P. J. de Jongh

North-West University

PJ (Riaan) de Jongh is Director of the Centre for Business Mathematics and Informatics at North-West University. He specializes in training BMI students for professional careers in industry, based on a statistical science core. Currently the BMI programmes include Actuarial Science, Quantitative Risk Management, Financial Mathematics, and Business Analytics. His research interest includes business and risk analytics. He is the author and co-author of several international research papers, a Fellow and Past President of the South African Statistical Association (SASA) and act as external reviewer for the global CERA (Certified Enterprise Risk Actuary) review panel as well as for various journals and conferences.

Articles by P. J. de Jongh

Original research

Pricing options using expected profit and loss measures

The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.

03 Jan 2023

Original research

Portfolio allocation based on expected profit and loss measures

The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.

30 Apr 2021

Original research

A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk

The objective of this paper is to compare numerical approximation techniques in terms of their practical usefulness and potential applicability in an operational risk context.

21 Mar 2016

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