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Mogens Bladt

PhD

 https://orcid.org/0000-0003-4795-2773

  • Universitetsparken 5, 2100 København Ø, 04 Matematik E, 04-1-16

20182019

Research activity per year

Personal profile

Primary fields of research

Applied Probability with special regards to applications in insurance mathematics, finance and operations research.

Current research

Time-inhomogeneous phase-type distributions; matrix oriented approach to life insurance modelling; heavy tailed distributions; Matrix Mittag-Leffler distributions; Multivariate phase-type distributions; diffusion bridge simulation.

Teaching

Applied Probability and insurance mathematics. Numerical Analysis.

Fields of interest

Same as research areas.

Knowledge of languages

Danish (mothertongue), English (fluent), Spanish (fluent), German (comprehension 100%, speaks 50%)

CV

EMPLOYMENT

National University of Mexico

Institute for Applied Mathematics and Systems, 1994-2018
Principal researcher.

University of Copenhagen

Department of Mathematical Sciences, 2018-
Professor of Applied Probability and Insurance Mathematics

VISITING POSITIONS

University of Copenhagen

Laboratory of Insurance Mathematics, 2001-2002 Guest Professor.

Technical University of Denmark (DTU)
Institute for Mathematical Modelling, 2007-2008

Guest Professor.

University of Copenhagen

Department of Mathematical Sciences, 2015-2017
Guest Professor.

 

ACADEMIC–ADMINISTRATIVE WORK

• Associate Editor, Stochastic Models, 1997–
• Founder of Master programme in Financial Mathematics, National Autonomous University of Mexico, 2003.

• Organiser of various workshops and sessions: 1998, 1999, 2003, 2010.

• Department Chair, 2009-2012.

EXTERNAL FUNDING

• Science foundation grants (Mexico) in 1997, 2007.
• Project with Mexico City police concerning crime prediction.
• Project with Mexican Supreme Court regarding capacity prediction.
• External funding, Danish research council, 2007–2008, No. 274-07-0090.

• Numerous Diploma courses.

TEACHING AND SUPERVISION

• Graduate courses in Applied Probability, Stochastic processes, time–series analysis, simulation, risk theory, finance, inference for stochastic processes, life–insurance.

• Undergraduatecoursesinnumericalanalysis,time–seriesanalysis,riskthe- ory and Applied Probability.

• Supervision of 13 Bachelor thesis. • Supervision of 8 Master thesis.
• Supervision of 5 PhD thesis.

SOFTWARE IMPLEMENTATIONS

The following R packages are based on our methods (third party implementa- tions).

  • https://cran.r-project.org/web/packages/ctmcd/ctmcd.pdf
    (Routines for fitting discretely observed Markov jump processes based on Bladt & Sørensen (2005,2009))

  • https://cran.r-project.org/web/packages/sde/sde.pdf (Routine for simple diffusion bridge simulation. Related to M. Bladt & M. Sørensen (2013)).

  • https://cran.r-project.org/web/packages/PhaseType/PhaseType.pdf (Routine for fitting phase–type distributions via MCMC based on M. Bladt, A. Gonzalez & S. L. Lauritzen (2003)).

Expertise related to UN Sustainable Development Goals

In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):

  • SDG 16 - Peace, Justice and Strong Institutions

Education/Academic qualification

Computational methods in Applied Probability, Aalborg University

1 Feb 1991 → 20 Jan 1994

Award Date: 20 Jan 1994

Department of Mathematical Sciences, University of Aarhus

1 Sept 1985 → 29 Jan 1991

Award Date: 29 Jan 1991

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