Sojung Kim
Dr. Sojung Kim
Dr. Sojung Kim
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Curriculum Vitae
Since 2017
Postdoctoral Research Fellow, Institute of Probability and Statistics & House of Insurance, Leibniz Universität Hannover * Maternity Leave from 2019 July to 2020 April2016-2017
Postdoctoral Research Fellow, The department of Mathematical Sciences, Korea Advanced Institute of Science and Technology (KAIST), S. Korea2011–2016
Doctoral Research Fellow, The department of Mathematical Sciences, Korea Advanced Institute of Science and Technology (KAIST), S. Korea, Ph.D. thesis: "Essays on Pricing under Lévy Models and Computing Risk Measures" -
Publications
- Multinomial Backtesting of Distortion Risk Measures
(with S. Bettels and S. Weber)
- Microscopic Traffic Models, Accidents, and Insurance Losses
(with M. Kleiber and S. Weber)
To appear in: ASTIN Bulletin
- Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
(with S. Weber)
European Journal of Operational Research, 298(1), 380-398, 2022
- Robust quantile estimation under bivariate extreme value models
(with K. Kim and H. Ryu)
Extremes, 23, 55–83, 2020
- Saddlepoint Approximations for Conditional Expectations with Applications to Risk Management
(with K. Kim)
Bernoulli, 23(3), 1481-1517, 2017
- Simulation of tempered stable Lévy bridges and its applications
(with K. Kim)
Operations Research, 64(2), 495–509, 2016
- Multinomial Backtesting of Distortion Risk Measures