| A dynamic contagion process A Dassios, H Zhao Advances in Applied Probability 43 (3), 814-846, 2011 | 188 | 2011 |
| Exact simulation of Hawkes process with exponentially decaying intensity A Dassios, H Zhao Electronic Communications in Probability 18 (62), 1-13, 2013 | 175 | 2013 |
| Ruin by dynamic contagion claims A Dassios, H Zhao Insurance: Mathematics and Economics 51 (1), 93-106, 2012 | 43 | 2012 |
| Efficient simulation of clustering jumps with CIR intensity A Dassios, H Zhao Operations Research 65 (6), 1494-1515, 2017 | 38 | 2017 |
| 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 | 25* | 2017 |
| 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 | 20 | 2021 |
| A risk model with renewal shot-noise Cox process A Dassios, J Jang, H Zhao Insurance: Mathematics and Economics 65, 55-65, 2015 | 20 | 2015 |
| A risk model with delayed claims A Dassios, H Zhao Journal of Applied Probability 50 (3), 686-702, 2013 | 18 | 2013 |
| Exact simulation of Ornstein-Uhlenbeck tempered stable processes Y Qu, A Dassios, H Zhao Journal of Applied Probability 58 (2), 347-371, 2021 | 15 | 2021 |
| 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 | 12 | 2021 |
| 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 | 10 | 2019 |
| Moments of renewal shot-noise processes and their applications J Jang, A Dassios, H Zhao Scandinavian Actuarial Journal 2018 (8), 727-752, 2018 | 9 | 2018 |
| 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 | 9* | 2018 |
| A Skellam market model for loan prime rate options Z Chen, K Zhang, H Zhao Journal of Futures Markets 42 (3), 525-551, 2022 | 7* | 2022 |
| 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 | 7 | 2016 |
| A Dynamic Contagion Process for Modelling Contagion Risk in Finance and Insurance H Zhao The London School of Economics and Political Science (LSE), 2012 | 7 | 2012 |
| Efficient simulation of Lévy-driven point processes Y Qu, A Dassios, H Zhao Advances in Applied Probability 51 (4), 927-966, 2019 | 6 | 2019 |
| A Markov chain model for contagion A Dassios, H Zhao Risks 2 (4), 434-455, 2014 | 6 | 2014 |
| 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 | 5 | 2021 |
| A dynamic contagion process and an application to credit risk H Zhao, A Dassios London School of Economics, LSE PhD Student Poster Exhibition, 2011 | 2 | 2011 |
Angelos DassiosLondon School of Economics and Political ScienceVerified email at lse.ac.uk
