University of Copenhagen
Department of Mathematical Sciences
Research Group: Mathematical and Statistical Methods in Insurance and Economics

$Jeffrey Collamore$

Jeffrey F. Collamore

Associate Professor

Address:
Department of Mathematical Sciences
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen Ø, Denmark

E-mail:  collamore-at-math.ku.dk
Phone:  +45 3532 0782
Secretariat:  +45 3532 0790
Fax: +45 3532 0704

Professional Biography

Currently an Associate Professor at the Department (2002-present).
Prior positions:
Department of Mathematics (RiskLab), ETH Zürich, Switzerland, 2000-2;
Financial Stochastics Group, EURANDOM, The Netherlands, 1999-2000;
Department of Mathematical Statistics, Lund University, Sweden, 1998-9;
Department of Statistics, University of Illinois, Urbana-Champaign, U.S.A., 1996-8.

M.A., Ph.D., Mathematics, University of Wisconsin, Madison.
B.S., Physics, Mathematics, University of California, San Diego.

Societies: Institute of Mathematical Statistics; INFORMS; Danish Actuarial Society.

Links: [U.COPENHAGEN | ETH | RISKLAB | EURANDOM | LUNDU. | U.ILLINOIS | U.WISCONSIN | UCSD]

Research Interests

Pure and Applied Probability:

Large deviations.
Markov chain theory for Harris recurrent chains.
Stochastic simulation techniques for rare events.
Statistical applications of large deviation theory.
Related aspects of queuing theory and convexity theory.

Insurance and Finance:

Risk theory: multidimensional risk processes; ruin in a stochastic economic environment; financial risk measures.
Quantitative risk management; particularly insurance-based methods for risk estimation.
Mathematical aspects of financial time series modelling.

Selected Publications:

OLLAMORE

Ann. Appl. Probab.

[ONLINE VERSION | PDF FILE]

OLLAMORE

AND

ÖING

Finance Stoch.

[ONLINE VERSION]

OLLAMORE

Ann. Appl. Probab.

[ONLINE VERSION | JSTOR | ORIGINAL PDF FILE]

SMUSSEN

AND

OLLAMORE

Markov Process. Related Fields

[PDF FILE]

OLLAMORE

Stochastic Process. Appl.

[ONLINE VERSION | ORIGINAL PDF FILE]

OLLAMORE

Ann. Probab.

[ONLINE VERSION | JSTOR | ORIGINAL PDF FILE]

Conferences, 2007-present:

6th International Conference on Extreme Value Analysis. Fort Collins, U.S.A., June 2009. [LINK]
Meeting of the Danish Statistical Society. Aarhus, Denmark, November 2008. [LINK]
2nd International Workshop on Gerber-Shiu Functions. Linz, Austria, August 2008. [LINK]
7th IMS/Bernoulli World Congress in Probability and Statistics. Singapore, July 2008. [LINK]
ISBIS International Symposium on Business and Industrial Statistics. Prague, Czech Republic, July 2008. [LINK]
Workshop on The Mathematics and Statistics of Risk Management. Oberwolfach, Germany, March 2008. [LINK]
8th German Open Conference on Probability and Statistics. Aachen, Germany, March 2008. [LINK]
5th International Conference on Lévy Processes: Theory and Applications. Copenhagen, Denmark, August 2007. [LINK]
5th International Conference on Extreme Value Analysis. Bern, Switzerland, July 2007.
14th Applied Probability Society/INFORMS Conference. Eindhoven, The Netherlands, July 2007. [LINK]

Teaching

Courses, 2009-10:

SkadeStok (topics: utility theory, ruin theory); Block 1. [COURSE DESCRIPTION | COURSE HOME PAGE]
Ruin Theory (topic: risk management); Block 2. [COURSE DESCRIPTION | COURSE HOME PAGE]
Topics in Large Deviations and Finance ("optional course"); Block 3. (An introductory course in large deviations, and a survey of some of its applications to finance. Lecture notes + survey articles.)

Previous courses at Univ. Copenhagen:

Monte Carlo Methods in Insurance and Finance (Master's "optional course"); 2004-5, 2006-7, 2008-9. [COURSE HOME PAGE]
Mathematical and Statistical Methods for Risk Management (Master's "optional course"); 2007-8.
Introduction to Large Deviations (Master's "optional course"); 2002-3, 2003-4, 2005-6.
SkadeStok: Stochastic Processes in Non-life Insurance (Master's); annually since 2005-6.
Ruin Theory (Master's); annually since 2005-6.
FM2B: Non-life Insurance Mathematics (Master's); 2004-5.
FM1A: Life Insurance Mathematics (Master's); 2003-4.
Projektkursus (first-year project course, mathematics department); 2003-4.

Internships, etc.: There are no summer internships in financial and insurance mathematics at Univ. Copenhagen, while Ph.D. applications should generally be sent directly to the department. (See the department web site for instructions on how to apply.)

Miscellaneous links: [LINKEDIN PROFILE | MATH GENEALOGY | COPENHAGEN CITY INFO.]

Quotations:
"With four parameters I can fit an elephant, and with five I can make him wiggle his trunk." -J. von Neumann
"Imagination is more important than knowledge." -A. Einstein
"Pauca sed matura." -C.F. Gauss (His motto: "Few, but ripe," as "jewels are not weighed on a grocery scale.")
"I have hardly ever known a mathematician who was capable of reasoning." -Plato