Edit Profile (opens in new tab) Jang, Jiwook Compute Distance To: Compute Author ID: jang.jiwook Published as: Jang, Jiwook; Jang, Ji-Wook Documents Indexed: 15 Publications since 2003 Co-Authors: 18 Co-Authors with 14 Joint Publications 215 Co-Co-Authors all top 5 Co-Authors 1 single-authored 6 Dassios, Angelos 2 Mohd Ramli, Siti Norafidah 2 Zhao, Hongbiao 1 Herbertsson, Alexander 1 Jang, Hyun Jin 1 Kim, Bara 1 Kim, Jeongsim 1 Kim, Joseph Hyun Tae 1 Krvavych, Yuriy 1 Malavasi, Matteo 1 Park, Jong Jun 1 Peters, Gareth William 1 Pyun, Chaehyun 1 Schmidt, Thorsten 1 Shevchenko, Pavel V. 1 Sofronov, Georgy Yu. 1 Trück, Stefan 1 Yoo, Hyunjoo all top 5 Serials 6 Insurance Mathematics & Economics 1 Journal of Applied Probability 1 Statistics & Probability Letters 1 Journal of Applied Mathematics and Stochastic Analysis 1 Annals of Operations Research 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance 1 Scandinavian Actuarial Journal 1 North American Actuarial Journal 1 Journal of the Korean Society for Industrial and Applied Mathematics Fields 14 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Probability theory and stochastic processes (60-XX) 8 Statistics (62-XX) 2 Numerical analysis (65-XX) 1 Integral transforms, operational calculus (44-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 11 Publications have been cited 142 times in 111 Documents Cited by ▼ Year ▼ Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038Dassios, Angelos; Jang, Ji-Wook 74 2003 Jump diffusion processes and their applications in insurance and finance. Zbl 1119.91054Jang, Jiwook 16 2007 Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Zbl 1076.62093Dassios, Angelos; Jang, Ji-Wook 15 2005 Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. Zbl 1075.62096Jang, Ji-Wook; Krvavych, Yuriy 9 2004 A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055Jang, Jiwook; Dassios, Angelos 7 2013 A risk model with renewal shot-noise Cox process. Zbl 1348.91139Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao 6 2015 Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten 5 2011 Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun 4 2019 The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304Dassios, Angelos; Jang, Jiwook 3 2008 Moments of renewal shot-noise processes and their applications. Zbl 1418.91243Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao 2 2018 A multivariate jump diffusion process for counterparty risk in CDS rates. Zbl 1322.91059Mohd Ramli, Siti Norafidah; Jang, Jiwook 1 2015 Capital allocation for a sum of dependent compound mixed Poisson variables: a recursive algorithm approach. Zbl 1417.62300Kim, Joseph H. T.; Jang, Jiwook; Pyun, Chaehyun 4 2019 Moments of renewal shot-noise processes and their applications. Zbl 1418.91243Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao 2 2018 A risk model with renewal shot-noise Cox process. Zbl 1348.91139Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao 6 2015 A multivariate jump diffusion process for counterparty risk in CDS rates. Zbl 1322.91059Mohd Ramli, Siti Norafidah; Jang, Jiwook 1 2015 A bivariate shot noise self-exciting process for insurance. Zbl 1290.60055Jang, Jiwook; Dassios, Angelos 7 2013 Pricing basket default swaps in a tractable shot noise model. Zbl 1217.91182Herbertsson, Alexander; Jang, Jiwook; Schmidt, Thorsten 5 2011 The distribution of the interval between events of a Cox process with shot noise intensity. Zbl 1159.60304Dassios, Angelos; Jang, Jiwook 3 2008 Jump diffusion processes and their applications in insurance and finance. Zbl 1119.91054Jang, Jiwook 16 2007 Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Zbl 1076.62093Dassios, Angelos; Jang, Ji-Wook 15 2005 Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform. Zbl 1075.62096Jang, Ji-Wook; Krvavych, Yuriy 9 2004 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Zbl 1039.91038Dassios, Angelos; Jang, Ji-Wook 74 2003 all cited Publications top 5 cited Publications all top 5 Cited by 195 Authors 10 Jang, Jiwook 9 Dassios, Angelos 8 Dong, Yinghui 7 