Section of Applied Mathematics and Statistics

Research output

Research output per year 1985 2000 2001 2002 2003 2004 2005 2006 2007

• 171 Journal article
• 87 Working paper
• 33 Book chapter
• 13 Book
• 21 More
  • 9 Encyclopedia chapter
  • 4 Ph.D. thesis
  • 3 Literature review
  • 2 Report chapter
  • 1 Anthology
  • 1 Report
  • 1 Article in proceedings

Research output per year

Research output per year

Search results

• 2004

  Confidence sets for continuous-time rating transition probabilities

  Hansen, E., 2004, In: Journal of Banking & Finance. 28, p. 2575-2602

  Research output: Contribution to journal › Journal article › Research › peer-review

  51 Citations (Scopus)

• DEA and Dynamic Yardstick Competition in Scandinavian Electricity Distribution

  Agrell, P. J., Bogetoft, P. & Tind, J., 2004, In: Journal of Productivity Analysis. 23, 2, p. 173-201

  Research output: Contribution to journal › Journal article › Research › peer-review

• Diffusion Processes

  Sørensen, M., 2004, Encyclopedia of Actuarial Science. Wiley, Vol. 1. p. 523-527

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• Discussion of: Pesaran, M.H., Schuermann T., and Weiner S. M., Modeling regional interdependencies using a global error-correcting macroeconometric model

  Johansen, S., 2004, In: Journal of Business and Economic Statistics. 22, 2, p. 169-172

  Research output: Contribution to journal › Journal article › Research › peer-review

  1 Citation (Scopus)

• Estimation for Discretely observed Diffusions using Transform Functions

  Kelly, L., Platen, E. & Sørensen, M., 2004, In: Journal of Applied Probability. 41A, p. 99-118

  Research output: Contribution to journal › Journal article › Research › peer-review

  13 Citations (Scopus)

• Estimation of Proportional Covariance's in the Presence of Certain Linear Restrictions

  Jensen, S. T. & Madsen, J., 2004, In: Annals of Statistics. 32, 1, p. 219-232

  Research output: Contribution to journal › Journal article › Research › peer-review

  12 Citations (Scopus)

• Fair Distribution of Assets in Life Insurance

  Dahl, M. H., 2004, Afdeling for Anvendt Matematik og Statistik / København Universitet: H.C.Ø.-Tryk, p. 1-41.

  Research output: Working paper › Research

• Filtration

  Schmidli, H., 2004, Encyclopedia of actuarial science. Wiley, Vol. Vol 2 (E-N). p. 671-672

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• Functional Large Deviations for Multivariate Regularly Varying Random Walks

  Hult, H., Lindskog, F., Mikosch, T. V. & Samorodnitsky, G., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-25.

  Research output: Working paper › Research

• How to Model Multivariate Extremes if One Must?

  Mikosch, T. V., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

  Research output: Working paper › Research

• Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions

  Kessler, M. & Rahbek, A., 2004, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 7, 2, p. 137-151

  Research output: Contribution to journal › Journal article › Research › peer-review

• Inference for Observations of Integrated Diffusion Processes

  Ditlevsen, S. & Sørensen, M., 2004, In: Scandinavian Journal of Statistics. Vol. 31, p. 417-429

  Research output: Contribution to journal › Journal article › Research › peer-review

  40 Citations (Scopus)

• Integer Programming Duality in Multiple Objective Programming

  Dahl, M. H., 2004, In: Journal of Global Optimization. 29, 1, p. 1-18

  Research output: Contribution to journal › Journal article › Research › peer-review

  11 Citations (Scopus)

• Introduktion til Matematisk Statistik

  Hansen, E., 2004, Københavns Universitet: H.C.Ø.-Tryk. 544 p.

  Research output: Book/Report › Book › Education

• Kointegration og fælles stokastiske trende

  Johansen, S., 2004, In: mat Matilde. 19, p. 11-13

  Research output: Contribution to journal › Journal article › Research › peer-review

• Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations

  Konstantinides, D. G. & Mikosch, T. V., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.

  Research output: Working paper › Research

• Linear Models Based on Observations with Unknown Scaling

  Jensen, S. T. & Madsen, J., 2004, Afdeling for Anvendt Statistik og Matematik / Københavns Universitet, p. 1-11.

  Research output: Working paper › Research

• Markov Chains and Markov Processes

  Jacobsen, M., 2004, Encyclopedia of actuarial science. Wiley, Vol. Vol 2 (E-N). p. 1081-1094

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• Martingale estimating functions for discretely observed stochastic differential equation models

  Sørensen, M., 2004, International Minicourse-Workshop. Interplay between (C₀)-semigroups and PDEs theory and applications. Rom: Aracne editrice, p. 213-236

  Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

• Martingales

  Schmidli, H., 2004, Encyclopedia of actuarial science. Wiley, Vol. Vol 2 (E-N). p. 1096-1101

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• More on testing exact rational expectations in vector autoregressive models: Restricted constant and linear term

  Johansen, S. & Swensen, A. R., 2004, In: Econometrics Journal. 7, p. 389-397

  Research output: Contribution to journal › Journal article › Research › peer-review

• On Cramér-Lundberg Approximations for Ruin Probabilities under Optimal Excess of Loss Reinsurance

  Schmidli, H., 2004, Afdeling for Anvendt Matematik og Statistik: H.C.Ø.-Tryk, p. 1-10.

  Research output: Working paper › Research

• On Merton's Problem for Life Insurers

  Steffensen, M., 2004, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 34, 1, p. 5-25

  Research output: Contribution to journal › Journal article › Research › peer-review

  12 Citations (Scopus)

• On Optimal Investment and Subexponential Claims

  Schmidli, H., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-13.

