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Associate Professor Jae Kyung Woo
Associate Professor

Associate Professor Jae Kyung Woo

Professional Qualification & Membership

  • Fellow of the Institute of Actuaries of Australia (FIAA), since May 2018
  • Fellow of the Society of Actuaries (FSA), since Oct 2013
  • Chartered Enterprise Risk Analyst (CERA) of the Society of Actuaries, since Jan 2012
  • Fellow Member of Actuarial Society of Hong Kong (ASHK) since Dec 2018
Business School
School of Risk and Actuarial Studies

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
E-mail
j.k.woo@unsw.edu.au
  • Books | 2017
    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
  • Journal articles | 2023
    Cheung ECK; Lau H; Willmot GE; Woo JK, 2023, 'Finite-time ruin probabilities using bivariate Laguerre series', Scandinavian Actuarial Journal, 2023, pp. 153 - 190, http://dx.doi.org/10.1080/03461238.2022.2089051
    Journal articles | 2022
    Albrecher H; Cheung ECK; Liu H; Woo JK, 2022, 'A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process', Insurance: Mathematics and Economics, 103, pp. 96 - 118, http://dx.doi.org/10.1016/j.insmatheco.2022.01.004
    Journal articles | 2022
    Cheung ECK; Peralta O; Woo JK, 2022, 'Multivariate matrix-exponential affine mixtures and their applications in risk theory', Insurance: Mathematics and Economics, 106, pp. 364 - 389, http://dx.doi.org/10.1016/j.insmatheco.2022.07.001
    Journal articles | 2022
    Willmot GE; Woo JK, 2022, 'Remarks on a generalized inverse Ggaussian type integral with applications', Applied Mathematics and Computation, 430, http://dx.doi.org/10.1016/j.amc.2022.127302
    Journal articles | 2021
    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, 100, pp. 274 - 295, http://dx.doi.org/10.1016/j.insmatheco.2021.06.003
    Journal articles | 2021
    Rabehasaina L; Woo JK, 2021, 'Multitype branching process with non-homogeneous Poisson and contagious Poisson immigration', Journal of Applied Probability, 58, pp. 1007 - 1042, http://dx.doi.org/10.1017/jpr.2021.19
    Journal articles | 2020
    Rabehasaina L; Woo JK, 2020, 'Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs', Queueing Systems, 94, pp. 393 - 420, http://dx.doi.org/10.1007/s11134-020-09646-y
    Journal articles | 2020
    Xu R; Woo JK, 2020, 'Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments', Insurance: Mathematics and Economics, 92, pp. 1 - 16, http://dx.doi.org/10.1016/j.insmatheco.2020.02.008
    Journal articles | 2019
    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, 276, pp. 582 - 601, http://dx.doi.org/10.1016/j.ejor.2019.01.033
    Journal articles | 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, 14, pp. 1179 - 1201, http://dx.doi.org/10.3934/jimo.2018005
    Journal articles | 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, 90, pp. 307 - 350, http://dx.doi.org/10.1007/s11134-018-9583-0
    Journal articles | 2018
    Woo JK; Liu H, 2018, 'Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model', Methodology and Computing in Applied Probability, 20, pp. 1 - 34, http://dx.doi.org/10.1007/s11009-018-9618-3
    Journal articles | 2018
    Xu R; Woo JK; Han X; Yang H, 2018, 'A plan of capital injections based on the claims frequency', Annals of Actuarial Science, 12, pp. 296 - 325, http://dx.doi.org/10.1017/S1748499518000180
    Journal articles | 2017
    Woo J-K; Xu R; Yang H, 2017, 'Gerber–Shiu analysis with two-sided acceptable levels', Journal of Computational and Applied Mathematics, 321, pp. 185 - 210, http://dx.doi.org/10.1016/j.cam.2017.02.014
    Journal articles | 2016
    Cheung ECK; Woo J-K, 2016, 'On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes', Scandinavian Actuarial Journal, 2016, pp. 63 - 91, http://dx.doi.org/10.1080/03461238.2014.900519
    Journal articles | 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, 70, pp. 354 - 363, http://dx.doi.org/10.1016/j.insmatheco.2016.07.004
