Ji-Wook Jang

发表

Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts

A. Dassios, Ji-Wook Jang, Jiwook Jang, 2005 .

A bivariate shot noise self-exciting process for insurance

A. Dassios, Ji-Wook Jang, Jiwook Jang, 2013 .

A Bivariate Shot Noise Hawkes Process for Insurance

A. Dassios, Ji-Wook Jang, Jiwook Jang, 2011 .

Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Cox Process with Shot Noise Intensity

Ji-Wook Jang, Genyuan Fu, 2010 .

The Distribution of the Interval between Events of a Cox Process with Shot Noise Intensity

A. Dassios, Ji-Wook Jang, Jiwook Jang, 2008 .

A Risk Model with Renewal Shot-Noise Cox Process

A. Dassios, Hongbiao Zhao, Ji-Wook Jang, 2015 .

Credit derivatives pricing using the Cox process with shot noise intensity

Ji-Wook Jang, Jiwook Jang, 2005 .

Measuring default premiums using the Cox process with shot noise intensity

Ji-Wook Jang, Jiwook Jang, 2004 .

Pricing Basket Default Swaps in a Tractable Shot-Noise Model

Thorsten Schmidt, Ji-Wook Jang, Alexander Herbertsson, 2011 .

A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance

A. Dassios, Hongbiao Zhao, Ji-Wook Jang, 2019, Risks.

The hidden cost of delay in a credit loan portfolio

Ji-Wook Jang, 2003 .

Pricing arithmetic Asian options under jump diffusion CIR processes

Hyun Jin Jang, Ji-Wook Jang, Jong Jun Park, 2020 .