Angelos Dassios

Professor in Statistics

Contact details:
Department of Statistics,  London School of  Economics, Houghton Street, London, WC2A 2AE, UK

Email: A.Dassios (@lse.ac.uk)

020 7955 7749

A copy of my CV  

ST302:  See   moodle

ST303:  See   moodle

ST306:  See   moodle

ST330:  See   moodle

I am usually looking for prospective PhD students that show initiative.  Any ideas combining two or more of these areas are especially welcome or even ideas outside them. You are advised to have a look at some of my papers before contacting me.

EM estimation for bivariate mixed Poisson INAR (1) claim count regression models with correlated random effects, 2023, European Actuarial Journal, 1-31 (with Z. Chen and G. Tzougas) Exact Simulation of Poisson-Dirichlet and Generalised Gamma Process, 2023, Methodology and Computing in Applied Probability, 25(2), 1-21 (with J. Zhang) Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models, 2023, Statistics and Computing, 33(1), 30 (with J. Zhang) Multivariate Mixed Poisson Generalized Inverse Gaussian INAR(1) Regression, 2023, Computational Statistics, 38(2), 955-977 (with Z. Chen and G. Tzougas) Truncated Two Parameter Poisson-Dirichlet approximation for Pitman-Yor Process Hierarchical Models, 2023, Scandinavian journal of Statistics, (with J. Jang) INAR Approximation of Bivariate Linear Birth and Death Processes, 2023, Statistical Inference for Stochastic Processes, 1-39 (with Z. Chen and G. Tzougas) Cluster point processes and Poisson thinning INARMA, 2022, Stochastic Process and Their Applications, 147, 456-480 (with Z. Chen) A First Order Mixed Poisson Integer-Valued Autoregressive Model with Serially Dependent Innovations, 2022, Journal of Applied Statistics , 50(2), 352-369 (with Z. Chen and G. Tzougas) EM Estimation for the Bivariate Mixed Exponential Regression Mode, 2022, Risks, 10(5), 105 (with Z. Chen and G. Tzougas) Shot-noise Cojumps: Exact Simulation and Option Pricing, 2023,Journal of the Operational Research Society, 74(3), 647-665 (with Y. Qu and H. Zhao) First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes. 2021, to appear in Methodology and Computing in Applied Probability (with J. Zhang) A Two-Phase Dynamic Contagion Model for COVID-19, 2021, to appear in Results in Physics (with Z. Chen, V. Kuan, J.W. Lim, Y.Qu, B. Surya and H. Zhao) Random Variate Generation for Exponential and Gamma Tilted Stable Distributions, 2021, to appear in Transactions on Modeling and Computer Simulation (TOMACS) (with Y.Qu and H.Zhao) Exact Simulation of Two-parameter Poisson-Dirichlet Random Variables, 2021, Electronic Journal of Probability, 26,1-20 (with J. Zhang) Exact Simulation of Ornstein-Uhlenbeck Tempered Stable Processes, 2021, to appear in the Journal of Applied Probability (with Y.Qu and H.Zhao) Explicit Asymptotics on First Passage Times of Diffusion Processes, 2020, Advances of Applied Probability 52(2), 681-704 (with L. Li) Parisian Time of Reflected Brownian Motion with Drift on Rays and its Application in Banking, 2020, Risks, 8(4), 127 (with J. Zhang) Exact Simulation of Truncated Lévy Subordinator, 2020, Transactions on Modeling and Computer Simulation (TOMACS) 30(3), (with J.W. Lim and Y.Qu), https://doi.org/10.1145/3368088 Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds , 2020, to appear in Mathematical Finance (with J.W. Lim and Y.Qu) https://doi.org/10.1111/mafi.12248 Exact Simulation of Gamma-driven Ornstein-Uhlenbeck Processes with Finite and Infinite Activity Jumps, 2020,  Journal of the Operational Research Society, doi: 10.1080/01605682.2019.1657368 (with Y.Qu and H.Zhao) Efficient Simulation of Lévy-driven Point Processes, 2019, Advances of Applied Probability, 51(4), 927-966 (with Y.Qu and H.Zhao) Exact Simulation of Generalised Vervaat Perpetuities, 2019, Journal of Applied Probability, 56(1), 57-75, (with J.W.Lim and Y.Qu) A Variation of the Azema Maringale and Drawdown Options, 2019, Mathematical Finance, 29(4), 1116-1130 (with J.W.Lim) A Generalised CIR Process with Externally-Exicitng and Self-Exciting Jumps and its Applications in Insurance and Finance, 2019, Risks, 7(4), 103 (with J.Jang and H.Zhao) Exact Simulation for a Class of Tempered Stable and Related Distributions, 2018,   Transactions on Modeling and Computer Simulation (TOMACS), 28(3) (with Y.Qu and H.Zhao). Moments of Renewal Shot-Noise Processes and Applications, 2018, Scandinavian Actuarial Journal, 8, 727-752  (with J. Jang and H.Zhao) Recursive formula for the double barrier Parisian stopping