Items where Author is "Dassios, Angelos"

Article

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366, Liu, Anxin and Zhao, Hongbiao (2024) Exact simulation of quadratic intensity models. Informs Journal on Computing. ISSN 1091-9856

Zhang, Pengcheng, Chen, Zezhun, Tzougas, George, Calderín–Ojeda, Enrique, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Xueyuan (2024) Multivariate zero-inflated INAR(1) model with an application in automobile insurance. North American Actuarial Journal. ISSN 1092-0277

Chen, Zezhun Chen, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Tzougas, George (2024) EM estimation for bivariate mixed poisson INAR(1) claim count regression models with correlated random effects. European Actuarial Journal, 14 (1). 225 – 255. ISSN 2190-9733

Zhang, Junyi ORCID: 0000-0001-8986-6588 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2024) Posterior sampling from truncated Ferguson-Klass representation of normalised completely random measure mixtures. Bayesian Analysis. ISSN 1936-0975

Chen, Zezhun Chen, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Tzougas, George (2023) INAR approximation of bivariate linear birth and death process. Journal of Applied Statistics, 26 (3). 459 - 497. ISSN 0266-4763

Zhang, Junyi ORCID: 0000-0001-8986-6588 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2023) Truncated two-parameter Poisson-Dirichlet approximation for Pitman-Yor process hierarchical models. Scandinavian Journal of Statistics. ISSN 0303-6898

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, Junyi ORCID: 0000-0001-8986-6588 (2023) Exact simulation of Poisson-Dirichlet distribution and generalised gamma process. Methodology and Computing in Applied Probability, 25 (2). ISSN 1387-5841

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2023) Shot-noise cojumps: exact simulation and option pricing. Journal of the Operational Research Society, 74 (3). 647 - 665. ISSN 1476-9360

Chen, Zezhun Chen, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Tzougas, George (2023) A first order binomial mixed poisson integer-valued autoregressive model with serially dependent innovations. Journal of Applied Statistics, 50 (2). 352 - 369. ISSN 0266-4763

Zhang, Junyi ORCID: 0000-0001-8986-6588 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2023) Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models. Statistics and Computing. ISSN 0960-3174

Jang, Jiwook, Qu, Yan, Zhao, Hongbiao and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2023) A Cox model for gradually disappearing events. Probability in the Engineering and Informational Sciences, 37 (1). 214 - 231. ISSN 0269-9648

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, Junyi ORCID: 0000-0001-8986-6588 (2022) First hitting time of Brownian motion on simple graph with skew semiaxes. Methodology and Computing in Applied Probability, 24 (3). 1805 - 1831. ISSN 1387-5841

Chen, Zezhun, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Tzougas, George (2022) Multivariate mixed Poisson Generalized Inverse Gaussian INAR(1) regression. Computational Statistics. ISSN 0943-4062

Chen, Zezhun, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Tzougas, George (2022) EM estimation for the bivariate mixed exponential regression model. Risks, 10 (5). ISSN 2227-9091

Chen, Zezhun and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2022) Cluster point processes and Poisson thinning INARMA. Stochastic Processes and Their Applications, 147. 456 - 480. ISSN 0304-4149

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2021) Random variate generation for exponential and gamma tilted stable distributions. ACM Transactions on Modeling and Computer Simulation, 31 (4). ISSN 1049-3301

Chen, Zezhun, Dassios, Angelos ORCID: 0000-0002-3968-2366, Kuan, Valerie, Lim, Jia Wei, Qu, Yan, Surya, Budhi and Zhao, Hongbiao (2021) A two-phase dynamic contagion model for COVID-19. Results in Physics, 26. ISSN 2211-3797

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2021) Exact simulation of Ornstein-Uhlenbeck tempered stable processes. Journal of Applied Probability, 58 (2). 347 - 371. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, Junyi (2021) Exact simulation of two-parameter Poisson-Dirichlet random variables. Electronic Journal of Probability, 26. ISSN 1083-6489

