Follow
Angelos Dassios
Title
Cited by
Cited by
Year
Martingales and insurance risk
A Dassios, P Embrechts
Communications in Statistics. Stochastic Models 5 (2), 181-217, 1989
2681989
Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
A Dassios, JW Jang
Finance and Stochastics 7, 73-95, 2003
2612003
A dynamic contagion process
A Dassios, H Zhao
Advances in applied probability 43 (3), 814-846, 2011
2052011
Exact simulation of Hawkes process with exponentially decaying intensity
A Dassios, H Zhao
1782013
A consistent test of independence based on a sign covariance related to Kendall's tau
W Bergsma, A Dassios
Bernoulli, 1006-1028, 2014
1582014
The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options
A Dassios
The Annals of Applied Probability, 389-398, 1995
1271995
Parisian ruin with exponential claims
A Dassios, S Wu
Department of Statistics, London School of Economics and Political Science, 2008
852008
Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts
A Dassios, JW Jang
Journal of applied probability 42 (1), 93-107, 2005
562005
Perturbed Brownian motion and its application to Parisian option pricing
A Dassios, S Wu
Finance and Stochastics 14, 473-494, 2010
542010
A Cox process with log-normal intensity
S Basu, A Dassios
Insurance: mathematics and economics 31 (2), 297-302, 2002
502002
Ruin by dynamic contagion claims
A Dassios, H Zhao
Insurance: Mathematics and Economics 51 (1), 93-106, 2012
472012
Sample quantiles of stochastic processes with stationary and independent increments
A Dassios
The Annals of Applied Probability 6 (3), 1041-1043, 1996
471996
Efficient simulation of clustering jumps with CIR intensity
A Dassios, H Zhao
Operations Research 65 (6), 1494-1515, 2017
382017
On barrier strategy dividends with Parisian implementation delay for classical surplus processes
A Dassios, S Wu
Insurance: Mathematics and Economics 45 (2), 195-202, 2009
362009
The square-root process and Asian options
A Dassios, J Nagaradjasarma
Quantitative Finance 6 (4), 337-347, 2006
342006
A bivariate shot noise self-exciting process for insurance
J Jang, A Dassios
Insurance: Mathematics and Economics 53 (3), 524-532, 2013
262013
Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps
Y Qu, A Dassios, H Zhao
Journal of the Operational Research Society 72 (2), 471-484, 2021
232021
Double-barrier Parisian options
A Dassios, S Wu
Journal of applied probability 48 (1), 1-20, 2011
232011
The distribution of the interval between events of a Cox process with shot noise intensity
A Dassios, J Jang
Journal of Applied Mathematics and Stochastic Analysis 2008, 1-14, 2008
222008
Exact simulation of a truncated LÚvy subordinator
A Dassios, JW Lim, Y Qu
ACM Transactions on Modeling and Computer Simulation (TOMACS) 30 (3), 1-17, 2020
212020
The system can't perform the operation now. Try again later.
Articles 1–20