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A New Class of Models for Heavy Tailed Distributions in Finance and Insurance Risk
Many insurance loss data are known to be heavy-tailed. In this article we study the class of Log phase-type (LogPH) distributions as a parametric alternative in fitting heavy tailed data. TransformedExpand
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Quantifying and Correcting the Bias in Estimated Risk Measures
In this paper we explore the bias in the estimation of the Value at Risk and Conditional Tail Expectation risk measures using Monte Carlo simulation. We assess the use of bootstrap techniques toExpand
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Parametric Investigation on the Influence of GM, Roll Damping, and Above-Water Form on the Roll Response of Model 5613
Abstract : A parametric investigation on the influence of above water hull form, vertical center of gravity, and bilge keel damping on the roll response of a notional combatant hull form was pursuedExpand
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Bias correction for estimated distortion risk measure using the bootstrap
  • J. Kim
  • Mathematics
  • 1 October 2010
The bias of the empirical estimate of a given risk measure has recently been of interest in the risk management literature. In particular, Kim and Hardy (2007) showed that the bias can be correctedExpand
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A capital allocation based on a solvency exchange option
In this paper we propose a new capital allocation method based on an idea of [Sherris, M., 2006. Solvency, capital allocation and fair rate of return in insurance. J. Risk Insurance 73 (1), 71-96].Expand
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Conditional Tail Moments of the Exponential Family and Its Related Distributions
Abstract The risk measure is a central theme in the risk management literature. For good reasons, the conditional tail expectation (CTE) has received much interest in both insurance and financeExpand
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Estimating extreme tail risk measures with generalized Pareto distribution
  • M. H. Park, J. Kim
  • Mathematics, Computer Science
  • Comput. Stat. Data Anal.
  • 1 June 2016
TLDR
We propose a new GPD parameter estimator, under the POT framework, to estimate common tail risk measures, the Value-at-Risk (VaR) and Conditional Tail Expectation (also known as Tail-VaR). Expand
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Estimating the Variance of Bootstrapped Risk Measures
Abstract In Kim and Hardy (2007) the exact bootstrap was used to estimate certain risk measures including Value at Risk and the Conditional Tail Expectation. In this paper we continue this work byExpand
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Integrated cognitive radio antenna using reconfigurable band pass filters
TLDR
This paper discusses the design of a reconfigurable band pass filter integrated with an UWB antenna. Expand
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GSK2878175, a pan‐genotypic non‐nucleoside NS5B polymerase inhibitor, in healthy and treatment‐naïve chronic hepatitis C subjects
GSK2878175 is a potent, pan‐genotypic, non‐nucleoside, nonstructural protein 5B palm polymerase inhibitor being developed for the treatment of chronic hepatitis C (CHC). A first‐in‐human, randomized,Expand
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