  Research output: Working paper › Research

• On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance

  Schmidli, H. & Hald, M., 2004, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 34, 1, p. 75-83

  Research output: Contribution to journal › Journal article › Research › peer-review

  31 Citations (Scopus)

• On the rate of aeolian sand transport

  Sørensen, M., 2004, In: Geomorphology. 59, 1, p. 53-62

  Research output: Contribution to journal › Journal article › Research › peer-review

  90 Citations (Scopus)

• Ornstein-Uhlenbeck Process

  Sørensen, M., 2004, Encyclopedia of actuarial science. Vol 3 (O-Z) ed. Wiley, p. 1229-1230

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• Probabilistic modeling of bed-load composition

  McEwan, I., Sørensen, M., Heald, J., Tait, S., Cunningham, G., Goring, D. & Willetts, B., 2004, In: Journal of Hydraulic Engineering (New York). 130, 2, p. 129-139

  Research output: Contribution to journal › Journal article › Research › peer-review

  31 Citations (Scopus)

• Stochastic Mortality in Life Insurance: Market Reserves and Mortality-Linked Insurance Contracts

  Dahl, M. H., 2004, In: Insurance: Mathematics and Economics. 35, p. 113-136

  Research output: Contribution to journal › Journal article › Research › peer-review

  176 Citations (Scopus)

• Surplus-linked Life Insurance

  Steffensen, M., 2004, Afdeling for Anvendt Matematik og Statistik: <Forlag uden navn>, p. 1-20.

  Research output: Working paper › Research

• Surplus Process

  Schmidli, H., 2004, Encyclopedia of actuarial science. Wiley, Vol. Vol 3 (O-Z). p. 1645-1650

  Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

• The Distribution of Various Hitting Times for a Shot Noise Process with Two-Sided Jumps

  Jensen, A. T., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet, p. 1-10.

  Research output: Working paper › Research

• The Maximum of a Random Walk Reflected at a General Barrier

  Hansen, N. R., 2004, Afdeling for Anvendt Matematik og Statistik, p. 1-14.

  Research output: Working paper › Research

• Underrekruttering af kvinder på danske universiteter

  Henningsen, I., 2004, In: Kvinden og Samfundet. 120, 1, p. 20-21

  Research output: Contribution to journal › Journal article › Research › peer-review

• Utility Maximization and Risk Minimization in Life and pension Insurance

  Nielsen, P. H., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.

  Research output: Working paper › Research

• Vector equilibrium correction models with non-linear discontinuous adjustments

  Bec, F. & Rahbek, A., 2004, In: Econometrics Journal. 7, 2, p. 628-651

  Research output: Contribution to journal › Journal article › Research › peer-review

• Videnskab, debat og manglende videnskabelig debat

  Henningsen, I., 2004, In: mat Matilde. 19, p. 4-6

  Research output: Contribution to journal › Journal article › Research › peer-review
• 2003

  Asymptotic Normality for Non-Stationary, Explosive GARCH

  Jensen, S. T. & Rahbek, A., 2003, Københavns Universitet, p. 1-22.

  Research output: Working paper › Research

• Asymptotics of Ruin Probabilities for Controlled Risk Processes in the Small Claims Case

  Hipp, C. & Schmidli, H., 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-15.

  Research output: Working paper › Research

• Choice of Unconventional;Treatment by Patients with Cancer;

  Kimby, C. K., Launsø, L., Henningsen, I. & Langgaard, H., 2003, In: Journal of Alternative & Complementary Medicine. 9, 4, p. 549-561

  Research output: Contribution to journal › Journal article › Research › peer-review

  29 Citations (Scopus)

• En Introduktion til Sandsynlighedsregning.

  Sørensen, M., 2003, 4. ed. Københavns Universitet: Universitetsbogladen. 287 p.

  Research output: Book/Report › Book › Education

• Geometric ergodicity of discrete time approximations to multivariate diffusions

  Hansen, N. R., 2003, In: Bernoulli. 9, 4, p. 725-743

  Research output: Contribution to journal › Journal article › Research › peer-review

  14 Citations (Scopus)

• Hyperbolic Processes in Finance

  Bibby, B. M. & Sørensen, M., 2003, Handbook of Heavy Tailed Distributions in Finance. Elsevier, p. 211-248

  Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

• Improved Convergence Rate for the Simulation of Stochastic Differential Equations Driven by Subordinated Levy Processes

  Rubenthaler, S. & Wiktorsson, M., 2003, Københavns Universitet, p. 1-28.

  Research output: Working paper › Research

  3 Citations (Scopus)

• Indifference pricing of insurance contracts in a product space model

  Møller, T., 2003, In: Finance and Stochastics. 7, p. 197-217

  Research output: Contribution to journal › Journal article › Research › peer-review

  11 Citations (Scopus)

• Indifference pricing of insurance contracts in a product space model: Applications

  Møller, T., 2003, In: Insurance: Mathematics and Economics. 32, p. 295-315

  Research output: Contribution to journal › Journal article › Research › peer-review

  11 Citations (Scopus)

• Inference and Ergodicity in the Autoregressive Conditional Root Model

  Rahbek, A. & Shephard, N., 2003, Københavns Universitet, p. 1-30.

  Research output: Working paper › Research

• Likelihood analysis of the I(2) model

  Johansen, S., 2003, Recent Developments in Time Series, Vol I. Newbold, P. & Leyborne, S. (eds.). Edward Elgar Publishing, p. 243-272

  Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, nr. 11 ed., Københavns Universitet, p. 1-25.

  Research output: Working paper › Research

• Likelihood Ratio Testing for Cointegration Ranks in I(2) Models

  Nielsen, H. B. & Rahbek, A., 2003, Københavns Universitet, p. 1-22.

  Research output: Working paper › Research