    Journal articles | 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, 3, pp. 491 - 514, http://dx.doi.org/10.3390/risks3040491
    Journal articles | 2015
    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, 45, pp. 151 - 173, http://dx.doi.org/10.1017/asb.2014.23
    Journal articles | 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, 2014, pp. 405 - 423, http://dx.doi.org/10.1080/03461238.2012.723044
    Journal articles | 2014
    Liu J; Woo J-K, 2014, 'Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks', Insurance: Mathematics and Economics, 55, pp. 1 - 9, http://dx.doi.org/10.1016/j.insmatheco.2013.11.010
    Journal articles | 2013
    Cheung E, 2013, 'On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency', Insurance: Mathematics and Economics, 52, pp. 98 - 113, http://dx.doi.org/10.1016/j.insmatheco.2012.10.008
    Journal articles | 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, 43, pp. 189 - 212, http://dx.doi.org/10.1017/asb.2013.7
    Journal articles | 2013
    Woo J-K; Cheung ECK, 2013, 'A note on discounted compound renewal sums under dependency', Insurance: Mathematics and Economics, 52, pp. 170 - 179, http://dx.doi.org/10.1016/j.insmatheco.2012.11.005
    Journal articles | 2012
    Willmot GE; Woo J-K, 2012, 'On the analysis of a general class of dependent risk processes', Insurance: Mathematics and Economics, 51, pp. 134 - 141, http://dx.doi.org/10.1016/j.insmatheco.2012.03.007
    Journal articles | 2012
    Woo J-K, 2012, 'A generalized penalty function for a class of discrete renewal processes', Scandinavian Actuarial Journal, 2012, pp. 130 - 152, http://dx.doi.org/10.1080/03461238.2010.490017
    Journal articles | 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, 27, pp. 51 - 60, http://dx.doi.org/10.1002/asmb.837
    Journal articles | 2011
    Woo J-K, 2011, 'Refinements of two-sided bounds for renewal equations', Insurance: Mathematics and Economics, 48, pp. 189 - 196, http://dx.doi.org/10.1016/j.insmatheco.2010.10.013
    Journal articles | 2010
    Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2010, 'Gerber–Shiu analysis with a generalized penalty function', Scandinavian Actuarial Journal, 2010, pp. 185 - 199, http://dx.doi.org/10.1080/03461230902884013
    Journal articles | 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, 46, pp. 117 - 126, http://dx.doi.org/10.1016/j.insmatheco.2009.05.009
    Journal articles | 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, 46, pp. 32 - 41, http://dx.doi.org/10.1016/j.insmatheco.2009.08.004
    Journal articles | 2010
    Woo J-K, 2010, 'Some remarks on delayed renewal risk models', ASTIN Bulletin: The Journal of the IAA, 40, pp. 199 - 219, http://dx.doi.org/10.2143/AST.40.1.2049225
    Journal articles | 2007
    Willmot GE; Woo J-K, 2007, 'On the class of Erlang mixtures with risk theoretic applications', North American Actuarial Journal, 11, pp. 99 - 115, http://dx.doi.org/10.1080/10920277.2007.10597450
    Journal articles |
    Avanzi B; Cheung ECK; Wong B; Woo J-K, 'On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2115381
  • Working Papers |
    Avanzi B; Cheung ECK; Wong B; Woo J-K, On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency, Elsevier BV, http://dx.doi.org10.2139/ssrn.2115381, http://dx.doi.org/10.2139/ssrn.2115381
  • Preprints | 2022
    Ahn JY; Cheung ECK; Oh R; Woo J-K, 2022, Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence, , http://dx.doi.org/10.48550/arxiv.2106.00911
    Theses / Dissertations | 2010
    Woo J-K, 2010, Gerber-Shiu analysis in some dependent Sparre Andersen risk models, article, University of Waterloo
    Other | 2009
    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

  • 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 pro le between frequency and severity of loss
    - Co-investigator: E.C.K. Cheung (UNSW)