Jiwook Jang

Macquarie University

Dr / Senior Lecturer

Actuarial Studies

Faculty of Business and Economics

Sydney NSW 2109

Australia

http://be.mq.edu.au/contact_the_faculty/staff/alphabetical_list_of_staff/Jiwook_Jang

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

361

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Pricing Basket Default Swaps in a Tractable Shot-Noise Model

Number of pages: 18 Posted: 15 Apr 2009 Last Revised: 12 Mar 2011
University of Gothenburg - Department of Economics/Centre for Finance, Macquarie University and University of Freiburg
Downloads 103 (282,842)
Citation 3

Abstract:

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Credit risk, intensity-based models, dependence modelling, shot noise, CDS, kth-to-default swaps

2.

A Bivariate Shot Noise Hawkes Process for Insurance

Number of pages: 23 Posted: 28 Nov 2011
Jiwook Jang and Angelos Dassios
Macquarie University and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 101 (286,564)

Abstract:

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Bivariate shot noise Hawkes process, Self-exciting point process, Cluster point process, Piecewise deterministic Markov process, Insurance premium

3.

Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Cox Process with Shot Noise Intensity

Number of pages: 39 Posted: 19 Jan 2010
Jiwook Jang and Genyuan Fu
Macquarie University and PricewaterhouseCoopers
Downloads 100 (288,491)

Abstract:

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Aggregate collateral losses, bivariate compopund Cox/Poisson process, shot noise process, Farlie-Gumbel-Morgenstern copula, tail dependence, Fast Fourier transform

4.

A Risk Model with Renewal Shot-Noise Cox Process

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 06 Sep 2015 Last Revised: 08 Sep 2015
Angelos Dassios, Jiwook Jang and Hongbiao Zhao
London School of Economics & Political Science (LSE) - Department of Statistics, Macquarie University and Shanghai University of Finance and Economics
Downloads 46 (436,447)
Citation 1

Abstract:

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Risk model, Ruin probability, Renewal shot-noise Cox process, Piecewise-deterministic Markov process, Martingale method, Monte Carlo simulation, Importance sampling, Change of probability measure, Rare-event simulation

5.

Martingale Approach for Moments of Discounted Aggregate Claims

Number of pages: 11 Posted: 06 Jul 2004
Jiwook Jang
Macquarie University
Downloads 11 (626,208)
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