Scientific activity

Papers:

  • Fair valuation of Lévy drawdown-drawup contracts with general insured and penalty functions submitted (with Z.Palmowski)
  • Pricing insurance drawdown-type contracts with uderlying Lévy assets submitted (with Z.Palmowski)
  • Insurance drawdown-type contracts for a phase-type risk process perturbed by Brownian motion (with Z.Palmowski) Silesian Statistical Review, 15(21), p. 201-225, 2017

Grants:

  • Exit problems for reflected Lévy processes and its applications, National Science Centre, 2017-2019
  • Exit problems and extremes of stochastic processes in view towards stochastic modelling, National Science Centre 2015/17/B/ST1/01102, 2016-2019 - scholarship

Conferences and scientific events:

  • The Fractional Laplacian: probabilistic structure and extension to Lévy Processes, BCAM, Bilbao (Spain), 26-30.06.2017
  • Research visit, LSE, London (Great Britain), 03-10.12.2016
  • XI Ogólnopolska Konferencja Aktuarialna, Wrocław (Poland), 19-21.09.2016
  • Stochastic Models V, Będlewo (Poland), 11-17.09.2016
  • Conference on Lévy Processes, Angers (France), 25-29.07.2016
  • XIV Konferencja z Probabilistyki, Będlewo (Poland), 30.05-03.06.2016
  • Research visit, LSE, London (Great Britain), 07-12.12.2015
  • Workshop on Stochastic Analysis and Related Topics, Dresden (Germany), 05-06.11.2015
  • Zurich Spring School on Lévy Processes, Zurich (Switzerland), 29.03-02.04.2015
  • EMS School of Stochastic Analysis, Będlewo (Poland), 6-10.10.2014

Talks and posters:

  • XI Ogólnopolska Konferencja Aktuarialna, Wrocław (Poland), 19.09.2016, talk Spadki i wzrosty fazowych procesów Lévy’ego w wycenie kontraktów ubezpieczeniowych
  • Stochastic Models V, Będlewo (Poland), 12.09.2016, talk Drawdown and drawup exit problems for a spectrally negative Lévy process with applications in pricing insurance contracts
  • XIV Konferencja z Probabilistyki, Będlewo (Poland), 03.06.2016, talk Problemy wyjścia dla spadków i wzrostów procesów Lévy’ego w wycenie kontraktów ubezpieczeniowych
  • LSE Postgraduate Research Seminars, London (Great Britain), 09.12.2015, talk Insurance contracts based on drawdown and drawup events of spectrally negative Lévy processes
  • Workshop on Stochastic Analysis and Related Topics, Dresden (Germany), 05.11.2015, talk Insurance contracts based on drawdown and drawup events of spectrally negative Lévy processes