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Author ID: jang.jiwook Recent zbMATH articles by "Jang, Jiwook"
Published as: Jang, Jiwook; Jang, Ji-Wook
Documents Indexed: 14 Publications since 2003
Co-Authors: 13 Co-Authors with 13 Joint Publications
107 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

11 Publications have been cited 127 times in 100 Documents Cited by Year
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
67
2003
Jump diffusion processes and their applications in insurance and finance. Zbl 1119.91054
Jang, Jiwook
16
2007
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
14
2005
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. Zbl 1075.62096
Jang, Ji-Wook; Krvavych, Yuriy
9
2004
A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055
Jang, Jiwook; Dassios, Angelos
6
2013
Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten
5
2011
A risk model with renewal shot-noise Cox process. Zbl 1348.91139
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao
4
2015
The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304
Dassios, Angelos; Jang, Jiwook
3
2008
A multivariate jump diffusion process for counterparty risk in CDS rates. Zbl 1322.91059
Mohd Ramli, Siti Norafidah; Jang, Jiwook
1
2015
Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun
1
2019
Moments of renewal shot-noise processes and their applications. Zbl 1418.91243
Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao
1
2018
Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300
Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun
1
2019
Moments of renewal shot-noise processes and their applications. Zbl 1418.91243
Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao
1
2018
A risk model with renewal shot-noise Cox process. Zbl 1348.91139
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao
4
2015
A multivariate jump diffusion process for counterparty risk in CDS rates. Zbl 1322.91059
Mohd Ramli, Siti Norafidah; Jang, Jiwook
1
2015
A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055
Jang, Jiwook; Dassios, Angelos
6
2013
Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182
Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten
5
2011
The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304
Dassios, Angelos; Jang, Jiwook
3
2008
Jump diffusion processes and their applications in insurance and finance. Zbl 1119.91054
Jang, Jiwook
16
2007
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
14
2005
Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. Zbl 1075.62096
Jang, Ji-Wook; Krvavych, Yuriy
9
2004
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038
Dassios, Angelos; Jang, Ji-Wook
67
2003
all top 5

Cited by 175 Authors

10 Jang, Jiwook
9 Dassios, Angelos
8 Dong, Yinghui
7 Yuen, Kam Chuen
6 Wang, Guojing
5 Schmidt, Thorsten
4 Zhao, Hongbiao
3 Boxma, Onno Johan
3 Léveillé, Ghislain
3 Scherer, Matthias
3 Wu, Chongfeng
2 Avanzi, Benjamin
2 Egami, Masahiko
2 Guo, Jie
2 Hainaut, Donatien
2 Hieber, Peter
2 Jaimungal, Sebastian
2 Kim, Jeong-Hoon
2 Ma, Yong-Ki
2 Mandjes, Michel Robertus Hendrikus
2 Trück, Stefan
2 Truong, Chi
2 Wang, Yafang
2 Yan, Jun
1 Ahmadi, Reza H.
1 Albrecher, Hansjörg
1 Altmann, Timo
1 Arnone, Massimo
1 Asmussen, Søren
1 Bae, Taehan
1 Barsotti, Flavia
1 Basu, Sankarshan
1 Bianchi, Michele Leonardo
1 Braun, Alexandre Luis
1 Brignone, Riccardo
1 Buccioli, Alice
1 Burnecki, Krzysztof
1 Chang, Lung-Fu
1 Chen, Zezhun
1 Cheng, Zailei
1 Cheung, Eric C. K.
1 Chong, Yuxiang
1 Chung, San-Lin
1 Cojocaru, Ionica
1 Cufaro Petroni, Nicola
1 Cui, Lirong
1 De Genaro, Alan
1 Deelstra, Griselda
1 Delong, Łukasz
1 Denuit, Michel M.
1 Dimitrova, Dimitrina S.
1 Drury, Kevin L. S.
1 Eichler, Andreas
1 Escobar, Marcos
1 Fearnhead, Paul
1 Feng, Runhuan
1 Finke, Axel
1 Frías, María P.
1 Fusai, Gianluca
1 Gao, Fuqing
1 Georgiopoulos, Nick
1 Gerrard, Russell
1 Giuricich, Mario Nicoló
1 Hamel, Emmanuel
1 Hawkes, Alan Geoffrey
1 Herbertsson, Alexander
1 Hung, Mao-wei
1 Ignatov, Zvetan G.
1 Jang, Hyun Jin
1 Janssen, Augustus Josephus Elizabeth Maria
1 Jedynak, Bruno M.
1 Jin, Zhuo
1 Johansen, Adam M.
1 Kaishev, Vladimir K.
1 Khalique, Chaudry Masood
1 Kim, Changki
1 Kokholm, Thomas
1 Koops, David T.
1 Krvavych, Yuriy
1 Kulperger, Reginald J.
1 Kyriakou, Ioannis
1 Lam, Ka Wai
1 Landriault, David
1 Lánský, Petr
1 Lee, Sangyeol
1 Leipus, Remigijus
1 Leobacher, Gunther
1 Li, Shuanming
1 Liang, Xiaoqing
1 Linetsky, Vadim
1 Liu, Guo
1 Lodge, David M.
1 Lu, Yi
1 Lundengård, Karl
1 Ma, Chaoqun
1 Ma, Weimin
1 Ma, Yongming
1 Ma, Zonggang
1 Macci, Claudio
1 Maciak, Matúš
...and 75 more Authors
all top 5

Cited in 43 Serials

24 Insurance Mathematics & Economics
5 Scandinavian Actuarial Journal
5 Quantitative Finance
4 European Journal of Operational Research
3 Advances in Applied Probability
3 Statistics & Probability Letters
3 Communications in Statistics. Theory and Methods
3 Methodology and Computing in Applied Probability
3 North American Actuarial Journal
3 Computational Management Science
2 Lithuanian Mathematical Journal
2 Journal of Applied Probability
2 Queueing Systems
2 Stochastic Processes and their Applications
2 International Journal of Theoretical and Applied Finance
2 Journal of Industrial and Management Optimization
2 European Actuarial Journal
1 Journal of Mathematical Analysis and Applications
1 Journal of Statistical Physics
1 Bulletin of Mathematical Biology
1 Chaos, Solitons and Fractals
1 Annals of the Institute of Statistical Mathematics
1 Zeitschrift für Analysis und ihre Anwendungen
1 Stochastic Analysis and Applications
1 Physica D
1 Journal of Applied Mathematics and Stochastic Analysis
1 Economics Letters
1 Journal of Statistical Computation and Simulation
1 Journal of Mathematical Imaging and Vision
1 Theory of Probability and Mathematical Statistics
1 Statistical Papers
1 Mathematical Problems in Engineering
1 Mathematical Methods of Operations Research
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Discrete Dynamics in Nature and Society
1 Journal of Nonlinear Mathematical Physics
1 Stochastic Models
1 Stochastics and Dynamics
1 Review of Derivatives Research
1 Stochastics
1 Frontiers of Mathematics in China
1 Statistics Surveys
1 Cogent Mathematics

Citations by Year