Summary: Contributions Taehan Bae
Part I : Contributions to research and development
Over the last several years, my research interest has been on risk and the way it relates with
statistics, mathematical finance, and actuarial science. Main areas of research include (i)
portfolio credit risk models; (ii) operational risk models; (iii) insurance securitizations; and
(iv) equity linked insurance products.
Articles published to referred journals
· T. Bae and R. Kulperger. (2011) . Smooth Baseline Hazard modeling for Corporate
Exits, International Review of Applied Financial Issues and Economics (ISSN: 9210 -
1737), In press.
· N. Horbenko, P. Ruckdeschel and T. Bae. (2011) Robust estimation of operational
risk. Journal of Operational Risk (ISSN: 1744-6740), 6 (2): 3-30.
· T. Bae and C. Kim. (2010) Motor Insurance-Linked Securities: An Area of Financial
Innovation, Journal of Actuarial Science (ISSN: 2093-033X), 2(1): 3-32.
· T. Bae and B. Ko. (2010) On Pricing Equity-Linked Investment Products with a
Threshold Expense Structure. The Korean Journal of Applied Statistics (ISSN: 1225-
066X), 23(4): 621-633.
· T. Bae and I. Iscoe. (2010) Correlations under Stress. International Review of Applied
Financial Issues and Economics (ISSN: 9210 - 1737), 2(2): 248-271.
· T. Bae, C. Kim and R. Kulperger. (2009) Securitization of Motor Insurance Loss