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Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/602829
Description: We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to def ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1043702
Description: In this paper we generalise the risk models beyond the ordinary framework of affine processes or Markov processes and study a risk process where the claim arrivals are driven by a Cox process with ren ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/362856
Description: We study the effects of jump diffusion transition intensities on a life insurance and disability annuity. To do so, we use a multi-states Markov chain with multiple decrement. Assuming independent sta ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/289654
Description: We study the recursive moments of aggregate discounted claims, where the dependence between the inter-claim time and the subsequent claim size is considered. Using the general expression for the m-th ... More
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Authors: Jang, Jiwook
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/305411
Description: In this paper, we study multiple shot noise process and its integral. We analyse these two processes systematically for their theoretical distributions, based on the piecewise deterministic Markov pro ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230676
Description: In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps, which are distributed according to a shot noise Cox process, and two se ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182467
Description: The authors consider a compound Cox model of insurance risk with the additional economic assumption of a positive interest rate. As the authors note a duality result relating a compound Cox model of i ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/201701
Description: In this paper, we introduce tail dependene measures for collateral losses from catastrophic events. To calculate these measures, we use bivariate compound process where a Cox process with shot noise i ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/143006
Description: If risks are extremely heavy-tailed, it is essential to find the lower bound of a given risk measure. In this paper, we examine the asymptotic super(sub)additivity of the value-at-risk measure when lo ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/133528
Description: We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is modelled by letting the individual jumps of the default intensity be driven by a common ... More
Reviewed: Reviewed
Authors: Jang, Jiwook
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/150681
Description: Using an actuarial model, we examine the cost of delay in mortgage/credit loan payments. It is assumed that the default arrival process follows the Poisson process and the loss sizes are assumed to be ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/210488
Description: Applying the piecewise derteministic processes theory, the probability generating function of a Cox process, incorporating with shot noise process as the claim intensity, is obtained. We also derive t ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212514
Description: To quantify the aggregrate losses from operational risk, we employ an actuarial risk model, ie, we consider compound Cox model of operational risk to deal with the stochastic nature of its frequency r ... More
Reviewed: Reviewed
Authors: Jang, Jiwook
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74870
Description: For insurance risks, jump processes such as homogeneous/non-homogeneous compound Poisson processes and compound Cox processes have been used to model aggregate losses. If we consider the economic assu ... More
Reviewed: Reviewed
Date: 2005
Subject Keyword: 010400 Statistics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1133503
Description: 15 page(s)
Reviewed: Reviewed