| Martingales and insurance risk A Dassios, P Embrechts Communications in Statistics. Stochastic Models 5 (2), 181-217, 1989 | 268 | 1989 |
| Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity A Dassios, JW Jang Finance and Stochastics 7, 73-95, 2003 | 262 | 2003 |
| A dynamic contagion process A Dassios, H Zhao Advances in applied probability 43 (3), 814-846, 2011 | 207 | 2011 |
| Exact simulation of Hawkes process with exponentially decaying intensity A Dassios, H Zhao | 179 | 2013 |
| A consistent test of independence based on a sign covariance related to Kendall's tau W Bergsma, A Dassios Bernoulli, 1006-1028, 2014 | 158 | 2014 |
| The distribution of the quantile of a Brownian motion with drift and the pricing of related path-dependent options A Dassios The Annals of Applied Probability, 389-398, 1995 | 127 | 1995 |
| Parisian ruin with exponential claims A Dassios, S Wu Department of Statistics, London School of Economics and Political Science, 2008 | 85 | 2008 |
| Kalman-Bucy filtering for linear systems driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts A Dassios, JW Jang Journal of applied probability 42 (1), 93-107, 2005 | 56 | 2005 |
| Perturbed Brownian motion and its application to Parisian option pricing A Dassios, S Wu Finance and Stochastics 14, 473-494, 2010 | 54 | 2010 |
| A Cox process with log-normal intensity S Basu, A Dassios Insurance: mathematics and economics 31 (2), 297-302, 2002 | 51 | 2002 |
| Ruin by dynamic contagion claims A Dassios, H Zhao Insurance: Mathematics and Economics 51 (1), 93-106, 2012 | 47 | 2012 |
| Sample quantiles of stochastic processes with stationary and independent increments A Dassios The Annals of Applied Probability 6 (3), 1041-1043, 1996 | 47 | 1996 |
| Efficient simulation of clustering jumps with CIR intensity A Dassios, H Zhao Operations Research 65 (6), 1494-1515, 2017 | 38 | 2017 |
| On barrier strategy dividends with Parisian implementation delay for classical surplus processes A Dassios, S Wu Insurance: Mathematics and Economics 45 (2), 195-202, 2009 | 36 | 2009 |
| The square-root process and Asian options A Dassios, J Nagaradjasarma Quantitative Finance 6 (4), 337-347, 2006 | 35 | 2006 |
| A bivariate shot noise self-exciting process for insurance J Jang, A Dassios Insurance: Mathematics and Economics 53 (3), 524-532, 2013 | 26 | 2013 |
| 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 | 23 | 2021 |
| Double-barrier Parisian options A Dassios, S Wu Journal of applied probability 48 (1), 1-20, 2011 | 23 | 2011 |
| The distribution of the interval between events of a Cox process with shot noise intensity A Dassios, J Jang Journal of Applied Mathematics and Stochastic Analysis 2008, 1-14, 2008 | 23 | 2008 |
| Exact simulation of a truncated Lévy subordinator A Dassios, JW Lim, Y Qu ACM Transactions on Modeling and Computer Simulation (TOMACS) 30 (3), 1-17, 2020 | 21 | 2020 |
Hongbiao ZHAO (赵宏飙)Associate Professor at Shanghai University of Finance and Economics在 lse.ac.uk 的电子邮件经过验证
