Refereed Journals

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.

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.

Submitted Papers and Working Papers 

Jang, J. and Fu, G. (2007) : Transform approach for operational risk management: VaR and TCE, under review at 'Journal of Futures Markets'.

Jang, J. and Jho, J. H. (2007) : Asymptotic Super(Sub)additivity of value-at-risk of Regularly Varying Dependent Variables, under review at 'Insurance: Mathematics & Economics'.
 
Jang, J. (2007) : Measuring CDS rate with copula-dependent default intensity, under review at 'Quantitative Finance'.
 
Dassios, A. and Jang, J. (1998c) : The Cox process at jump times, Working Paper, Department of Statistics, London School of Economics (LSERR43).
 

Conference Presentations 

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.