Dassios, Angelos


Dr Angelos Dassios  

Department

Position held

Department of Statistics

Associate Professor (Reader)

Experience keywords:

Insurance mathematics; Stochastic processes; Financial Mathematics, Applied Probability

Research summary > [Click to expand]

Exotic (path dependent) derivatives. Risk theory. Applications of point processes to finance and insurance.

Sectors and industries to which research relates:

BankingFinancial Services

Languages:

Greek [Spoken: Fluent, Written: Fluent]

Media experience:

Radio

Contact Points

LSE phone number:

+44 (0)20 7955 7749

Publications

LSE Research Online, Funnelback Search

2014

Bergsma, Wicher and Dassios, Angelos (2014) A consistent test of independence based on a sign covariance related to Kendall's tau Bernoulli, 20 (2). 1006-1028. ISSN 1350-7265

2013

Che, Xiaonan and Dassios, Angelos (2013) Stochastic boundary crossing probabilities for the Brownian motion Journal of Applied Probability, 50 (2). 419-429. ISSN 0021-9002

Dassios, Angelos and Zhao, Hongbiao (2013) A risk model with delayed claims Journal of Applied Probability, 50 (3). 686-702. ISSN 0021-9002

Dassios, Angelos and Zhao, Hongbiao (2013) Exact simulation of Hawkes process with exponentially decaying intensity Electronic Communications in Probability, 18. ISSN 1083-589X

Jang, Jiwook and Dassios, Angelos (2013) A bivariate shot noise self-exciting process for insurance Insurance: Mathematics and Economics, 53 (3). 524-532. ISSN 0167-6687

2012

Dassios, Angelos and Zhao, Hongbiao (2012) Ruin by dynamic contagion claims Insurance: Mathematics and Economics, 51 (1). 93-106. ISSN 0167-6687

2011

Dassios, Angelos and Wu, Shanle (2011) Double-barrier Parisian options Journal of Applied Probability, 48 (1). 1-20. ISSN 0021-9002

Dassios, Angelos and Wu, Shanle (2011) Barrier strategies with Parisian delay Department of Statistics, London School of Economics and Political Science , London, UK.

Dassios, Angelos and Wu, Shanle (2011) Brownian excursions outside a corridor and two-sided Parisian options Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos and Wu, Shanle (2011) Brownian excursions in a corridor and related Parisian options Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos and Nagaradjasarma, Jayalaxshmi (2011) Pricing of Asian options on interest rates in the CIR model Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos and Zhao, Hongbiao (2011) A dynamic contagion process and an application to credit risk

Dassios, Angelos and Zhao, Hongbiao (2011) A dynamic contagion process Advances in Applied Probability, 43 (3). 814-846. ISSN 0001-8678

2010

Dassios, Angelos and Wu, Shanle (2010) Perturbed Brownian motion and its application to Parisian option pricing Finance and Stochastics, 14 (3). 473-494. ISSN 0949-2984

Dassios, Angelos and Zhao, Hongbiao (2010) Point processes with contagion and an application to credit risk

2009

Dassios, Angelos and Wu, Shanle (2009) On barrier strategy dividends with Parisian implementation delay for classical surplus processes Insurance: Mathematics and Economics, 45 (2). 195-202. ISSN 0167-6687

2008

Dassios, Angelos and Wu, Shanle (2008) Parisian ruin with exponential claims Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos and Jang, Jiwook (2008) The distribution of the interval between events of a Cox process with shot noise intensity Journal of Applied Mathematics and Stochastic Analysis, 2008. 1-14. ISSN 1687-2177

Dassios, Angelos and Wu, Shanle (2008) Ruin probabilities of the Parisian type for small claims Department of Statistics, London School of Economics and Political Science, London, UK.

2006

Dassios, Angelos (2006) Quantiles of Lévy processes and applications in finance Department of Statistics, London School of Economics and Political Science, London, UK.

Dassios, Angelos and Nagaradjasarma, Jayalaxshmi (2006) The square-root process and Asian options Quantative Finance, 6 (4). 337-347. ISSN 1469-7696

2005

Dassios, Angelos and Jang, J.W. (2005) Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts Journal of Applied Probability, 42 (1). 93-107. ISSN 0021-9002

Dassios, Angelos (2005) On the quantiles of the Brownian motion and their hitting times Bernoulli, 11 (1). 29-36. ISSN 1350-7265

2003

Dassios, Angelos and Jang, Jiwook (2003) Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity Finance and Stochastics, 7 (1). 73-95. ISSN 1432-1122

2002

Basu, Sankarshan and Dassios, Angelos (2002) A Cox process with log-normal intensity Insurance: Mathematics and Economics, 31 (2). 297-302. ISSN 0167-6687


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