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, which currently enrolls some 60 students per year. The Department has consolidated and extended its current operations in this field with the launch of the new 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.
The Risk and Stochastics Group| currently consists of six members within the department, with new appointments aimed at supporting the growing activities in this area.
Dr Pauline Barrieu – Reader
Research interests: Illiquid and incomplete financial markets; real options; contract designing; environmental economics; risk measures
Staff page|
Dr 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|.
Dr Erik Baurdoux – Senior Lecturer
Research interests: Optimal stopping; stochastic games; Lévy processes; financial and insurance mathematics
Staff page|
Dr Umut Cetin – Reader
Research interests: Stochastic calculus; theory of martingales and Markov processes; liquidity risk and credit risk modelling; aysmmetric information in financial markets; carbon finance
Staff page|
Dr Angelos Dassios – Reader
Research interests: Stochastics processes; theory and applications of piecewise deterministic Markov processes; risk theory; insurance and financial applications of stochastic processes
Staff page|
Professor Ragnar Norberg – Professor Emeritus
Research interests: Actuarial statistics; financial mathematics; insurance
Dr Thorsten Rheinlander – Reader
Research interests: Mathematical finance; insurance derivatives; stochastic calculus
Staff page|
Dr Thorsten Rheinlander is the co-author with Jenny Sexton of the book Hedging Derivatives, which is to be published by World Scientific in May 2011. ISBN 978-981-4338-79-0|
Dr Hao Xing – Lecturer
Research interests: Stochastic calculus; analysis of differential equations and their application of finance and insurance; computational finance
Staff page|
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.
Rheinlander, T., and Steiger, G. (2010) Utility indifference hedging with exponential additive processes|. Asia-Pacific Financial Markets, 17 (2), pp. 151-169. ISSN 1387-2834.
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:
Supervisor(s): Thorsten Rheinlander / Angelos Dassios
Jia Wei Lim
Research topic/title: Parisian stopping times and Parisian options
Supervisor(s): Angelos Dassios / Konstantinos Kalogeropoulos
Filippo Riccardi
Research topic/title: Energy markets
Supervisor(s): Thorsten Rheinlander / Umut Cetin
Ilya Sheynzon
Research topic/title: Continuous time modelling of market liquidity, hedging and crashes
Supervisor(s): Umut Cetin / Thorsten Rheinlander
Hongbiao Zhao
Research topic/title: Dynamic contagion process with its application in credit risk
Supervisor(s): Angelos Dassios / Thorsten Rheinlander
A full list of MPhil and PhD students in the Department of Statistics is available here|.
Recent completions:
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|