Publikationer pr. år
Publikationer pr. år
Universitetsparken 5
2100 København Ø
Publikationer pr. år
Anvendt Sandsynlighedsregning med anvendelser inden for forsikringsmatematik, finansiering og operationsanalyse.
Tidsinhomogene fasetype fordelinger; matrix orienteret tilgang tilgang til livsforsikringsmodeller; fordelinger med tunge haler; Matrix Mittag-Leffler fordelinger; flerdimensionale fasetype fordelinger; simulering af diffusionsbroer.
Anvendt sandsynlighedsregning og forsikringsmatematik. Numerisk Analyse.
Samme som forskningsområder.
Dansk (modersmål), Engelsk (flydende) , Spansk (flydende), Tysk (forståelse 100%, tale:50%)
EMPLOYMENT
National University of Mexico
Institute for Applied Mathematics and Systems, 1994-2018
Principal researcher.
University of Copenhagen
Department of Mathematical Sciences, 2018-
Professor of Applied Probability and Insurance Mathematics
VISITING POSITIONS
University of Copenhagen
Laboratory of Insurance Mathematics, 2001-2002 Guest Professor.
Technical University of Denmark (DTU)
Institute for Mathematical Modelling, 2007-2008
Guest Professor.
University of Copenhagen
Department of Mathematical Sciences, 2015-2017
Guest Professor.
ACADEMIC–ADMINISTRATIVE WORK
• Associate Editor, Stochastic Models, 1997–
• Founder of Master programme in Financial Mathematics, National Autonomous University of Mexico, 2003.
• Organiser of various workshops and sessions: 1998, 1999, 2003, 2010.
• Department Chair, 2009-2012.
EXTERNAL FUNDING
• Science foundation grants (Mexico) in 1997, 2007.
• Project with Mexico City police concerning crime prediction.
• Project with Mexican Supreme Court regarding capacity prediction.
• External funding, Danish research council, 2007–2008, No. 274-07-0090.
• Numerous Diploma courses.
TEACHING AND SUPERVISION
• Graduate courses in Applied Probability, Stochastic processes, time–series analysis, simulation, risk theory, finance, inference for stochastic processes, life–insurance.
• Undergraduatecoursesinnumericalanalysis,time–seriesanalysis,riskthe- ory and Applied Probability.
• Supervision of 13 Bachelor thesis. • Supervision of 8 Master thesis.
• Supervision of 5 PhD thesis.
SOFTWARE IMPLEMENTATIONS
The following R packages are based on our methods (third party implementa- tions).
https://cran.r-project.org/web/packages/ctmcd/ctmcd.pdf
(Routines for fitting discretely observed Markov jump processes based on Bladt & Sørensen (2005,2009))
https://cran.r-project.org/web/packages/sde/sde.pdf (Routine for simple diffusion bridge simulation. Related to M. Bladt & M. Sørensen (2013)).
https://cran.r-project.org/web/packages/PhaseType/PhaseType.pdf (Routine for fitting phase–type distributions via MCMC based on M. Bladt, A. Gonzalez & S. L. Lauritzen (2003)).
PhD, Anvendt Sandsynlighedsregning, Aalborg University
1 feb. 1991 → 20 jan. 1994
Dimissionsdato: 20 jan. 1994
Cand. Scient., Statistiker, Aarhus University
1 sep. 1985 → 29 jan. 1991
Dimissionsdato: 29 jan. 1991
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Review › Forskning › peer review
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
Publikation: Bidrag til tidsskrift › Letter › Forskning › peer review