Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
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- Angelos Dassios & Jiwook Jang & Hongbiao Zhao, 2019. "A Generalised CIR Process with Externally-Exciting and Self-Exciting Jumps and Its Applications in Insurance and Finance," Risks, MDPI, vol. 7(4), pages 1-18, October.
- Jiwook Jang & Patrick J. Laub & Tak Kuen Siu & Hongbiao Zhao, 2025. "Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims," Papers 2502.13325, arXiv.org.
- Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 55-65.
- Canan Hamurkaroğlu & Sümeyra Sezer Kaplan, 2024. "Actuarial premium calculation for beekeeping insurance in Turkiye," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(3), pages 448-473, July.
- Jang, Jiwook & Dassios, Angelos & Zhao, Hongbiao, 2018. "Moments of renewal shot-noise processes and their applications," LSE Research Online Documents on Economics 87428, London School of Economics and Political Science, LSE Library.
- Jang, Jiwook & Dassios, Angelos, 2013. "A bivariate shot noise self-exciting process for insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 524-532.
- Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.
- Yan, Jun, 2017. "Deviations and asymptotic behavior of convex and coherent entropic risk measures for compound Poisson process influenced by jump times," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 71-79.
- Jang, Jiwook, 2007. "Jump diffusion processes and their applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 62-70, July.
- Jang Jiwook, 2009. "The Cost of Delay in a Mortgage/Credit Loan Portfolio," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 4(1), pages 1-14, November.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2019. "A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance," LSE Research Online Documents on Economics 102043, London School of Economics and Political Science, LSE Library.
- Dassios, Angelos & Jang, Jiwook & Zhao, Hongbiao, 2015. "A risk model with renewal shot-noise Cox process," LSE Research Online Documents on Economics 64051, London School of Economics and Political Science, LSE Library.
- Hangsuck Lee & Gaeun Lee & Seongjoo Song, 2021. "Multi-step Reflection Principle and Barrier Options," Papers 2105.15008, arXiv.org.
- Truong, Chi & Trück, Stefan & Mathew, Supriya, 2018. "Managing risks from climate impacted hazards – The value of investment flexibility under uncertainty," European Journal of Operational Research, Elsevier, vol. 269(1), pages 132-145.
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