time, 2018, Journal of Applied Probability, 55(1), 282-301 (with J.W. Lim) Efficient Simulation of Clustering Jumps with CIR Intensity, 2017, Operations Research, 65(6),(with H. Zhao). Testing independence of covariates and errors in nonparametric regression, 2017, Scandinavian Journal of Statistics, 45(3), 421-443, (with W. P. Bergsma and S.S. Dhar) An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion, 2017, Methodology and Computing in Applied Probability, 19(1), 1-16, (with J.W.Lim) A Generalised Contagion Process with An Application to Credit Risk 2017, International Journal of Theoretical and Applied Finance, 20(1), 1-33, (with H. Zhao). The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing, 2016, Finance and Stochastics, 20(3), 773-804 (with Y. Zhang). A study of the power and robustness of a new test for independence against contiguous alternatives, 2016, Electronic Journal of Statistics, 10 (1). pp. 330-351 (with W. P. Bergsma and S.S. Dhar). An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options, 2015, Mathematical Finance doi:10.1111/mafi.12091 (with J.W.Lim). A risk model with renewal shot-noise Cox process, 2015, Insurance: Mathematics & Economics, 65, 55–65 (with J. Jang and H. Zhao). A consistent test of independence based on a sign covariance related to Kendall's tau, 2014, Bernoulli , 20(2), 1006-1028 (with W. P. Bergsma). A Markov chain model for contagion , Risks 2014, 2, 434-455; doi:10.3390/risks2040434) (with H. Zhao). Parisian option pricing: A recursive solution for the density of the Parisian stopping time, 2013, SIAM J. Financial Mathematics, 4(1), 599-615 (with J. W. Lim). Stochastic boundary crossing probabilities for the Brownian motion, 2013, Journal of Applied Probability, 50(2), 419-429 (with X. Che). Exact simulation of Hawkes process with exponential decaying Intensity, 2013, Electronic Communications in Probability , 18:0 http://ecp.ejpecp.org/article/view/2717 (with H. Zhao). A risk model with delayed claims, 2013, Journal of Applied Probability, 50(3), 686-702 (with H. Zhao). A bivariate shot noise process for insurance , 2013, Insurance Mathematics and Economics, 53(3), 524-532 (with J. Jang). Ruin by Dynamic Contagion Claims, 2012, Insurance Mathematics and Economics, 51(1), 93-106 (with H.Zhao). Double barrier Parisian options , 2011, Journal of Applied Probability , 48(1), 1-20 (with S. Wu). A dynamic contagion process, 2011, Advances in Applied Probability , 43(3), 814-846 (with H. Zhao). A double shot noise process and its application in insurance , 2011, Journal of Mathematics and System Science. (with J. Jang). Perturbed Brownian motion and its application to Parisian option pricing, 2010, Finance and Stochastics , 14, 473-494 (with S. Wu). On barrier strategy dividends with Parisian implementation delay for classical surplus processes, 2009, Insurance Mathematics and Economics, 45, 195-202 (with S. Wu). The distribution of the interval between events of a Cox process with shot noise intensity, Journal of Applied Mathematics and Stochastic Analysis, 2008, Article ID 367170 (with J. Jang) Bonds and options valuation using a conditioning factor approach , Management Dynamics, 2007, 7(2), 25-69 (with S. Basu). The square root process and Asian options, Quantitative Finance, 2006, 6(4), 337-347. (with J. Nagaradjasarma). On the quantiles of the Brownian motion and their hitting times, 2005, Bernoulli, 11(1), 29-36. Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts, 2005, Journal of Applied Probability, 42(1), 93-107 (with J. Jang). Pricing of catastrophe reinsurance & derivatives using the Cox process with shot noise intensity, 2003, Finance and Stochastics , 7(1), 73-95 (with J. Jang). Cox process with log-normal density, 2002, Insurance, Mathematics and Economics, 31(2), 297-302 (with S. Basu). Interpreting the Beta-Geometric in comparative fecundability studies, 1998, Biometrics, 54(1), 140-146 (with R. Crouchley). Sample quantiles of additive renewal reward processes, 1996, Journal of Applied Probability, 33, 1018-1032. Sample quantiles of stochastic processes with stationary and independent increments and of sums of exchangeable random variables, 1996, Annals of Applied Probability, 6(3), 1041-1043. The distribution of the quantiles of a Brownian motion with drift and the pricing of related path dependent options, 1995, Annals of Applied Probability, 5(2), 389-398. Martingales and insurance risk, 1989, Communications in Statistics, Stochastic Models, 5(2), 181-217, (with P. Embrechts).