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

• 2002

  Køn og Magt i Akademia

  Hasse, C., Henningsen, I. & Søndergaard, D. M., 2002, Kønsmagt under forandring. København: Hans Reitzels Forlag, p. 110-129

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

• Local linear estimate equations: Uniform consistency and rate convergence

  Nielsen, S. F., 2002, Københavns Universitet, p. 1-20.

  Research output: Working paper › Research

• Martingales and the Distribution of the Time to Ruin

  Jacobsen, M., 2002, København, p. 1-24.

  Research output: Working paper › Research

  1333 Citations (Scopus)

• Massemord eller moderne plejehjemsdrift

  Hansen, E., 2002, Matematik i Perspektiv. p. 8

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

• Modeling dependence and tails of financial time series

  Mikosch, T. V., 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-75.

  Research output: Working paper › Research

• Multi-self-similar Markov processes on Rⁿ₊ and their Lamperti representations

  Jacobsen, M. & Yor, M., 2002, København, p. 1-28.

  Research output: Working paper › Research

  1333 Citations (Scopus)

• Non-stationary and no moments asymptotics for the ARCH model

  Jensen, S. T. & Rahbek, A., 2002, København, p. 1-6.

  Research output: Working paper › Research

• Numerical Solution of Boundary Value Problems in Computational Finance

  Hugger, J., 2002, Programming Languages and Systems in Computational Economics. Kluwer Law International, p. 403-409

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

• On Merton's problem for life insurers

  Steffensen, M., 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

  Research output: Working paper › Research

• On minimizing the ruin probability by investment and reinsurance

  Schmidli, H., 2002, In: Annals of Applied Probability. 12, 3, p. 890-907

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

  215 Citations (Scopus)

• On nonlinear integral equations arising in problems of optimal stopping

  Pedersen, J. L. & Peskir, G., 2002, Functional Analysis VII. Aarhus, Vol. 46. p. 159-175

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

• On valuation and risk management at the interface of insurance and finance

  Møller, T., 2002, In: British Actuarial Journal. 8, p. 787-828

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

• On valuation and risk management at the interface of insurance and finance

  Møller, T., 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-31.

  Research output: Working paper › Research

• Optimality and small ¿-optimality of martingale estimating functions

  Jacobsen, M., 2002, In: Bernoulli. 8, 5, p. 643-668

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

  10 Citations (Scopus)

• Option Pricing With Excel

  Honore, P. & Poulsen, R., 2002, Programming languages and systems in computational economics and Finance. Boston: Kluwer Law International, Vol. 18. p. 369-402

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

  • finance 100%

• Poisson limits for U-statistics

  Dabrowski, A. R., Dehling, H. G., Mikosch, T. V. & Sharipov, O., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 137-157

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

  9 Citations (Scopus)

• Regular variation of GARCH processes

  Basrak, B., Davis, R. A. & Mikosch, T. V., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 95-115

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

  196 Citations (Scopus)

• Sandsynlighedsregning på målteoretisk grundlag.

  Hansen, E., 2002, 2. ed. København: Afdeling for Teoretisk Statistik, K.U.,. 501 p.

  Research output: Book/Report › Book › Education

• Stability bounds for ruin probabilities in a Markov modulated risk model with investments

  Rusaityte, D., 2002, Københavns Universitet: <Forlag uden navn>, p. 1-35.

  Research output: Working paper › Research

• Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

  Johansen, S., 2002, Københavns Universitet, p. 1-27.

  Research output: Working paper › Research

• Statistical analysis with missing data

  Nielsen, S. F., 2002, In: Statistics in Medicine. 23, p. 1181-1182

  Research output: Contribution to journal › Literature review › Research

• Survival analysis with coarsely observed covariates

  Nielsen, S. F., 2002, København, p. 1-29.

  Research output: Working paper › Research

• Tail probabilities of subadditive functionals of Lévy processes

  Braverman, M., Mikosch, T. V. & Samorodnitsky, G., 2002, In: Annals of Applied Probability. 12, 1, p. 69-100

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

  13 Citations (Scopus)

• Testing undeclared central bank intervention in foreign exchange markets

  Cavaliere, G., 2002, København, p. 1-28.

  Research output: Working paper › Research

• The interpretation of cointegrating coefficients in the cointegrated vector autoregressive model

  Johansen, S., 2002, Københavns Universitet, p. 1-11.

  Research output: Working paper › Research

• The Leaking Pipeline: Øjebliksbilleder af kønnede in- og eksklusionsprocesser i Akademia

  Henningsen, I. & Højgaard, L., 2002, In: Dansk Sociologi. 13, 2, p. 25-49

  Research output: Contribution to journal › Journal article › Research

• The Limit distribution of Cointegration Rank Tests of "Wald Type"

  Rahbek, A., 2002, In: Econometric Theory. 18, p. 1016-1017

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

• The minimum maximum of a continuous martingale with given initial and terminal laws

  Hobson, D. G. & Pedersen, J. L., 2002, In: Annals of Probability. 30, 2, p. 978-999

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

  23 Citations (Scopus)

• Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques

  Jensen, B. & Poulsen, R., 2002, In: Journal of Derivatives. 9, 4, p. 18-32

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

  68 Citations (Scopus)

• Vector Equilibrium Correction Models with Non-linear Discontinuous Adjustments

  Bec, F. & Rahbek, A., 2002, Københavns Universitet, p. 1-21.

