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Hongbiao ZHAO (赵宏飙)
Hongbiao ZHAO (赵宏飙)
Associate Professor at Shanghai University of Finance and Economics
Verified email at lse.ac.uk - Homepage
Title
Cited by
Cited by
Year
A dynamic contagion process
A Dassios, H Zhao
Advances in Applied Probability 43 (3), 814-846, 2011
1722011
Exact simulation of Hawkes process with exponentially decaying intensity
A Dassios, H Zhao
Electronic Communications in Probability 18 (62), 1-13, 2013
1582013
Ruin by dynamic contagion claims
A Dassios, H Zhao
Insurance: Mathematics and Economics 51 (1), 93-106, 2012
402012
Efficient simulation of clustering jumps with CIR intensity
A Dassios, H Zhao
Operations Research 65 (6), 1494-1515, 2017
332017
A generalised contagion process with an application to credit risk
A Dassios, H Zhao
International Journal of Theoretical and Applied Finance 20 (1), 1-33, 2017
23*2017
A risk model with delayed claims
A Dassios, H Zhao
Journal of Applied Probability 50 (3), 686-702, 2013
192013
Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Y Qu, A Dassios, H Zhao
Journal of the Operational Research Society 72 (2), 471-484, 2021
182021
A risk model with renewal shot-noise Cox process
A Dassios, J Jang, H Zhao
Insurance: Mathematics and Economics 65, 55-65, 2015
152015
Exact simulation of Ornstein-Uhlenbeck tempered stable processes
Y Qu, A Dassios, H Zhao
Journal of Applied Probability 58 (2), 347-371, 2021
132021
A two-phase dynamic contagion model for COVID-19
Z Chen, A Dassios, V Kuan, JW Lim, Y Qu, B Surya, H Zhao
Results in Physics 26, 104264, 2021
92021
A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance
A Dassios, J Jang, H Zhao
Risks 7 (4), 103, 2019
82019
Exact simulation for a class of tempered stable and related distributions
A Dassios, Y Qu, H Zhao
ACM Transactions on Modeling and Computer Simulation 28 (3), 20:1-20:21, 2018
82018
Moments of renewal shot-noise processes and their applications
J Jang, A Dassios, H Zhao
Scandinavian Actuarial Journal 2018 (8), 727-752, 2018
72018
Simulation and calibration of a fully Bayesian marked multidimensional Hawkes process with dissimilar decays
KW Lim, Y Lee, L Hanlen, H Zhao
Proceedings of The 8th Asian Conference on Machine Learning, PMLR 63, 238-253, 2016
72016
A Dynamic Contagion Process for Modelling Contagion Risk in Finance and Insurance
H Zhao
The London School of Economics and Political Science (LSE), 2012
72012
Efficient simulation of Lévy-driven point processes
Y Qu, A Dassios, H Zhao
Advances in Applied Probability 51 (4), 927-966, 2019
62019
A Markov chain model for contagion
A Dassios, H Zhao
Risks 2 (4), 434-455, 2014
62014
Random variate generation for exponential and gamma tilted stable distributions
Y Qu, A Dassios, H Zhao
ACM Transactions on Modeling and Computer Simulation 31 (4), 1-21, 2021
32021
A dynamic contagion process and an application to credit risk
H Zhao, A Dassios
London School of Economics, LSE PhD Student Poster Exhibition, 2011
22011
Credit Risk Models and Implementation
H Zhao
University of Warwick, 2007
22007
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Articles 1–20