Seminar for probability, statistics and financial mathematics

The seminar gathers the researchers active in the fields of probability, statistics and financial mathematics and is led by Prof. Tomaž Košir and Assoc. Prof. Janez Bernik. The main areas of research of its members are:

  • Probability: general theory of stochastic processes, Lévy processes, first passage/exit problems for Markov processes, functionals of Brownian motion, CLT generalizations for sums of dependent random variables and vectors, large deviation probabilities and growth models.
  • Statistics: theoretical questions in the theory of copulas and quasi-copulas, shock models and other copula models, censored data statistics.
  • Financial mathematics: insurance risk processes, stochastic optimization, actuarial mathematics.

Members of the seminar also engage in projects with the financial industry, often with student participation.

Members of the seminar: