Curriculum Vitae
Filip Lindskog
Born on October 20, 1975 in Stockholm, Sweden.
| Address: |
Department of Mathematics
Royal Institute of Technology
SE - 100 44 Stockholm
Sweden
| tel. |
+46 8 790 72 17 |
| email: |
lindskog@math.kth.se |
| |
www.math.kth.se/~lindskog |
| |
| 1. Education |
| |
| ETH Zürich |
Dr. Sc. Math. |
2004 |
| KTH Stockholm |
MSc in Engineering Physics |
2000 |
| |
| 2. Employment |
| |
| KTH Stockholm |
Postdoctoral fellow |
October 2004 |
| ETH Zürich |
Postdoctoral fellow |
January 2004 |
| ETH Zürich |
PhD student |
January 2001 |
| ETH Zürich |
Researcher at
RiskLab |
February 2000 |
| |
3. Research interests
Applied probability, asymptotic theory, stochastic processes,
multivariate extreme value theory, dependence modeling, risk
management, insurance mathematics, mathematical finance.
4. Prizes
5. Professional activities
5.1. Consulting for private industry
Audit report on the Swiss Re risk management methods
(with Prof. Paul Embrechts, Prof. Alexander McNeil and Enrico De Giorgi), 2002.
5.2. Referee work
ASTIN Bulletin,
Bernoulli,
Communications in Statistics,
Extremes,
Journal of Financial Econometrics,
Journal of Multivariate Analysis,
Journal of the Royal Statistical Society,
North American Actuarial Journal,
REVSTAT Statistical Journal,
Risk Magazine,
Scandinavian Actuarial Journal,
Statistics and Probability Letters,
Stochastic Processes and their Applications.
6. Talks
- Heavy-tailed insurance portfolios: ruin probabilities and buffer capital,
Oberseminar Finanz- und Versicherungsmathematik, LMU and TU München,
Germany, February, 2, 2006.
- Heavy-tailed insurance portfolios: ruin probabilities and buffer capital,
Stockhom University, Sweden, October, 19, 2005.
- On Kesten's counterexample to the Cramér-Wold device for regular
variation,
Linköping University, Sweden, October, 5, 2005.
- On Kesten's counterexample to the Cramér-Wold device for regular
variation,
Lund University, Sweden, September, 16, 2005.
- On Kesten's counterexample to the Cramér-Wold device for regular
variation,
4th Conference on Extreme Value Analysis:
Probabilistic and Statistical Models and their Applications,
Gothenburg, Sweden, August 17, 2005.
- Linjärkombinationer, konstiga heltal och reguljär variation,
StoUpp, Uppsala University, Sweden, June 1, 2005.
- Regular variation and extreme events for stochastic processes,
Chalmers University of Technology, Sweden, May 12, 2005.
- Regular variation and extreme events for stochastic processes,
Sigtuna, Sweden, April 29, 2005.
- Large deviations and ruin probabilities for multivariate
heavy-tailed risk processes,
Scientific Conference on Insurance and Finance,
Berlin, April 27, 2005.
- Portfolio credit risk models,
Finanskontakt, KTH Stockholm, April 20, 2005.
- Regular variation and extreme events for stochastic processes,
University of Lisbon, Portugal, January 13, 2005.
- The grouped t-copula with an application to credit risk and
related topics.
Workshop: Quantitative Risk Management for Banking and Insurance,
Collegium Budapest, Hungary, September 16-18, 2004.
- Extremal behavior of regularly varying stochastic processes,
conference: 3rd International Symposium on Extreme Value Analysis,
University of Aveiro, Portugal, July 23, 2004.
- Regular variation for random vectors and stochastic processes and
related topics,
conference: Power laws in probability and statistics,
CIRM, Luminy, France, March 25, 2004.
- On regular variation for stochastic processes,
Seminar on Financial and Actuarial Mathematics,
Vienna University of Technology (TU Wien), Austria, December 4, 2003.
- On regular variation for stochastic processes,
Seminar on Stochastic Processes, ETH Zürich, October 29, 2003.
- On regular variation for stochastic processes,
Risk Day 2003, Zürich, October 17, 2003.
- Multivariate Regular Variation for Additive Processes,
Mathematisches Forschungsinstitut Oberwolfach, Meeting on Stochastic
Analysis in Finance and Insurance, Germany, March 2-8, 2003.
- Multivariate Regular Variation for Additive Processes,
EURANDOM workshop Dependence in Extreme Value Theory, Eindhoven,
The Netherlands, January 23-25, 2003.
