos
3
2005
Exact simulation of generalised Vervaat perpetuities. Zbl 1418.60040
Dassios, Angelos; Qu, Yan; Lim, Jia Wei
2
2019
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Zbl 1409.91232
Dassios, Angelos; Lim, Jia Wei
2
2018
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Zbl 1369.91176
Dassios, Angelos; Zhang, You You
2
2016
A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055
Jang, Jiwook; Dassios, Angelos
2
2013
Interpreting the beta geometric in comparative fecundability studies. Zbl 1058.62595
Crouchley, R.; Dassios, A.
2
1998
Exact simulation of generalised Vervaat perpetuities. Zbl 1418.60040
Dassios, Angelos; Qu, Yan; Lim, Jia Wei
2
2019
An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Zbl 1409.91232
Dassios, Angelos; Lim, Jia Wei
2
2018
A generalized contagion process with an application to credit risk. Zbl 1396.91788
Dassios, Angelos; Zhao, Hongbiao
5
2017
Efficient simulation of clustering jumps with CIR intensity. Zbl 1405.91545
Dassios, Angelos; Zhao, Hongbiao
4
2017
A study of the power and robustness of a new test for independence against contiguous alternatives. Zbl 1332.62167
Sankar Dhar, Subhra; Dassios, Angelos; Bergsma, Wicher
3
2016
The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing. Zbl 1369.91176
Dassios, Angelos; Zhang, You You
2
2016
A risk model with renewal shot-noise Cox process. Zbl 1348.91139
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao
4
2015
A consistent test of independence based on a sign covariance related to Kendall’s tau. Zbl 1400.62091
Bergsma, Wicher; Dassios, Angelos
16
2014
Exact simulation of Hawkes process with exponentially decaying intensity. Zbl 1320.60115
Dassios, Angelos; Zhao, Hongbiao
10
2013
Parisian option pricing: a recursive solution for the density of the Parisian stopping time. Zbl 1295.91098
Dassios, Angelos; Lim, Jia Wei
4
2013
A risk model with delayed claims. Zbl 1278.91084
Dassios, Angelos; Zhao, Hongbiao
3
2013
Stochastic boundary crossing probabilities for the Brownian motion. Zbl 1291.60081
Che, Xiaonan; Dassios, Angelos
3
2013
A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055
Jang, Jiwook; Dassios, Angelos
2
2013
Ruin by dynamic contagion claims. Zbl 1284.91224
Dassios, Angelos; Zhao, Hongbiao
10
2012
A dynamic contagion process. Zbl 1230.60089
Dassios, Angelos; Zhao, Hongbiao
32
2011
Double-barrier Parisian options. Zbl 1208.91143
Dassios, Angelos; Wu, Shanle
5
2011
Perturbed Brownian motion and its application to Parisian option pricing. Zbl 1226.91073
Dassios, Angelos; Wu, Shanle
17
2010
On barrier strategy dividends with Parisian implementation delay for classical surplus processes. Zbl 1231.91430
Dassios, Angelos; Wu, Shanle
7
2009
The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304
Dassios, Angelos; Jang, Jiwook
3
2008
The square-root process and Asian options. Zbl 1134.91409
Dassios, Angelos; Nagaradjasarma, Jayalaxshmi
7
2006
Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Zbl 1076.62093
Dassios, Angelos; Jang, Ji-Wook
13
2005
On the quantiles of Brownian motion and their hitting times. Zbl 1062.60079
Dassios, Angelos
3
2005
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
57
2003
A Cox process with log-normal intensity. Zbl 1055.91038
Basu, Sankarshan; Dassios, Angelos
6
2002
Interpreting the beta geometric in comparative fecundability studies. Zbl 1058.62595
Crouchley, R.; Dassios, A.
2
1998
Sample quantiles of stochastic processes with stationary and independent ents. Zbl 0860.60025
Dassios, Angelos
7
1996
The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options. Zbl 0837.60076
Dassios, Angelos
21
1995
Martingales and insurance risk. Zbl 0676.62083
Dassios, A.; Embrechts, P.
70
1989
all top 5

