Professor Jae Kyung Woo

Professor

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

ASTIN Bulletin: The Journal of the IAA since Jan 2021,
Probability in the Engineering and Information Sciences (PEIS) since Jan 2018, and
Risks since Oct 2020 (Topic Editor).

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, 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, 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, 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

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

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

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

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

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

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

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, 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

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

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

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

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

Journal articles | 2011

Woo J-K, 2011, 'Refinements of two-sided bounds for renewal equations', Insurance: Mathematics and Economics, 48, pp. 189 - 196

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

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

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

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

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

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

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,

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)

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