Jae Kyung Woo

Accreditation Actuary
Associate Professor

Jae Kyung (JK) Woo received her MMath and Ph.D. degrees from the Department of Statistics & Actuarial Science at the University of Waterloo. Afterward, she worked in the Department of Mathematics & Statistics at Concordia University as a postdoctoral fellow from September 2010 to July 2011, and at the Department of Statistics at Columbia University as an assistant professor from July 2011 to June 2012. She worked the Department of Statistics & Actuarial Science at the University of Hong Kong as an assistant professor from July 2012 to June 2017, and then she joined the School of Risk and Actuarial Studies at the UNSW Business School, UNSW in July 2017.

Her research interests are focused on risk theory, reliability theory, aggregate claim analysis, queueing theory, dependence modelling and Bonus-Malus system.

She has been serving as an Editorial Board member for

Journal articles
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Cheung ECK; Ni W; Oh R; Woo J-K, 2021, 'Bayesian credibility under a bivariate prior on the frequency and the severity of claims', Insurance: Mathematics and Economics, vol. 100, pp. 274 - 295, http://dx.doi.org/10.1016/j.insmatheco.2021.06.003
2021
Xu R; Woo JK, 2020, 'Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments', Insurance: Mathematics and Economics, vol. 92, pp. 1 - 16, http://dx.doi.org/10.1016/j.insmatheco.2020.02.008
2020
Rabehasaina L; Woo JK, 2020, 'Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs', Queueing Systems, vol. 94, pp. 393 - 420, http://dx.doi.org/10.1007/s11134-020-09646-y
2020
Cheung ECK; Rabehasaina L; Woo J-K; Xu R, 2019, 'Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process', European Journal of Operational Research, vol. 276, pp. 582 - 601, http://dx.doi.org/10.1016/j.ejor.2019.01.033
2019
Woo JK; Liu H, 2018, 'Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model', Methodology and Computing in Applied Probability, vol. 20, pp. 1 - 34, http://dx.doi.org/10.1007/s11009-018-9618-3
2018
Rabehasaina L; Woo J-K, 2018, 'On a multivariate renewal-reward process involving time delays: Applications to IBNR process and infinite server queues', Queueing Systems, vol. 90, pp. 307 - 350, http://dx.doi.org/10.1007/s11134-018-9583-0
2018
Xu R; Woo JK; Han X; Yang H, 2018, 'A plan of capital injections based on the claims frequency', Annals of Actuarial Science, vol. 12, pp. 296 - 325, http://dx.doi.org/10.1017/S1748499518000180
2018
Drekic S; Woo JK; Xu R, 2018, 'A threshold-based risk process with a waiting period to pay dividends', Journal of Industrial and Management Optimization, vol. 14, pp. 1179 - 1201, http://dx.doi.org/10.3934/jimo.2018005
2018
Woo J-K; Xu R; Yang H, 2017, 'Gerber–Shiu analysis with two-sided acceptable levels', Journal of Computational and Applied Mathematics, vol. 321, pp. 185 - 210, http://dx.doi.org/10.1016/j.cam.2017.02.014
2017
Cheung ECK; Woo J-K, 2016, 'On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes', Scandinavian Actuarial Journal, vol. 2016, pp. 63 - 91, http://dx.doi.org/10.1080/03461238.2014.900519
2016
Woo J-K, 2016, 'On multivariate discounted compound renewal sums with time-dependent claims in the presence of reporting/payment delays', Insurance: Mathematics and Economics, vol. 70, pp. 354 - 363, http://dx.doi.org/10.1016/j.insmatheco.2016.07.004
2016
Willmot GE; Woo J-K, 2015, 'On some properties of a class of multivariate Erlang mixtures with insurance applications', ASTIN Bulletin: The Journal of the IAA, vol. 45, pp. 151 - 173, http://dx.doi.org/10.1017/asb.2014.23
2015
Cheung ECK; Liu H; Woo J-K, 2015, 'On the joint analysis of the total discounted payments to policyholders and shareholders: dividend barrier strategy', Risks, vol. 3, pp. 491 - 514, http://dx.doi.org/10.3390/risks3040491
2015
Liu J; Woo J-K, 2014, 'Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks', Insurance: Mathematics and Economics, vol. 55, pp. 1 - 9, http://dx.doi.org/10.1016/j.insmatheco.2013.11.010
