Jiwook Jang, Business and Economics, Macquarie University

Jiwook Jang, Business and Economics, Macquarie University

x

Contact Staff

Photo of Jiwook Jang
  • Title: Doctor
  • Position: Senior Lecturer - Department of Applied Finance and Actuarial Studies
  • Qualifications: PhD Statistics (LSE); MSc Actuarial Science (City University, London); BA Business Administration (Sogang University, Seoul)

Contact Details

Areas of Expertise

  • Financial and insurance risks
  • catastrophe insurance modelling
  • financial derivatives pricing

Profile

Jiwook Jang obtained his B.A. in Business Administration from Sogang University, Seoul. After studying Actuarial Science for Master of Science at the City University, London, he completed his Ph.D. in Statistics at the London School of Economics and Political Science (LSE) in 1998. Before he started his doctorate at LSE, he went to work for LG Securities International Limited, London in 1994 as an assistant to head trader and as a researcher for a paper prepared for Scottish Amicable at the City University, London in 1993 . After working as a lecturer of Statistics at LSE, a lecturer of Actuarial Studies at the University of New South Wales and a senior lecturer of Financial Mathematics at the Cass Business School, London, Jiwook is currently a senior lecturer of Actuarial Studies at Macquarie University. He has published in leading journals including Finance & Stochastics, Insurance: Mathematics & Economics, the Journal of Applied Probability, Journal of Operational Risk and the Journal of Risk & Insurance. He also has been invited to Cass Business School, Hanyang Univeristy, Kyoto University, Katholieke Universiteit Leuven, Korea University, Korea Advanced Institute of Science and Technology (KAIST), Pohang University of Science and Technology (POSTECH), Swiss Federal Institute of Technology, The Imperial College, the University of Essex, The University of Leipzig and Yonsei University, to provide seminars on his research.

Research areas

Dr. Jang's research focuses on modelling financial and insurance risks using stochastic processes with dependence.

Research Interests

  • Empirical investigations of a model of catastrophe insurance/catastrophe bonds
  • Double/multiple shot noise process and its application to insurance and credit risk
  • Shot noise process with a renewal process and its application to dependent insurance risk
  • Pricing CDS and CDOs with credit contagion
  • Asset-liability management using stochastic processes
  • Optimal decision making for investment and insurance
  • Piecewise deterministic Markov processes theory
  • Jump diffusion processes and their applications to finance and insurance
  • Nonlinear filtering with counting observation
  • Financial derivatives pricing
  • Measuring credit/longevity/operational risk

Publications

journal toggle icon openjournal toggle icon close Refereed Journal Articles

  • Herbertsson, A., Jang, J. and Schmidt, T. (2011): Pricing basket default swaps in a tractable shot noise model, Statistics and Probability Letters, 81/8.
  • Jang, J. (2009): The cost of delay in a mortgage/credit loan portfolio, Asia Pacific Journal of Risk and Insurance, Vol 4, Iss 1, Article 5.
  • Jang, J. and Fu, G. (2008) : Transform approach for operational risk management: VaR and TCE, Journal of Operational Risk, 3(2), 45-61.
  • Dassios, A. and Jang, J. (2008) : The distribution of the interval between events of a Cox process with shot noise intensity, Journal of Applied Mathematics and Stochastic Analysis, Article ID 367170.
  • Jang, J. (2007) : Jump Diffusion Processes and their Applications in Insurance and Finance, Insurance: Mathematics & Economics, 41/1, 62-70.
  • Dassios, A. and Jang, J. (2005) : Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts, Journal of Applied Probability, 42/1, 93-107.
  • Jang, J. and Krvavych, Y. (2004) : Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform, Insurance: Mathematics & Economics, 35/1, 97-111.
  • Jang, J. (2004) : Martingale approach for moments of discounted aggregate claims, Journal of Risk and Insurance, 71/2, 201-211.
  • Dassios, A. and Jang, J. (2003) : Pricing of catastrophe reinsurance \& derivatives using the Cox process with shot noise intensity, Finance & Stochastics, 7/1, 73-95.

conference toggle icon openconference toggle icon close Conferences and Presentations