- Multivariate Regular Variation for Additive Processes,
Forschungsseminar Finanz- und Versicherungsmathematik, LMU and TU
München, Germany, November 14, 2002.
- Multivariate Extremes, Aggregation and Dependence in Elliptical
Distributions,
Frankfurter MathFinance-Kolloquium, Goethe Universität, Germany,
November 29, 2001.
- Multivariate Extremes, Aggregation and Dependence in Elliptical
Distributions,
Risk Day 2001, ETH Zürich, October 19, 2001.
- Multivariate Extremes and Dependence in Elliptical Distributions,
Center of Advanced European Studies and Research, Bonn, Germany,
July 19, 2001.
- Multivariate Extremes and Dependence in Elliptical Distributions,
RiskLab Workshop, ETH Zürich, June 7, 2001.
- Applying Copula Ideas to Market and Credit Stress Testing,
Workshop on Advanced Stress Testing, New York, February 12, 2001.
- Applying Copula Ideas to Market and Credit Stress Testing,
Workshop on Advanced Stress Testing, London, February 5, 2001.
- Modelling Dependent Credit Risks, Maths Week 2000, London,
November 30, 2000.
- Modelling Dependent Credit Risks, Maths Week 2000, New York,
November 16, 2000.
- Common Poissin Shock Models: Applications to Insurance and
Credit Risk Modelling, Risk Day 2000, Zürich, October 20, 2000.
- Modelling Dependence with Copulas and Applications to Risk
Management, Workshop, Stochastic Approaches in Finance, Insurance and
Physics, TU München, September 27-29, 2000.
- Modelling Dependence with Copulas and Applications to Risk
Management, RiskLab Workshop, ETH Zürich, May 4, 2000.
- Modelling Dependence with Copulas and Applications to Risk
Management, Swiss Re, Zürich, April 28, 2000.
- Modelling Dependence with Copulas and Applications to Risk
Management, ETH Zürich, March 17, 2000.
7. Courses taught
- Risk Management
- Seminar on Non-Life Insurance Mathematics
- Extreme Value Theory
8. Publications
- 2005. Hult, H, Lindskog, F.:
Extremal behavior of stochastic integrals driven by regularly varying
Lévy processes
Accepted for publication in The Annals of Probability.
- 2006. Hult, H, Lindskog, F.:
On regular variation for infinitely divisible random vectors and additive processes
Advances in Applied Probability 38(1), 134-148.
- 2006. Hult, H, Lindskog, F.:
On Kesten's counterexample to the Cramér-Wold device for regular variation
Bernoulli, 12(1), 133-142.
- 2005. Hult, H, Lindskog, F, Mikosch, T, Samorodnitsky, G.:
Functional large deviations for multivariate regularly varying random walks
The Annals of Applied Probability 15(4), 2651-2680.
- 2005. Hult, H, Lindskog, F.:
Extremal behavior of regularly varying stochastic processes
Stochastic Processes and their Applications 115(2), 249-274.
- 2004. Lindskog, F.:
Multivariate extremes and regular variation for stochastic processes
PhD thesis. Department of Mathematics,
Swiss Federal Institute of Technology,
Zürich.
Diss. ETH no. 15319
Supervisor: Paul Embrechts.
- 2003. Daul, S, De Giorgi, E, Lindskog, F, McNeil, A.:
Using the grouped t-copula
RISK Magazine 16(11), 73-76.
- 2003. Lindskog, F, McNeil, A.:
Common Poisson shock models: applications to insurance and credit risk modelling
ASTIN Bulletin 33(2), 209-238.
- 2003. Lindskog, F, McNeil, A, Schmock, U.:
A note on Kendall's tau for elliptical distributions
In: Credit Risk. Measurement, Evaluation and Management
Eds: G. Bol, G. Nakhaeizadeh, S. Rachev, T. Ridder, K.-H. Vollmer,
Physica-Verlag, A Springer-Verlag Company, Heidelberg, 149-156.
- 2003. Embrechts, P, Lindskog, F, McNeil, A.:
Modelling dependence with copulas and applications to Risk Management
In: Handbook of Heavy Tailed Distributions in Finance
Ed: S. Rachev, Elsevier, Chapter 8, 329-384.
- 2002. Hult, H, Lindskog, F.:
Multivariate extremes, aggregation and dependence in elliptical distributions
Advances in Applied Probability 34(3), 587-608.
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