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Fingerprint Dive into the research topics where Jiwook Jang is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 7 Similar Profiles
Shot Noise Process Mathematics
Cox Process Mathematics
Shot Noise Mathematics
Insurance Mathematics
Jump Mathematics
Laplace transform Mathematics
Jump-diffusion Process Mathematics
Pricing Mathematics

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Projects 2015 2018

Research Outputs 2003 2019

  • 5 h-Index
  • 22 Article

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 journalArticleResearchpeer-review

Compound Poisson
Recursive Algorithm
Risk Management
Recursion
Siméon Denis Poisson

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 journalArticleResearchpeer-review

Monte Carlo method
Cox process
Derivatives
Jump diffusion
Derivative pricing

Hierarchical Markov model in life insurance and social benefit schemes

Jang, J. & Mohd Ramli, S. N., 25 Jun 2018, In : Risks. 6, 3, p. 1-17 17 p., 63.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
Insurance
Markov processes

Moments of renewal shot-noise processes and their applications

Jang, J., Dassios, A. & Zhao, H., 14 Sep 2018, In : Scandinavian Actuarial Journal. 2018, 8, p. 727-752 26 p.

Research output: Contribution to journalArticleResearchpeer-review

Shot Noise Process
Conditional Moments
Renewal Process
Moment
Laplace transform

A Multivariate jump diffusion process for counterparty risk in CDS rates

Ramli, S. N. M. & Jang, J., 2015, In : Journal of the Korea Society for Industrial and Applied Mathematics. 19, 1, p. 23-45 23 p.

Research output: Contribution to journalArticleResearchpeer-review

Jump-diffusion Process
Copula
Jump
Piecewise Deterministic Markov Process
Cox Process