Piet De Jong

Macquarie University - Department of Applied Finance and Actuarial Studies

Professor

Sydney, New South Wales

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 14,161

SSRN RANKINGS

Top 14,161

in Total Papers Downloads

5,242

SSRN CITATIONS

10

CROSSREF CITATIONS

2

Scholarly Papers (13)

1.

The Health Impact of Mandatory Bicycle Helmet Laws

Risk Analysis, 2012
Number of pages: 10 Posted: 14 Jul 2009 Last Revised: 05 Dec 2022
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 3,059 (6,069)
Citation 1

Abstract:

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Bicycling, helmets, cost benefit analysis

2.

Modeling Dependence Between Loss Triangles

Number of pages: 17 Posted: 25 Mar 2009 Last Revised: 24 Mar 2011
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 453 (94,623)
Citation 4

Abstract:

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Copulas, Gaussian Copula, Specificity, Communality, Loss triangles, Forecasting, Diversification benefits

3.

Risk Ratios, Odds Ratios, and the Rare Disease Assumption

Biometrics, Forthcoming
Number of pages: 22 Posted: 04 Apr 2013
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 419 (103,664)

Abstract:

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Odds, odds ratios, risk ratios, rare disease assumptions, number needed to treat, overdiagnosis, overtreatment.

4.

Determining and Allocating Diversification Benefits for a Portfolio of Risks

Number of pages: 8 Posted: 13 May 2009
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 341 (130,663)
Citation 1

Abstract:

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Diversification, Allocated risk margins Stand--alone risk margins, Capital allocation, Euler allocation, Percentile risk aversion

5.

An Early Warning Tool for Measuring the Build-Up of Systemic Risks in Banks and Financial Systems

CIFR Paper No. 109/2016
Number of pages: 26 Posted: 17 May 2016
Piet De Jong, Weihao Choo and Geoffrey Loudon
Macquarie University - Department of Applied Finance and Actuarial Studies, Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 222 (201,520)

Abstract:

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6.

Monitoring Risk in the Financial System Using Time Series Methods

CIFR Paper No. 091/2016
Number of pages: 29 Posted: 17 Feb 2016
Piet De Jong, Geoffrey Loudon and Weihao Choo
Macquarie University - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 178 (245,611)

Abstract:

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Capital shortfall, baseline risk, stress testing, stressed expectation, stress diversification

7.

Capital Adequacy of Financial Enterprises

Number of pages: 22 Posted: 14 Feb 2011
Piet De Jong and Dilip B. Madan
Macquarie University - Department of Applied Finance and Actuarial Studies and University of Maryland
Downloads 168 (258,012)
Citation 1

Abstract:

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Capital adequacy ratios, acceptable risks, Basel accords, capital requirements, reserve requirements

8.

Loss Reserving Using Loss Aversion Functions

Number of pages: 17 Posted: 26 Feb 2009 Last Revised: 03 Aug 2009
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 135 (307,813)
Citation 5

Abstract:

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Distortion operators, Loss aversion, Risk measure, Percentile rank aversion, Standard deviation principle, Premium loading, Expected Maximum Loss

9.

Insights to Systematic Risk and Diversification Across a Joint Probability Distribution

Number of pages: 17 Posted: 05 Oct 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 105 (368,402)

Abstract:

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Distortion risk, spectral risk, Euler allocation, systematic risk, diversification, layer, Value-at-Risk

10.

Layer Dependence as a Measure of Local Dependence

Number of pages: 25 Posted: 24 Jun 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 61 (504,040)

Abstract:

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Local dependence, rank dependence, Spearman's correlation, layers, conditional tail expectation, concordance

11.

Mean and Risk Densities and Their Application to Risk Management

Number of pages: 23 Posted: 23 May 2015
Weihao Choo and Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 52 (542,284)

Abstract:

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Layers, density, distortion, value-at-risk, reinsurance, tranches

12.

Inferring and Predicting Global Temperature

Number of pages: 10 Posted: 14 May 2010
Piet De Jong
Macquarie University - Department of Applied Finance and Actuarial Studies
Downloads 47 (565,847)

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Global warming, state space models, forecasting global temperatures

13.

Sm Bonds—A New Product for Managing Longevity Risk

Journal of Risk and Insurance, Vol. 86, Issue 1, pp. 121-149, 2019
Number of pages: 29 Posted: 12 Feb 2019
Piet De Jong and Shauna ferris
Macquarie University - Department of Applied Finance and Actuarial Studies and Macquarie University
Downloads 2 (926,509)
Citation 1

Abstract:

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