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Jae Kyung Woo

Associate Professor, Accreditation Actuary

School of Risk ＆ Actuarial - PhD in Actuarial Science, MMath, University of Waterloo | BSc, Ewha Womans University | FIAA, FSA, CERA

About Jae Kyung (JK)

Before joining the UNSW in July 2017, Jae Kyung (JK) Woo was a postdoctoral fellow at Mathematics & Statistics, Concordia University (09/2010-06/2011), and spent one year as Assistant Professor at Statistics, Columbia University (07/2011-06/2012). Then she moved to Statistics & Actuarial Science, the University of Hong Kong as Assistant Professor and worked for five years. She completed her MMath and Ph.D. at Statistics & Actuarial Science, the University of Waterloo and her undergraduate studies at Statistics & BBA, Ewha Womans University.

Her research interests lie in the area of risk theory, reliability theory, aggregate claim analysis, Queueing theory, and renewal processes.

She is a Fellow of the Society of Actuaries (FSA), and a Chartered Enterprise Risk Analyst (CERA) received from the SOA.

Go to Jae Kyung's personal website for more information.

Journal Articles

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
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
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
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
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
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; 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
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
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 JK, 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, 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
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
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
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
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

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

Other Academic Work

Woo J-K, 2010, Gerber-Shiu analysis in some dependent Sparre Andersen risk models, article, University of Waterloo
Woo JK, 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, http://dx.doi.org/10.1080/10920277.2009.10597552

Accreditation