Jeffrey F. Collamore Professor Address: Department of Mathematical Sciences University of Copenhagen Universitetsparken 5 DK-2100 Copenhagen Ø, Denmark E-mail:  collamore-at-math.ku.dk Phone:  +45 3532 0782 Fax: +45 3532 9555

Professional Biography

Research Interests

• Large deviations.
• Random recursive structures; recursions driven by random matrices.
• Markov chain theory for Harris recurrent chains.
• Stochastic simulation techniques for rare events.
• Related aspects of convexity theory, networks, branching random walk and branching Markov chains; large deviation methods in statistics and information theory.

• Risk theory; particularly, multidimensional ruin problems and stochastic economic processes arising in ruin theory.
• Insurance-based methods for quantitative risk management.
• Mathematical aspects of financial time series modeling.
• Large deviation methods in finance.

COLLAMORE, J. F. AND MENTEMEIER, S. (2018). Large excursions and conditioned laws for recursive sequences generated by random matrices. Ann. Probab. 46 (4), 2064-2120. [REPRINT | JOURNAL'S ONLINE VERSION | PREPRINT AT MATH ARXIV]

BURACZEWSKI, D., COLLAMORE, J. F., DAMEK, E. AND ZIENKIEWICZ, J. (2016). Large deviation estimates for exceedance times of perpetuity sequences and their dual processes. Ann. Probab. 44 (6), 3688-3739. [REPRINT | JOURNAL'S ONLINE VERSION]

COLLAMORE, J. F., DIAO, G., AND VIDYASHANKAR, A. N. (2014). Rare event simulation for processes generated via stochastic fixed point equations. Ann. Appl. Probab. 24 (5), 2143-2175. [REPRINT | JOURNAL'S ONLINE VERSION | PREPRINT AT MATH ARXIV | SUPPLEMENTARY SOFTWARE PAGE]

COLLAMORE, J. F. AND VIDYASHANKAR, A. N. (2013). Tail estimates for stochastic fixed point equations via nonlinear renewal theory. Stoch. Process. Appl. 123 (9), 3378-3429. [ONLINE VERSION | JOURNAL'S ONLINE VERSION]

COLLAMORE, J. F. AND VIDYASHANKAR, A. N. (2013). Large deviation tail estimates and related limit laws for stochastic fixed point equations. In Random Matrices and Iterated Random Functions (Alsmeyer, Löwe, eds.), Springer. [LINK | ONLINE VERSION]

COLLAMORE, J. F., VIDYASHANKAR, A. N., AND XU, J. (2013). Rare event simulation for stochastic fixed point equations related to the smoothing transform. In Proceedings of the Winter Simulation Conference, 555-563. [ONLINE VERSION]

COLLAMORE, J. F. (2009). Random recurrence equations and ruin in a Markov-dependent stochastic economic environment. Ann. Appl. Probab. 19 (4), 1404-1458. [REPRINT | JOURNAL'S ONLINE VERSION | JSTOR]

COLLAMORE, J. F. AND HÖING, A. (2007). Small-time ruin for a financial process modulated by a Harris recurrent Markov chain. Finance Stoch. 11 (3), 299-322. [REPRINT | JOURNAL'S ONLINE VERSION]

COLLAMORE, J. F. (2002). Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors. Ann. Appl. Probab. 12 (1), 382-421. [REPRINT | JOURNAL'S ONLINE VERSION | JSTOR]

ASMUSSEN, S. AND COLLAMORE, J. F. (1999). Exact asymptotics for a large deviations problem for the GI/G/1 queue. Markov Process. Related Fields 5 (4), 451-476. [REPRINT]

COLLAMORE, J. F. (1998). First passage times for general sequences of random vectors: a large deviations approach. Stoch. Process. Appl. 78 (1), 97-130. [ONLINE VERSION | JOURNAL'S ONLINE VERSION]

COLLAMORE, J. F. (1996). Hitting probabilities and large deviations. Ann. Probab. 24 (4), 2065-2078. [REPRINT | JOURNAL'S ONLINE VERSION | JSTOR]

COLLAMORE, J. F. (1996). Large Deviation Techniques for the Study of the Hitting Probabilities of Rare Sets. Ph.D. dissertation, Univ. Wisconsin-Madison. (Advisor: Peter Ney.)

• 28th Nordic Congress of Mathematicians. Helsinki, Finland, August 2020. [LINK]
• 13th International Workshop on Rare Event Simulation. Paris, France, May 2020. [LINK]
• 11th International Conference on Extreme Value Analysis. Zagreb, Croatia, July 2019. [LINK]
• SIAM Conference on Financial Mathematics and Engineering. Toronto, Canada, June 2019. [LINK]
• 12th International Workshop on Rare Event Simulation. Stockholm, Sweden, August 2018. [LINK]
• Nordstat 2018. Tartu, Estonia, June 2018. [LINK]
• 40th Conference on Stochastic Processes and their Applications. Gothenburg, Sweden, June 2018. [LINK]
• Workshop on Recursive(ly defined) Stochastic Processes. Münster, Germany, December 2017. [LINK]
• Conference on Probabilistic Aspects of Harmonic Analysis. Bedlewo, Poland, May 2016. [LINK]
• 38th Conference on Stochastic Processes and their Applications. University of Oxford, U.K., July 2015. [LINK]
• Workshop on Mathematical Foundations of Heavy-tailed Analysis. Copenhagen, Denmark, June 2015. [LINK]
• 9th International Conference on Extreme Value Analysis. Ann Arbor, Michigan, U.S.A., June 2015. [LINK]
• AMERISKA Workshop. Paris, France, May 2015. [LINK]

Teaching

• SkadeStok: Stochastic Processes in Non-life Insurance; Block 1. [COURSE HOME PAGE]
• QRM: Quantitative Risk Management; Block 2. [COURSE HOME PAGE]

• Monte Carlo Methods in Insurance and Finance (Master's optional course).
• Introduction to Large Deviations (Master's optional course).
• Topics in Large Deviations and Finance (Master's optional course).
• Mathematical and Statistical Methods for Risk Management (Master's optional course).
• SkadeStok: Stochastic Processes in Non-life Insurance (Master's).
• Ruin Theory (Master's).
• Quantitative Risk Management (Master's).
• FM2B: Non-life Insurance Mathematics (Master's).
• FM1A: Life Insurance Mathematics (Master's).
• "Projektkursus" in Life Insurance Mathematics.