Select Publications

Books

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

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, vol. 103, pp. 96 - 118, http://dx.doi.org/10.1016/j.insmatheco.2022.01.004

Rabehasaina L; Woo JK, 2021, 'Multitype branching process with non-homogeneous Poisson and contagious Poisson immigration', Journal of Applied Probability, vol. 58, pp. 1007 - 1042, http://dx.doi.org/10.1017/jpr.2021.19

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Theses / Dissertations

Woo J-K, 2010, Gerber-Shiu analysis in some dependent Sparre Andersen risk models, article, University of Waterloo

Preprints

Ahn JY; Cheung ECK; Oh R; Woo J-K, 2021, Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence

Other

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


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