고려대학교 정경대학 통계학과

학력

• Ph.D. in Risk Management and Insurance, 2016, Georgia State University, ATL, USA
  
  M.S. in Mathematical Risk Management, 2011, Georgia State University, ATL, USA
  
  M.S. in Statistics, 2008, Soongsil University, Seoul, Korea
  
  B.S. in Business, February 2005, Korea University, Seoul, Korea

경력 및 수상

경력

2024.09 – Present, Associate Professor, Department of Statistics, Korea University 

2022.08 - 2024.08, Associate Professor of Mathematics, College of Arts and Sciences, Saint Joseph’s University

2021.01 - 2022.05, Co-Director in Actuarial Science, Department of Mathematics, Saint Joseph’s University

2016.08 - 2022.05, Assistant Professor of Mathematics, College of Arts and Sciences, Saint Joseph’s University

수상

2018. Summer Research Grant (Saint Joseph’s University)

2011-2016. Georgia State University – Ph.D. Fellowship

2011-2016. Helen C. Leith Scholarship

2011-2016. Huebner Foundation Scholarship

2011. Georgia State University – Outstanding Mathematical Risk Management Student of the Year Award

연구논문

• • Two-Asset Double Barrier Options with Lee, H., Lee, G., and Kong, B. Accepted in Computational Economics.
  
  • Valuing American options using multi-step rebate options with Lee, H., Lee, G., and Lee, M. (2024). North American Journal of Economics and Finance. 74, 102227.
  
  • Foreign equity lookback options with partial monitoring with Lee, H., and Kong, B. (2024). Finance Research Letters. 67, 105726
  
  • Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge with Lee, H., Kong, B., and Lee, M. (2024). North American Journal of Economics and Finance. 73, 102174.
  
  • Quanto fund protection using partial lookback participation with Lee, H., Kong, B., Kim, E., and Lee, M. (2024). North American Journal of Economics and Finance. 73, 102186.
  
  • A sharing rule for multi-period interest-sensitive insurance contracts with Lee, H., and Lee, M. (2024). North American Journal of Economics and Finance. 71, 102111
  
  • Pricing first-touch digitals with a multi-step double boundary and American barrier options with Lee, H., and Kong, B. (2024). Finance Research Letters. 59, 104699.
  
  • Pricing multi-step double barrier options by the efficient non-crossing probability with Lee, H., Kong, B., and Lee, M. (2023). Finance Research Letters. 54, 103772.
  
  • Partial quanto lookback options with Lee, H., and Lee, M. (2023). North American Journal of Economics and Finance. 64, 101871.
  
  • Piecewise linear boundary crossing probabilities, barrier options, and variable annuities with Lee, H., and Lee, M. (2022). Journal of Futures Markets. 42 (2248-2272).
  
  • Foreign Equity Lookback Options with Guarantees with Lee, H., and Lee, M. (2022). Finance
  Research Letters. 48, 102963.
  
  • A Least-Squares Monte Carlo Approach to the Estimation of Enterprise Risk with Bauer, D. (2022). Finance and Stochastics. 26 (417-459).
  
  • A Valuation of Piecewise Linear Double Barrier Options with Lee, H., and Lee, M. (2022). Journal of Futures Markets. 42 (125-151).
  
  • A Valuation of Piecewise Linear Barrier Options with Lee, H., and Lee, M. (2021). North
  American Journal of Economics and Finance. 58, 101470.
  
  • Decrement Rates and a Numerical Method under Competing Risks with Lee, H., and Lee, T. (2021). Computational Statistics and Data Analysis. 156, 107125.
  
  • A Sharing Mechanism of Interest-Sensitive Products with Lee, H., and Choi, H. (2020). North American Journal of Economics and Finance. 54, 101237.
  
  • A Study on Weather Insurance Pricing Based on Stochastic Temperature Modeling with Lee, C., and Kwon, H. (2008). Journal of Insurance and Finance. 19-2 (55-76).

학술대회 발표논문

• • A Least-squares Monte Carlo Approach to Calculating Risks; Regression-now or Later? Study of Derivative, Seoul, Korea, November, 2023.
  
  • A Least-squares Monte Carlo Approach to Calculating Risks; Regression-now or Later? Informs Annual Meeting in Indianapolis, U.S.A, October, 2022.
  
  • Variance Reduction Method for a Least-Squares Monte Carlo Approach to the Calculation of Risk Measures. The American Risk and Insurance Association: 2019 Annual Meeting in San Francisco, U.S.A., August, 2019.
  
  • Variance Reduction Method for a Least-Squares Monte Carlo Approach to the Calculation of Risk Measures. The Asia-Pacific Risk and Insurance Association: 2019 Annual Conference in Seoul, Korea, July, 2019.
  
  • An Evaluation of Withdrawal Benefits in Variable Annuities via Machine Learning. The 31st International Congress of Actuaries Congress Program, Berlin, Germany, June 2018.
  
  • The Principal-based Reserve, The first Insurance Seminar at the Korean Insurance Deposit, Seoul, Korea, May 2018.
  
  • A Neural Network Monte Carlo Evaluation of Withdrawal Benefits in Variable Annuities. Advances in Predictive Analytics in University of Waterloo, Ontario, Canada, December 2017.
  
  • A Neural Network Monte Carlo Evaluation of Withdrawal Benefits in Variable Annuities. The 52nd Actuarial Research Conference, Atlanta, U.S.A, July 2017.
  
  • Pricing Guaranteed Minimum Withdrawal Benefits using Least-Squares Monte Carlo Simulation. World Risk and Insurance Economics Congress, Munich, Germany, August 2015.
  
  • A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements. World Risk and Insurance Economics Congress, Munich, Germany, August 2015.
  
  • A Least-Squares Monte Carlo Approach to the Calculation of Capital Requirements. 8th World Congress of the Bachelier Finance Society, Brussels, Belgium, June 2014.