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, Junyi ORCID: 0000-0001-8986-6588 (2020) Parisian time of reflected Brownian motion with drift on rays and its application in banking. Risks, 8 (4). ISSN 2227-9091

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2020) Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds. Mathematical Finance, 30 (4). pp. 1497-1526. ISSN 0960-1627

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Li, Luting (2020) Explicit asymptotic on first passage times of diffusion processes. Advances in Applied Probability, 52 (2). ISSN 0001-8678

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2020) Exact simulation of a truncated Lévy subordinator. ACM Transactions on Modeling and Computer Simulation, 30 (3). ISSN 1049-3301

Qu, Yan, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2019) Exact simulation of gamma-driven Ornstein–Uhlenbeck processes with finite and infinite activity jumps. Journal of the Operational Research Society. ISSN 0160-5682

Dassios, Angelos ORCID: 0000-0002-3968-2366, Jang, Jiwook and Zhao, Hongbiao (2019) A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance. Risks, 7 (4). ISSN 2227-9091

Dassios, Angelos ORCID: 0000-0002-3968-2366, Qu, Yan and Zhao, Hongbiao (2019) Efficient simulation of Lévy-driven point processes. Advances in Applied Probability, 51 (4). pp. 927-966. ISSN 0001-8678

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2019) A variation of the Azéma martingale and drawdown options. Mathematical Finance, 29 (4). pp. 1116-1130. ISSN 0960-1627

Dassios, Angelos ORCID: 0000-0002-3968-2366, Lim, Jia Wei and Qu, Yan (2019) Exact simulation of generalised Vervaat perpetuities. Journal of Applied Probability, 56 (1). pp. 57-75. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366, Qu, Yan and Zhao, Hongbiao (2018) Exact simulation for a class of tempered stable. ACM Transactions on Modeling and Computer Simulation, 28 (3). ISSN 1049-3301

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2018) Recursive formula for the double barrier Parisian stopping time. Journal of Applied Probability, 55 (1). pp. 282-301. ISSN 0021-9002

Jang, Jiwook, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2018) Moments of renewal shot-noise processes and their applications. Scandinavian Actuarial Journal (8). pp. 727-752. ISSN 0346-1238

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) Efficient simulation of clustering jumps with CIR intensity. Operations Research, 65 (6). pp. 1494-1515. ISSN 0030-364X

Sankar, Subhra, Bergsma, Wicher ORCID: 0000-0002-2422-2359 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2017) Testing independence of covariates and errors in nonparametric regression. Scandinavian Journal of Statistics, 45 (3). pp. 421-443. ISSN 0303-6898

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2017) An analytical solution for the two-sided Parisian stopping time, its asymptotics and the pricing of Parisian options. Mathematical Finance, 27 (2). pp. 604-620. ISSN 0960-1627

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2017) A generalised contagion process with an application to credit risk. International Journal of Theoretical and Applied Finance, 20 (1). ISSN 0219-0249

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2017) An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. Methodology and Computing in Applied Probability, 20 (1). pp. 189-204. ISSN 1387-5841

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhang, You You (2016) The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing. Finance and Stochastics, 20. pp. 773-804. ISSN 0949-2984

Dhar, Subhra Sankar, Dassios, Angelos ORCID: 0000-0002-3968-2366 and Bergsma, Wicher ORCID: 0000-0002-2422-2359 (2016) A study of the power and robustness of a new test for independence against contiguous alternatives. Electronic Journal of Statistics, 10 (1). pp. 330-351. ISSN 1935-7524

Dassios, Angelos ORCID: 0000-0002-3968-2366, Jang, Jiwook and Zhao, Hongbiao (2015) A risk model with renewal shot-noise Cox process. Insurance: Mathematics and Economics, 65. pp. 55-65. ISSN 0167-6687

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2014) A Markov chain model for contagion. Risks, 2 (4). pp. 434-455. ISSN 2227-9091

Bergsma, Wicher ORCID: 0000-0002-2422-2359 and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2014) A consistent test of independence based on a sign covariance related to Kendall's tau. Bernoulli, 20 (2). pp. 1006-1028. ISSN 1350-7265