  Research output: Working paper › Research

• Whittle estimation in a heavy-tailed GARCH(1,1) model

  Mikosch, T. V. & Straumann, D. Y., 2002, In: Stochastic Processes and Their Applications. 100, 1-2, p. 187-222

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

  23 Citations (Scopus)

• Women in Scince - the Danish case

  Henningsen, I., 2002, Proceedings from The Gender and Research Conference. Bruxelles: EU Kommissionen, p. 283-287

  Research output: Chapter in Book/Report/Conference proceeding › Report chapter › Communication
• 2001

  A Dual Approach to Nonconvex Frontier Models

  Tind, J. & Agrell, P. J., 2001, In: Journal of Productivity Analysis. 16, p. 129-147

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

  46 Citations (Scopus)

• Asymptotic Likelihood Based Inference for Cointegrated Homogenous Gaussian Diffusions

  Kessler, M. & Rahbek, A., 2001, In: Scandinavian Journal of Statistics. 28, p. 455-470

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

  10 Citations (Scopus)

• A Theory for Local, A Posteriori, Pointwise, Residual Based Estimation of the Finite Element Error

  Hugger, J., 2001, In: Journal of Computational and Applied Mathematics. 135, p. 241-292

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

  1 Citation (Scopus)

• Cointegration in the VAR model

  Johansen, S., Pena, D. (ed.), Tiao, G. C. (ed.) & Tsay, R. S. (ed.), 2001, A Course in Time Series Analysis. New York: Wiley

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

• Correlation and dependency in risk management:properties and pitfalls

  Straumann, D. Y., 2001, Risk management: value at risk and beyond. Cambridge University Press, p. ?

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

• Decomposition principle of linear programming

  Tind, J., 2001, Encyclopedia of Optimization I. Kluwer Law International, p. 390-392

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

• Discretely Observed Diffusions; Classes of Estimating Functions and Small *GD-optimality

  Jacobsen, M., 2001, In: Scandinavian Journal of Statistics. 28, p. 123-149

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

  21 Citations (Scopus)

• Discretely Observed Diffusions: Approximation of the Continuous-time Score Function

  Sørensen, H., 2001, In: Scandinavian Journal of Statistics. 28, p. 113-121

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

  14 Citations (Scopus)

• Distribution of the first ladder height of a stationary risk process perturbed by -stable Lévy motion

  Schmidli, H., 2001, In: Insurance: Mathematics and Economics. 28, p. 13-20

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

  14 Citations (Scopus)

• Dobbeltblik

  Henningsen, I. (ed.) & Niss, M. (ed.), 2001, København: Fremad.

  Research output: Book/Report › Book › Research

• Dynamic productivity improvement in a model with multiple processes

  Brock, M. A. & Tind, J., 2001, In: Mathematical Methods of Operations Research. 54, p. 387-393

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

  1 Citation (Scopus)

• Hedging equity-linked life insurance contracts

  Møller, T., 2001, In: North American Actuarial Journal. 5, 2, p. 79-95

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

  39 Citations (Scopus)

• Lévy Processes - Theory and Applications

  Mikosch, T., 2001, Lévy Processes - Theory and Applications. Boston: Birkhäuser Verlag, p. ?

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

• Local, A Posteriori, Pointwise, Residual Based Estimation of the Finite Element Error for the Poisson problem with smooth data

  Hugger, J., 2001, Proceedings of the 2nd European Conference on Computational Mechanics, June 26-29, 2001 Cracow, Poland. Cracow, Poland: Vasalius Publisher, p. 1-26

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

• Minimum norm estimation of variance components for life insurance data

  Norberg, R. & Kleffe, J., 2001, In: Communications in Statistics: Theory and Methods. 30, 8/9, p. 1591-1604

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

  1 Citation (Scopus)

• Monte Carlo Improvement of Estimates of the Mean Reverting Constant Elasticity of Variance Interest Rate Diffusion

  Poulsen, R. & Christensen, B. J., 2001, In: Monte Carlo Methods and Applications. 7, 1-2, p. 111-123

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

• Nonparametric conditional mean imputation

  Nielsen, S. F., 2001, In: Journal of Statistical Planning and Inference. 99, 2, p. 129-150

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

  9 Citations (Scopus)

• On bonus and bonus prognoses in life insurance

  Norberg, R., 2001, In: Scandinavian Actuarial Journal. 2, p. 126-147

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

  22 Citations (Scopus)