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.