Yuen, Kam Chuen 6 Wang, Guojing 5 Schmidt, Thorsten 4 Zhao, Hongbiao 3 Boxma, Onno Johan 3 Léveillé, Ghislain 3 Scherer, Matthias 3 Wu, Chongfeng 3 Yan, Jun 2 Avanzi, Benjamin 2 Denuit, Michel M. 2 Egami, Masahiko 2 Guo, Jie 2 Hainaut, Donatien 2 Hieber, Peter 2 Jaimungal, Sebastian 2 Kim, Jeong-Hoon 2 Ma, Yong-Ki 2 Mandjes, Michel Robertus Hendrikus 2 Ren, Jiandong 2 Sornette, Didier 2 Trück, Stefan 2 Truong, Chi 2 Wang, Yafang 2 Wehrli, Alexander 1 Ahmadi, Reza H. 1 Albrecher, Hansjörg 1 Altmann, Timo 1 Arnone, Massimo 1 Asmussen, Søren 1 Bae, Taehan 1 Barsotti, Flavia 1 Basu, Sankarshan 1 Bianchi, Michele Leonardo 1 Braun, Alexandre Luis 1 Brignone, Riccardo 1 Buccioli, Alice 1 Burnecki, Krzysztof 1 Cadenillas, Abel 1 Ceci, Claudia 1 Chang, Lung-Fu 1 Chen, Zezhun 1 Cheng, Zailei 1 Cheung, Eric C. K. 1 Chong, Yuxiang 1 Chung, San-Lin 1 Cojocaru, Ionica 1 Colaneri, Katia 1 Cretarola, Alessandra 1 Cufaro Petroni, Nicola 1 Cui, Lirong 1 De Genaro, Alan 1 Deelstra, Griselda 1 Delong, Łukasz 1 Dimitrova, Dimitrina S. 1 Drury, Kevin L. S. 1 Eichler, Andreas 1 Escobar, Marcos 1 Fearnhead, Paul 1 Feng, Runhuan 1 Finke, Axel 1 Frías, María P. 1 Fusai, Gianluca 1 Gao, Fuqing 1 Georgiopoulos, Nick 1 Gerrard, Russell 1 Giuricich, Mario Nicoló 1 Goel, Anubha 1 Hamel, Emmanuel 1 Hawkes, Alan Geoffrey 1 Herbertsson, Alexander 1 Hillairet, Caroline 1 Hung, Mao-wei 1 Ignatov, Zvetan G. 1 Jang, Hyun Jin 1 Janssen, Augustus Josephus Elizabeth Maria 1 Jedynak, Bruno M. 1 Jiang, Wenjun 1 Jin, Zhuo 1 Johansen, Adam M. 1 Kaishev, Vladimir K. 1 Khalique, Chaudry Masood 1 Kim, Changki 1 Kokholm, Thomas 1 Koops, David T. 1 Krvavych, Yuriy 1 Kulperger, Reginald J. 1 Kyriakou, Ioannis 1 Lam, Ka Wai 1 Landriault, David 1 Lánský, Petr 1 Lautier, Jackson P. 1 Lee, Sangyeol 1 Leipus, Remigijus 1 Leobacher, Gunther 1 Li, Shuanming 1 Liang, Xiaoqing ...and 95 more Authors all top 5 Cited in 45 Serials 27 Insurance Mathematics & Economics 6 Quantitative Finance 5 Scandinavian Actuarial Journal 4 European Journal of Operational Research 4 Methodology and Computing in Applied Probability 4 North American Actuarial Journal 3 Advances in Applied Probability 3 Journal of Applied Probability 3 Statistics & Probability Letters 3 Communications in Statistics. Theory and Methods 3 Stochastic Processes and their Applications 3 Computational Management Science 2 Lithuanian Mathematical Journal 2 Queueing Systems 2 International Journal of Theoretical and Applied Finance 2 Journal of Industrial and Management Optimization 2 Stochastics 2 European Actuarial Journal 1 Journal of Mathematical Analysis and Applications 1 Journal of Statistical Physics 1 Physica A 1 Bulletin of Mathematical Biology 1 Chaos, Solitons and Fractals 1 Annals of the Institute of Statistical Mathematics 1 Zeitschrift für Analysis und ihre Anwendungen 1 Stochastic Analysis and Applications 1 Physica D 1 Journal of Applied Mathematics and Stochastic Analysis 1 Economics Letters 1 Journal of Statistical Computation and Simulation 1 Journal of Mathematical Imaging and Vision 1 Theory of Probability and Mathematical Statistics 1 Statistical Papers 1 Mathematical Problems in Engineering 1 Mathematical Methods of Operations Research 1 Journal of the Royal Statistical Society. Series B. Statistical Methodology 1 Discrete Dynamics in Nature and Society 1 Journal of Nonlinear Mathematical Physics 1 Stochastic Models 1 Stochastics and Dynamics 1 ASTIN Bulletin 1 Review of Derivatives Research 1 Frontiers of Mathematics in China 1 Statistics Surveys 1 Cogent Mathematics all top 5 Cited in 16 Fields 82 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 76 Probability theory and stochastic processes (60-XX) 36 Statistics (62-XX) 7 Systems theory; control (93-XX) 6 Operations research, mathematical programming (90-XX) 5 Numerical analysis (65-XX) 2 Integral transforms, operational calculus (44-XX) 2 Operator theory (47-XX) 2 Biology and other natural sciences (92-XX) 1 Measure and integration (28-XX) 1 Ordinary differential equations (34-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year