Karl Kristian Engelund, PhD student
Karl Kristian Engelund will start on 1 September 2023 as a PhD student in the department’s section for Insurance and Economics.
Karl has a Bachelor's degree in mathematics and a master's degree in actuarial mathematics, both from this department. During his studies, Karl has become deeply interested in stochastic calculus, specifically in the connections between PDEs and probability theory.
His Master's thesis was on optimal strategies for predicting the peak of a Brownian motion on a finite horizon. Jesper Lund Pedersen supervised him during the thesis and will continue as the principal supervisor in the PhD project.
During his PhD, Karl will continue to work on optimal prediction problems in a Bayesian setting. Specifically, the focus will be on non-linear and asymmetric loss functions. Other optimal stopping problems such as quickest detection and option pricing will also be studied.
You can meet Karl in office 04.4.05