  • Jang, J. (2010) : Double shot noise process and its application in insurance, presented at the 14th International Congress on Insurance: Mathematics & Economics, Toronto, Canada and at Quantitative Methods in Finance 2010 Conference, Sydney, Australia
  • Jang, J. (2009): A new approach for modelling credit contagion, presented at Quantitative Methods in Finance 2009 Conference, Sydney, Australia.
  • Jang, J. (2009): Measuring tail dependence for collateral losses using bivariate Poisson process, presented at the 13th International Congress on Insurance: Mathematics & Economics, Istanbul, Turkey.
  • Jang, J. (2008); A new approach for measuring credit contagion, presented at the 1st International Forum on Research in Finance - Financial Risk: New Developments in Structured Products and Credit Derivatives, Paris, France and at the 5th World Congress of the Bachelier Finance Society, London.
  • Jang, J. (2008); Transform approach for operational risk management, presented at the 5th Annual Conference of Asia Pacific Association of Derivatives (APAD), Busan, Korea, at the 12th Annual APRIA Conference, Sydney, at the 15th International AFIR Colloquium, Manchester, UK and at Quantitative Methods in Finance 2008 Conference, Sydney.
  • Jang, J. (2007); Measuring CDS rate with copula-dependent default intensity, presented at the 16th International AFIR Colloquium, Stockholm, Sweden and at the 4th Annual Conference of Asia Pacific Association of Derivatives (APAD), Gurgaon, India.
  • Jang, J. (2006); Jump Diffusion Processes and their Applications in Insurance and Finance, presented at the 4th World Congress of the Bachelier Finance Society, Tokyo, Japan.
  • Jang, J. (2005); Credit derivatives pricing using the Cox process with shot noise intensity, presented at the 15th International AFIR Colloquium, Zurich, Switzerland and at Quantitative Methods in Finance 2005 Conference, Sydney, Australia.
  • Jang, J. (2005); Generalised Levy Processes and their Applications in Insurance and Finance, presented at the 9th International Congress on Insurance: Mathematics & Economics, Quebec, Canada.
  • Jang, J. (2004); Measuring default premiums using the Cox process with shot noise intensity, presented at the 3rd World Congress of the Bachelier Finance Society, Chicago, U.S.A.
  • Jang, J. (2004); Measuring capital charge for a credit loan portfolio: VaR and TCE, presented at the 8th Asia-Pacific Risk and Insurance Association Annual Conference, Seoul, Korea.
  • Jang, J. (2004); The Laplace transform of the distribution of the Cox process with shot noise intensity and its application to reinsurance and
  • operational risk, presented at the 8th International Congress on Insurance: Mathematics & Economics, Rome, Italy.
  • Jang, J. (2003); The hidden of cost of delay in a credit loan portfolio; Proceedings of the 13th International AFIR Colloquium, Maastricht, The Netherlands.
  • Jang, J. (2003); Stop loss reinsurance pricing in an economic environment, presented at the 7th International Congress on
  • Insurance: Mathematics & Economics, Lyon, France.
  • Jang, J. (2002); Arbitrage-free premium calculation using the reversed shot noise process and the Esscher measure, presented at Quantitative Methods in Finance 2002 Conference, Cairns/Sydney, Australia and at the 28th Conference on Stochastic Processes and their Applications, Melbourne, Australia.
  • Jang, J. (2002); The Laplace transform of the distribution of the shot noise process with respect to the Esscher measure and its application
  • to the accumulated aggregate insurance claims, presented at the 6th International Congress on Insurance: Mathematics & Economics, Lisbon,
  • Portugal.
  • Jang, J. (2002); Reserving using the Gaussian approximation to the Cox process with shot noise intensity, presented at the 27th International Congress of Actuaries, Cancun, Mexico.
  • Jang, J. (2001); The pricing of catastrophe reinsurance contract using the Cox process and an equivalent martingale probability measure, invited and presented at the 53rd Session of the International Statistical Institute (ISI), Seoul, Korea.
  • Jang, J. (2000); The pricing of a stop-loss reinsurance contract using the Kalman-Bucy filter, presented at Quantitative Methods in Finance & Bernoulli society 2000 Conference, Sydney, Australia.
  • Jang, J. (2000); Doubly Stochastic Poisson Process and the Pricing of Catastrophe Reinsurance Contract' presented at the 31st International ASTIN Colloquium, Sardinia, Italy and at Fudan University in Shanghai & Nankai University in Tianjin, China.

Refereed Conference Papers

  • Jang, J. (2003) : The hidden of cost of delay in a credit loan portfolio; Proceedings of the 13th International AFIR Colloquium, The Dutch Actuarial Society.
  • Jang, J. (2002) : Reserving using the Gaussian approximation to the Cox Process with shot noise intensity; Proceedings of the 27th International Congress of Actuaries, International Actuarial Association.

phd supervision toggle icon openphd supervision toggle icon close PhD Student Supervision

  • Principal Supervisor of Siti Modh Ramli - PhD-Actuarial Studies Research - Full Time
  • Associate Supervisor of Genyuan Fu - PhD-Actuarial Studies Research - Full Time
  • Associate Supervisor of Katja Ignatieva - PhD-Economics Research - Full Time

Teaching

  • ACST306/816: Quantitative Methods for Asset and Liability Modelling 1
  • ACST307/817: Quantitative Methods for Asset and Liability Modelling 2
  • ACST865: Quantitative Methods in Risk Management

Publications and Research

Submitted Papers and Working Papers

  • Jang, J. and Fu, G. (2011) : Measuring tail dependence for aggregate collateral losses using bivariate compound shot-noise Cox/Poisson process.
  • Kang, C., Kang, W. and Jang, J. (2011) : A Unified Matrix Affine Asset Pricing Model.
  • Jang, J. (2011) : Copula-dependent collateral default intensity and its application to CDS rate.
  • Jang, J. (2009) : A new approach for modelling credit contagion, under review at 'Journal of Credit Risk'.

Back to the top of this page