Thomas Mikosch
Department of Mathematics
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen
Denmark
phone: +45 3532 0793
fax: +45 3532 0704
e-mail: mikosch@math.ku.dk
Professional biography
Dr. Mikosch is a Professor at the Department. He got
his Master degree in Mathematics at TU Dresden (1981), defended his PhD
in Probability Theory at St. Petersburg University (1984), his Habilitation
at TU Dresden (1990). Before he joined the Department on January 1, 2001,
he worked at TU Dresden, ETH Zürich, ISOR Wellington, RUG
Groningen.
Research
interests
Applied probability
Asymptotic theory
Time series analysis
Insurance and financial mathematics
Stochastic processes
Extreme value theory
Books
Modelling Extremal Events for Insurance and
Finance
(jointly written with P. Embrechts
and C.
Klüppelberg,
Springer Verlag 1997). See
www.amazon.com.
and www.springer-ny.com.
Here
are some pages with corrected typos. In the eigth printing (2009)
these
typos will be corrected.
Elementary Stochastic Calculus with Finance
in View (World Scientific Singapore 1998). See
www.amazon.com.
or
www.worldscientific.com.
Levy Processes - Theory and Applications
(jointly edited with O.E. Barndorff-Nielsen
and
S.I.
Resnick
). See
here.
Empirical Process Techniques
for Dependent Data
(jointly edited with M. Sorensen
and
H.G. Dehling
). See
here.
Non-Life Insurance Mathematics.
An Introduction with Stochastic Processes
(Springer Verlag 2004) See
here.
Here
are some pages with corrected typos. In the second printing (2006)
these
typos were corrected.
The Handbook of Financial Time Series
(jointly edited with T.G. Andersen,
R.A. Davis and
J.-P. Kreiss
). See
here.
Non-Life Insurance Mathematics.
An Introduction with the Poisson Process Second
Edition 2009.
See
here.
Workshops and conferences
For past events see
here.
New Frontiers in Applied Probability - A
Conference in Honour of Soeren Asmussen
at Sandbjerg Estate, Denmark, April 1-5, 2011.
For more information see (website in preparation)
here
Selected publications
-
Davis, R.A. and Mikosch, T. Limit theory for the sample ACF of stationary
process with heavy tails with applications to ARCH.
Ann. Statist.26
(1998), 2049-2080.
-
Davis, R.A. and Mikosch, T. The maximum of the periodogram of a non-Gaussian
sequence.
Ann. Probab. 27 (1999), 522-536.
-
Mikosch, T. and Samorodnitsky, G. The supremum of a negative drift random
walk with dependent heavy-tailed
steps. Ann. Appl. Probab. 10
(2000), 1025-1064.
-
Mikosch, T. Resnick, S.I. and Samorodnitsky, G. The maximum of the periodogram
for a heavy-tailed sequence.
Ann. Probab. 28 (2000), 885-908
-
Mikosch, T. and Starica, C. Limit theory for the sample autocorrelations
and extremes of a GARCH(1,1) process.
Ann. Statist. 28 (2000), 1427-1451.
-
Mikosch, T. and Samorodnitsky, G., Ruin probabilities for a random walk
with stable stationary ergodic increments.
Ann. Probab. 28 (2000), 1814-1851.
-
Mikosch, T., Resnick, S.I., Rootzén, H. and Stegeman, A.
Is network traffic approximated by stable Lévy motion or fractional
Brownian motion?
Ann. Appl. Probab. 12 (2002), 23-68.
-
Braverman, M., Mikosch, T. and Samorodnitsky, G.
Tail probabilities of subadditive functionals acting on Levy
processes.
Ann. Appl. Probab. 12 (2002), 69-100.
-
Mikosch, T.
Modeling dependence and tails of financial time series. In:
Finkenstaedt, B. and Rootzen, H. (2003) Extreme Values in Finance,
Telecommunications, and the Environment. Chapman and Hall, pp. 185-286.
-
Hult, H., Lindskog, F., Mikosch, T. and Samorodnitsky, G.
Functional large deviations for multivariate regularly varying random
walks.
Ann. Appl. Probab. 15 (2005), 2651-2680.
-
Jacobsen, M., Mikosch, T., Rosinski, J. and Samorodnitsky, G.
Inverse problems for regular variation of linear filters, a
cancellation property for sigma-finite measures, and
identification of stable laws. Ann. Appl. Probab. 19
(2009), 210--242.
For some
recent preprints see
here.
Course
Information: Topics in Non-Life Insurance Mathematics (Skade2)
General information
here
Reading
here
Problems for the Oral Exam 2009
here
Mid term test
here