Department of Mathematics
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen
Denmark
phone: +45 3532 0794
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

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.

New Frontiers in Applied Probability. A Festschrift for Soeren Asmussen (JAP Special Volume 48A 2011) (jointly edited with P. Glynn and T. Rolski ). See here.

Workshops and conferences

PhD Course and Workshop on Extremes in Space and Time, Copenhagen, May 27-31, 2013, see here.

For past events, see 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.

Course Information: Introduction to Non-Life Insurance Mathematics (Skade2)

General information here

Reading here

Assignments here

Solutions here

Old Examinations 2008 2009