About
Jeffrey F. Collamore is a full Professor at the Department of Mathematical Sciences, University of Copenhagen, specializing in Insurance and Economics (work area: IE). His research focuses on advanced probability theory and its applications in insurance mathematics and quantitative risk management.
- University of Copenhagen (2002-present)
- ETH Zurich (2000-2002)
- EURANDOM (1999-2000)
- Lund University (1998-1999)
- University of Illinois (1996-1998)
Research Focus:
- Large deviations and rare event estimation
- Stochastic fixed point equations and random matrices
- Harris recurrent Markov chains
- Multidimensional ruin problems in insurance
- Stochastic simulation techniques
Education:
- Ph.D. and MA in Mathematics, University of Wisconsin, Madison (Advisor: Peter Ney)
- BS in Physics and Mathematics, University of California, San Diego
Research fields
Probability TheoryLarge DeviationsHarris Recurrent Markov ChainsIterated Random SystemsMultidimensional RecursionsRandom MatricesStochastic SimulationRare Event EstimationInsurance MathematicsQuantitative Risk ManagementFinancial Time Series ModellingConvexity TheoryBranching Markov ChainsMonte Carlo MethodsRisk Theory
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