The Department of Statistics has a long-standing tradition of research and education in insurance mathematics. It is running a successful, long established, BSc in Actuarial Science| programme. The Department consolidated and extended its operations in this field with the launch of the MSc in Risk & Stochastics| programme in the Autumn of 2004 and has in turn upgraded postgraduate activities emanating from the Department's research in this area.
Professor Pauline Barrieu
Chair in Statistics
Research interests: Illiquid and incomplete financial markets; real options; contract designing; environmental economics; risk measures
Contact: p.m.barrieu@lse.ac.uk|
Staff page|
Professor Pauline Barrieu is the co-editor with Luca Albertini of The Handbook of Insurance-Linked Securities, 2009, published by Wiley-Blackwell, London, UK. ISBN 978-0-470-74383-6|.
Professor Barrieu is on research sabbatical leave in 2012-13.
Senior Lecturer
Research interests: Optimal stopping; stochastic games; Lévy processes; financial and insurance mathematics
Contact: e.j.baurdoux@lse.ac.uk|
Staff page|
Reader
Research interests: Stochastic calculus; theory of martingales and Markov processes; liquidity risk and credit risk modelling; aysmmetric information in financial markets; carbon finance
Contact: u.cetin@lse.ac.uk|
Staff page|
Reader
Research interests: Stochastics processes; theory and applications of piecewise deterministic Markov processes; risk theory; insurance and financial applications of stochastic processes
Contact: a.dassios@lse.ac.uk|
Staff page|
Reader
Research interests: Stochastic analysis; marthingales and the general theory of stochastic processes; foundations of mathematical finance and economics; stochastic control and optimisations; Monte Carlo methods
Contact: k.kardaras@lse.ac.uk|
Lecturer
Research interests: Stochastic calculus; analysis of differential equations and their application of finance and insurance; computational finance
Contact: h.xing@lse.ac.uk|
Staff page|
Visiting and Emeritus Professors and Associate Staff
Professor Ragnar Norberg
Professor Emeritus
Visiting associate member
Contact: ragnar.norberg@univ-lyon1.fr|
Professor Thorsten Rheinlander
Visiting Professor
Contact: thorsten.rheinlander@fam.tuwien.ac.at|
Professor Giacomo Scandolo
Visiting associate member
Contact: giacomo.scandolo@univr.it|
The group collaborates closely with the LSE Financial Markets Group| and, outside the School, with the Institute of Actuaries| and industrial partners.
Recent research papers
A small selection of our recent research papers:
Barrieu, P., and Scandolo, G. (2008) General pareto-optimal allocations and applications for multi-period risks|. ASTIN Bulletin, 38 (1), pp. 105-136, ISSN 0515-0361.
Baurdoux, E.J., and Kyprianou A.E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process|. Electronic Journal of Probability, 13, pp. 173-197. ISSN 1083-6489.
Soner, H., Cetin, U., and Touzi, N. (2010) Option hedging for small investors under liquidity costs|. Finance and Stochastics, 14 (3), pp. 317-341. ISSN 0949-2984.
Dassios, A., and Jang, J. (2008) The distribution of the interval between events of a Cox process with shot noise intensity|. Journal of Applied Mathematics and Stochastic Analysis, 2008, pp. 1-14. ISSN 1048-9533 1687-2177.
Kardaras, C. (2010) Numéraire-invariant preferences in financial modelling|. Annals of applied probability, 20 (5), pp 1697-1728. ISSN 0150-5164.
Bayraktar, E., and Xing, H. (2009) Analysis of the optimal exercise boundary of American options for jump diffusions|. SIAM Journal on Mathematical Analysis. 41 (2), pp. 825-860, ISSN 0036-1410.
Please see the staff pages or LSE Research Online| for a comprehensive list of research outputs.
Research grants
Please see here| for a full list of research grants held by the Department of Statistics and the Centre for the Analysis of Time Series (CATS)|.
MPhil and PhD students
Zhanyu Chen
Research topic/title: Self-duality and semi-state hedging
Supervisor(s): Angelos Dassios / Umut Cetin / Thorsten Rheinlander
Cheng Li
Research topic/title:
Supervisor(s): Hao Xing / Pauline Barrieu
Jia Wei Lim
Research topic/title: Parisian option pricing
Supervisor(s): Angelos Dassios / Konstantinos Kalogeropoulos
Filippo Riccardi
Research topic/title: Stochastic modelling of market microstructure
Supervisor(s): Angelos Dassios / Umut Cetin / Thorsten Rheinlander
Majeed Simaan
Research topic/title:
Supervisor(s): Umut Cetin / Pauline Barrieu
You You Zhang
Research topic/title:
Supervisor(s): Angelos Dassios / Hao Xing
A full list of MPhil and PhD students in the Department of Statistics is available here|.
Recent completions:
Ilya Sheynzon (2013)
Thesis title: A mathematical finance approach to modelling of multiple equilibria and stock market booms and crashes
Hongbiao Zhao (2012)
Thesis title: A dynamic contagion process - for modelling contagion risk in finance and insurance|
Flavia Giammarino (2012)
Thesis title: Indifference pricing with uncertainty averse preferences|
Xiaonan Che (2012)
Thesis title: Markov-typed models for large value interbank payment system|
Dan Chen (2011)
Thesis title: Three essays on pricing and hedging problems in incomplete markets|
Jimenez-Huerta, Diego (2009)
Thesis title: Stochastic models and methods for the assessment of earthquake risk in insurance|
Lee, Young (2009)
Thesis title: The minimal entropy martingale measure and hedging in incomplete markets|
Wu, Shanle (2008)
Thesis title: Excursions of Lévy processes and applications in mathematical finance and insurance|
Yamada, Takeshi (2010)
Thesis title: Essays on mathematical finance: applications of moment expansions and filtering theory|