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Jiwook Jang

Jiwook_Jang

Formal Name: Jiwook Jang

Personal Title: Dr

Position: Senior Lecturer

Organisational Unit: Department of Actuarial Studies

Qualification: PhD Statistics (LSE); MSc Actuarial Science (City University, London); BA Business Administration (Sogang University, Seoul) 

Telephone: (+61-2) 9850-8575

Fax: (+61-2) 9850-9481

Email: jjang@efs.mq.edu.au

Location: E4A 613

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 and the Journal of Risk & Insurance. He also has been invited to Kyoto University, Katholieke Universiteit Leuven, 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 Interests

Measuring stochastic dependency for collateral losses using Compound Cox/Poisson process and a copula. Stochastic survival analysis. Measuring capital requirements for extreme risks: VaR, TailVaR and Operational risk. Intensity-based credit risk modelling using the Cox process. Electricity pricing using shot noise process. 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.

Teaching

  • ACST305/858: Quantitative Methods for Asset and Liability Management

Publications

Refereed Journals

  • Jang, J. and Fu, G. (2009): Measuring tail dependence for aggregate collateral losses using bivariate compound Cox process with shot noise intensity, ASTIN Bulletin (forthcoming)
  • 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.

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. (2009) : A new approach for modelling credit contagion, under review at ‘Mathematical Finance’.
  • Jang, J. (2008) : Measuring CDS rate with copula-dependent default intensity, under review at ‘Journal of Futures Market’.

Conference Presentations

  • 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.