Cited by 381 Authors

21 Dassios, Angelos
8 Jang, Jiwook
8 Wu, Rong
7 Seol, Youngsoo
7 Yuen, Kam Chuen
7 Zhao, Hongbiao
6 Dong, Yinghui
6 Schmidli, Hanspeter
6 Wang, Guojing
5 Schmidt, Thorsten
4 Asmussen, Søren
4 Cheung, Eric C. K.
4 Czarna, Irmina
4 Drton, Mathias
4 Lu, Yi
4 Palmowski, Zbigniew
4 Yin, Chuancun
4 Zhu, Lingjiong
3 Albrecher, Hansjörg
3 Fotopoulos, Stergios B.
3 Fusai, Gianluca
3 Hainaut, Donatien
3 He, Jingmin
3 Mandjes, Michel Robertus Hendrikus
3 Scherer, Matthias
3 Wong, Jeff T. Y.
3 Wu, Chongfeng
3 Wu, Shanle
2 Avanzi, Benjamin
2 Bergsma, Wicher Pieter
2 Boxma, Onno Johan
2 Cai, Jun
2 Cui, Lirong
2 Dhar, Subhra Sankar
2 Dickson, David C. M.
2 Egami, Masahiko
2 Feng, Runhuan
2 Frostig, Esther
2 Gao, Xuefeng
2 Germano, Guido
2 Hawkes, Alan Geoffrey
2 Hieber, Peter
2 Hu, Xiangling
2 Hu, Yijun
2 Jaimungal, Sebastian
2 Jiang, Zhou
2 Jiao, Ying
2 Keren-Pinhasik, Adva
2 Kim, Jeong-Hoon
2 Koops, David T.
2 Le, Nhat-Tan
2 Leobacher, Gunther
2 Leung, Dennis Y. C.
2 Li, Bin
2 Li, Shuanming
2 Lim, Jia Wei
2 Lu, Xiaoping
2 Ma, Yong-Ki
2 Marazzina, Daniele
2 Munson, Charles L.
2 Paulsen, Jostein
2 Porfiri, Maurizio
2 Rizzo, Alessandro
2 Scotti, Simone
2 Song, Min
2 Szölgyenyi, Michaela
2 Wang, Chunwei
2 Weihs, Luca
2 Willmot, Gordon E.
2 Wong, Bernard
2 Wu, Lan
2 Yan, Jun
2 Yang, Hu
2 Yuan, Haili
2 Zhang, Chunsheng
2 Zhang, Xianyang
2 Zhang, Zhimin
2 Zhu, Songping
2 Zino, Lorenzo
1 Abundo, Mario
1 Aggoun, Lakhdar
1 Ahmadi, Reza H.
1 Ahn, Soohan
1 Alexander, Scott
1 Altmann, Timo
1 Alvarez, Luis H. R.
1 Arguin, Louis-Pierre
1 Arunachalam, Viswanathan
1 Badescu, Andrei L.
1 Bai, Long
1 Bai, Yang
1 Balakrishnan, Sivaraman
1 Ballotta, Laura
1 Barsotti, Flavia
1 Basu, Sankarshan
1 Bäuerle, Nicole
1 Bayraktar, Erhan
1 Bekker, René
1 Benkherouf, Lakdere
1 Bernis, Guillaume
...and 281 more Authors
all top 5

Cited in 80 Serials

40 Insurance Mathematics & Economics
20 Statistics & Probability Letters
11 Journal of Applied Probability
11 Quantitative Finance
9 International Journal of Theoretical and Applied Finance
8 European Journal of Operational Research
8 Scandinavian Actuarial Journal
7 Advances in Applied Probability
7 The Annals of Statistics
6 Methodology and Computing in Applied Probability
4 Scandinavian Actuarial Journal
4 Stochastic Analysis and Applications
4 Acta Mathematicae Applicatae Sinica. English Series
4 The Annals of Applied Probability
4 Stochastic Processes and their Applications
3 Bernoulli
3 Finance and Stochastics
3 Mathematical Methods of Operations Research
3 Acta Mathematica Sinica. English Series
3 Applied Stochastic Models in Business and Industry
3 Stochastic Models
3 Journal of Industrial and Management Optimization
3 Electronic Journal of Statistics
2 Journal of Mathematical Analysis and Applications
2 Lithuanian Mathematical Journal
2 Applied Mathematics and Computation
2 Journal of Computational and Applied Mathematics
2 Journal of Multivariate Analysis
2 Queueing Systems
2 European Journal of Applied Mathematics
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 Computational Management Science
2 Journal of Probability and Statistics
2 Sankhyā. Series A
2 European Actuarial Journal
1 Journal of Statistical Physics
1 Rocky Mountain Journal of Mathematics
1 Bulletin of Mathematical Biology
1 Chaos, Solitons and Fractals
1 Theory of Probability and its Applications
1 Annals of the Institute of Statistical Mathematics
1 Automatica
1 Journal of the American Statistical Association
1 Journal of the Korean Mathematical Society
1 Journal of Optimization Theory and Applications
1 Mathematics of Operations Research
1 Zeitschrift für Analysis und ihre Anwendungen
1 Computers & Operations Research
1 Journal of Economic Dynamics & Control
1 Journal of Theoretical Probability
1 Mathematical and Computer Modelling
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Computational Statistics
1 Communications in Statistics. Theory and Methods
1 Computational Statistics and Data Analysis
1 Journal of Mathematical Imaging and Vision
1 Cybernetics and Systems Analysis
1 Theory of Probability and Mathematical Statistics
1 Statistical Papers
1 Applied Mathematical Finance
1 European Journal of Control
1 Mathematical Finance
1 Wuhan University Journal of Natural Sciences (WUJNS)
1 Discrete Dynamics in Nature and Society
1 The ANZIAM Journal
1 ASTIN Bulletin
1 SIAM Journal on Applied Dynamical Systems
1 Statistical Methods in Medical Research
1 North American Actuarial Journal
1 Asia-Pacific Financial Markets
1 Review of Derivatives Research
1 Journal of Statistical Mechanics: Theory and Experiment
1 Statistical Methodology
1 Frontiers of Mathematics in China
1 SIAM Journal on Financial Mathematics
1 Annals of Finance
1 Stochastic Systems
1 Journal of Dynamics and Games
1 International Journal of Applied and Computational Mathematics

Citations by Year