Department of Statistics & Actuarial Science

Research Areas

Major Research Areas

Time series analysis: linear and nonlinear time series, time series with conditional heteroscedasticity; financial time series; cointegration and unit root testing; chaos in a random environment; data mining; financial econometrics and statistics; social statistics; multivariate analysis; robust methods; outliers and influential observations; distribution theory; asymptotic techniques; resampling methods; bootstrap methods; Monte Carlo methods; parametric, semiparametric and non-parametric modeling; goodness-of-fit test and model checking; confidence sets; sampling techniques; survival analysis with applications to clinical trials, biomedical studies; statistical genetics; DNA fingerprinting; forensic statistics; ranking methods; Bayesian analysis; inverse Bayes methodology; linear models, generalized linear models and generalized linear mixed models; stochastic processes.

Actuarial science:
Actuarial applications of financial economic theory; actuarial mathematics; analysis of correlated aggregate claims in insurance business; asset allocation; analysis of heavy-tailed claims; credibility theory; credit risk; graduation methods for mortality data; insurance risk models; stochastic interest rate models; option pricing theory; retirement income arrangement; risk management; risk measure; risk theory; stochastic investment models; ruin probability; ruin theory; value at risk; valuation and risk management of equity-linked insurance products; comonotonicity, stochastic order and applications in insurance and finance.