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Jump diffusion transition intensities in life insurance and disability annuity

Jang, Jiwook; Siti Norafidah Mohd Ramli - In: Insurance / Mathematics & economics 64 (2015), pp. 440-451

Persistent link: https://www.econbiz.de/10011398140

A bivariate shot noise self-exciting process for insurance

Jang, Jiwook; Dassios, Angelos - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 524-532

Persistent link: https://www.econbiz.de/10010227969

Pricing basket default swaps in a tractable shot-noise model

Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten - 2009

Persistent link: https://www.econbiz.de/10003828944

A review on Poisson, Cox, Hawkes, shot-noise Poisson and dynamic contagion process and their compound processes

Jang, Jiwook; Oh, Rosy - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 623-644

Persistent link: https://www.econbiz.de/10012656713

A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10012128012

Capital allocation for a sum of dependent compound mixed Poisson variables : a recursive algorithm approach

Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chad - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 1, pp. 82-97

Persistent link: https://www.econbiz.de/10012180607

Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity

Jang, Jiwook; Park, Jong Jun; Jang, Hyun Jin - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10011956976

Pricing arithmetic Asian options under jump diffusion CIR processes

Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436988