• 6 h-Index
20032019

Research output per year

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Projects

Research Outputs

  • 6 h-Index
  • 25 Article

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

Dassios, A., Jang, J. & Zhao, H., Dec 2019, In : Risks. 7, 4, p. 1-18 18 p., 103.

Research output: Contribution to journalArticle

Open Access
File
  • 1 Citation (Scopus)

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

    Kim, J. H. T., Jang, J. & Pyun, C., 2019, In : North American Actuarial Journal. 23, 1, p. 82-97 16 p.

    Research output: Contribution to journalArticle

  • 1 Citation (Scopus)

    Pricing arithmetic Asian options under jump diffusion CIR processes

    Park, J. J., Jang, H. J. & Jang, J., 20 Aug 2019, In : Finance Research Letters.

    Research output: Contribution to journalArticle

  • Transform approach for discounted aggregate claims in a risk model with descendant claims

    Yoo, H., Kim, B., Kim, J. & Jang, J., 25 Sep 2019, In : Annals of Operations Research.

    Research output: Contribution to journalArticle

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

    Jang, J., Park, J. J. & Jang, H. J., Nov 2018, In : International Journal of Theoretical and Applied Finance. 21, 7, 20 p., 1850041.

    Research output: Contribution to journalArticle

  • 1 Citation (Scopus)