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- Publications
- Influence
A New Class of Models for Heavy Tailed Distributions in Finance and Insurance Risk
- Soohan Ahn, J. Kim, V. Ramaswami
- Mathematics
- 1 July 2012
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. Transformed… Expand
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 to… Expand
Parametric Investigation on the Influence of GM, Roll Damping, and Above-Water Form on the Roll Response of Model 5613
- R. Bishop, W. Belknap, C. Turner, B. Simon, J. Kim
- Engineering
- 1 August 2005
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 pursued… Expand
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 corrected… Expand
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
Conditional Tail Moments of the Exponential Family and Its Related Distributions
- J. Kim
- Mathematics
- 1 April 2010
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 finance… Expand
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
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 by… Expand
Integrated cognitive radio antenna using reconfigurable band pass filters
- M. Zamudio, Y. Tawk, J. Costantine, J. Kim, C. Christodoulou
- Computer Science
- Proceedings of the 5th European Conference on…
- 11 April 2011
TLDR
GSK2878175, a pan‐genotypic non‐nucleoside NS5B polymerase inhibitor, in healthy and treatment‐naïve chronic hepatitis C subjects
- S. Gardner, J. Kim, +9 authors M. Paff
- Medicine
- Journal of viral hepatitis
- 1 January 2018
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