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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.

  • 8 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

  • 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 journalArticleResearchpeer-review

Open Access
File
Insurance
Jump
Finance
Pricing
Mean-variance

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

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 journalArticleResearchpeer-review

Integrated process
Asian options
Jump-diffusion process
Asset prices
Monte Carlo method

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 journalArticleResearchpeer-review

Risk model
Laplace transform
Conditional tail expectation
Tail probability
Reinsurance

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