2014
Landriault D; Lee WY; Willmot GE; Woo J-K, 2014, 'A note on deficit analysis in dependency models involving Coxian claim amounts', Scandinavian Actuarial Journal, vol. 2014, pp. 405 - 423, http://dx.doi.org/10.1080/03461238.2012.723044
2014
Cheung E, 2013, 'On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency', Insurance: Mathematics and Economics, vol. 52, pp. 98 - 113, http://dx.doi.org/10.1016/j.insmatheco.2012.10.008
2013
Willmot GE; Woo J-K, 2013, 'Some distributional properties of a class of counting distributions with claims analysis applications', ASTIN Bulletin: The Journal of the IAA, vol. 43, pp. 189 - 212, http://dx.doi.org/10.1017/asb.2013.7
2013
Woo J-K; Cheung ECK, 2013, 'A note on discounted compound renewal sums under dependency', Insurance: Mathematics and Economics, vol. 52, pp. 170 - 179, http://dx.doi.org/10.1016/j.insmatheco.2012.11.005
2013
Willmot GE; Woo J-K, 2012, 'On the analysis of a general class of dependent risk processes', Insurance: Mathematics and Economics, vol. 51, pp. 134 - 141, http://dx.doi.org/10.1016/j.insmatheco.2012.03.007
2012
Woo J-K, 2012, 'A generalized penalty function for a class of discrete renewal processes', Scandinavian Actuarial Journal, vol. 2012, pp. 130 - 152, http://dx.doi.org/10.1080/03461238.2010.490017
2012
Woo J-K, 2011, 'Refinements of two-sided bounds for renewal equations', Insurance: Mathematics and Economics, vol. 48, pp. 189 - 196, http://dx.doi.org/10.1016/j.insmatheco.2010.10.013
2011
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2011, 'On orderings and bounds in a generalized Sparre Andersen risk model', Applied Stochastic Models in Business and Industry, vol. 27, pp. 51 - 60, http://dx.doi.org/10.1002/asmb.837
2011
Woo J-K, 2010, 'Some remarks on delayed renewal risk models', ASTIN Bulletin: The Journal of the IAA, vol. 40, pp. 199 - 219, http://dx.doi.org/10.2143/AST.40.1.2049225
2010
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2010, 'Gerber–Shiu analysis with a generalized penalty function', Scandinavian Actuarial Journal, vol. 2010, pp. 185 - 199, http://dx.doi.org/10.1080/03461230902884013
2010
Willmot GE; Woo J-K, 2010, 'Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts', Insurance: Mathematics and Economics, vol. 46, pp. 32 - 41, http://dx.doi.org/10.1016/j.insmatheco.2009.08.004
2010
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2010, 'Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models', Insurance: Mathematics and Economics, vol. 46, pp. 117 - 126, http://dx.doi.org/10.1016/j.insmatheco.2009.05.009
2010
Willmot GE; Woo J-K, 2007, 'On the class of Erlang mixtures with risk theoretic applications', North American Actuarial Journal, vol. 11, pp. 99 - 115, http://dx.doi.org/10.1080/10920277.2007.10597450
2007
Books
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Willmot GE; Woo J-K, 2017, Surplus Analysis of Sparre Andersen Insurance Risk Processes, Springer, http://dx.doi.org/10.1007/978-3-319-71362-5
2017
Theses / Dissertations
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Woo J-K, 2010, Gerber-Shiu analysis in some dependent Sparre Andersen risk models, article, University of Waterloo
2010
Other
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Woo J-K, 2009, “On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2009.10597552
2009
  • ARC Discovery Projects 2020 (AUD 334,000; 07/2020-06/2023)
    - Project title: Shock model-based framework for modelling correlated large losses
    - CI: E.C.K. Cheung (UNSW), PI: H. Albrecher (Lausanne), G.E. Willmot (Waterloo)
  • Casualty Actuarial Society and Society of Actuaries' CKER (Committee on Knowledge Extension Research) Grant (USD 20,000; 2018-2020)
    - Project title: Credibility theory under a general dependency structure of risk prole between frequency and severity of loss
    - Co-investigator: E.C.K. Cheung (UNSW)