Thomas Mikosch

Department of Mathematics
University of Copenhagen
Universitetsparken 5
DK-2100 Copenhagen
phone: +45 353 30414

Professional biography

Dr. Mikosch is a Professor at the Department. He got his Master degree in Mathematics at TU Dresden (1981), defended his PhD in Probability Theory at St. Petersburg University (1984), his Habilitation at TU Dresden (1990). Before he joined the Department on January 1, 2001, he worked at TU Dresden, ETH Zürich, ISOR Wellington, RUG Groningen.

Research interests

  • Applied probability
  • Asymptotic theory
  • Time series analysis
  • Insurance and financial mathematics
  • Stochastic processes
  • Extreme value theory
  • Books

    Modelling Extremal Events for Insurance and Finance (jointly written with P. Embrechts and C. Klüppelberg, Springer Verlag 1997). See and Here are some pages with corrected typos. In the eigth printing (2009) these typos will be corrected.

    Elementary Stochastic Calculus with Finance in View (World Scientific Singapore 1998). See or

    Levy Processes - Theory and Applications (jointly edited with O.E. Barndorff-Nielsen and S.I. Resnick ). See here.

    Empirical Process Techniques for Dependent Data (jointly edited with M. Sorensen and H.G. Dehling ). See here.

    Non-Life Insurance Mathematics. An Introduction with Stochastic Processes (Springer Verlag 2004) See here. Here are some pages with corrected typos. In the second printing (2006) these typos were corrected.

    The Handbook of Financial Time Series (jointly edited with T.G. Andersen, R.A. Davis and J.-P. Kreiss ). See here.

    Non-Life Insurance Mathematics. An Introduction with the Poisson Process Second Edition 2009. See here.

    New Frontiers in Applied Probability. A Festschrift for Soeren Asmussen (JAP Special Volume 48A 2011) (jointly edited with P. Glynn and T. Rolski ). See here.

    Stochastic Models with Power-Law Tails (jointly written with D. Buraczewski and E. Damek ). See here.

    Workshops and conferences

    For past events, see here.

    Grant DFF-4002-00435, Large random matrices with heavy tails and dependence

    For the website, see here here.

    For some recent preprints see here.