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2013) A risk model with delayed claims. Journal of Applied Probability, 50 (3). pp. 686-702. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2013) Exact simulation of Hawkes process with exponentially decaying intensity. Electronic Communications in Probability, 18 (62). ISSN 1083-589X

Che, Xiaonan and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2013) Stochastic boundary crossing probabilities for the Brownian motion. Journal of Applied Probability, 50 (2). pp. 419-429. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Lim, Jia Wei (2013) Parisian option pricing: a recursive solution for the density of the Parisian stopping time. SIAM Journal on Financial Mathematics, 4 (1). pp. 599-615. ISSN 1945-497X

Jang, Jiwook and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2013) A bivariate shot noise self-exciting process for insurance. Insurance: Mathematics and Economics, 53 (3). pp. 524-532. ISSN 0167-6687

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2012) Ruin by dynamic contagion claims. Insurance: Mathematics and Economics, 51 (1). pp. 93-106. ISSN 0167-6687

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2011) Double-barrier Parisian options. Journal of Applied Probability, 48 (1). pp. 1-20. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2011) A dynamic contagion process. Advances in Applied Probability, 43 (3). pp. 814-846. ISSN 0001-8678

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2010) Perturbed Brownian motion and its application to Parisian option pricing. Finance and Stochastics, 14 (3). pp. 473-494. ISSN 0949-2984

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2009) On barrier strategy dividends with Parisian implementation delay for classical surplus processes. Insurance: Mathematics and Economics, 45 (2). pp. 195-202. ISSN 0167-6687

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Jang, Jiwook (2008) The distribution of the interval between events of a Cox process with shot noise intensity. Journal of Applied Mathematics and Stochastic Analysis, 2008. pp. 1-14. ISSN 1048-9533

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Nagaradjasarma, Jayalaxshmi (2006) The square-root process and Asian options. Quantitative Finance, 6 (4). pp. 337-347. ISSN 1469-7688

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Jang, J.W. (2005) Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts. Journal of Applied Probability, 42 (1). pp. 93-107. ISSN 0021-9002

Dassios, Angelos ORCID: 0000-0002-3968-2366 (2005) On the quantiles of the Brownian motion and their hitting times. Bernoulli, 11 (1). pp. 29-36. ISSN 1350-7265

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Jang, Jiwook (2003) Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity. Finance and Stochastics, 7 (1). pp. 73-95. ISSN 1432-1122

Basu, Sankarshan and Dassios, Angelos ORCID: 0000-0002-3968-2366 (2002) A Cox process with log-normal intensity. Insurance: Mathematics and Economics, 31 (2). pp. 297-302. ISSN 0167-6687

Monograph

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2011) Brownian excursions in a corridor and related Parisian options. . Department of Statistics, London School of Economics and Political Science, London, UK. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2011) Brownian excursions outside a corridor and two-sided Parisian options. . Department of Statistics, London School of Economics and Political Science, London, UK. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2011) Barrier strategies with Parisian delay. . Department of Statistics, London School of Economics and Political Science, London, UK. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Nagaradjasarma, Jayalaxshmi (2011) Pricing of Asian options on interest rates in the CIR model. . Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2008) Ruin probabilities of the Parisian type for small claims. . Department of Statistics, London School of Economics and Political Science, London, UK. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Wu, Shanle (2008) Parisian ruin with exponential claims. . Department of Statistics, London School of Economics and Political Science, London, UK. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 (2006) Quantiles of Lévy processes and applications in finance. . Department of Statistics, London School of Economics and Political Science, London, UK.

Conference or Workshop Item

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2011) A dynamic contagion process and an application to credit risk. In: LSE Research Day 2011: The Early Career Researcher, 2011-05-26, London, United Kingdom, GBR. (Submitted)

Dassios, Angelos ORCID: 0000-0002-3968-2366 and Zhao, Hongbiao (2010) Point processes with contagion and an application to credit risk. In: LSE PhD posters, 0001-01-03. (Submitted)