Angelos Dassios

Reader in Actuarial Science

Contact details:
Room COL 6.14

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

020 7955 7749

 
Departmental Duties: Departmental Tutor (Actuarial Science)
Chair of Examiners Subboard (Actuarial Science)

 
Office Hours:

 Please look at my door
Courses Taught:

ST226



ST305




 
Course Materials:

ST226:  See public folders or moodle

 

ST305: See public folders or moodle

 
Research:

Stochastic Processes

Applied Probability

Mathematical Finance

Applications of Stochastic Models in Insurance.


Useful Links: Some Recent Papers Online (alternatively go to http://eprints.lse.ac.uk and search for me):


A dynamic contagion process (with H. Zhao).

Double-barrier Parisian options (with S. Wu).

On barrier strategy dividends with Parisian implementation delay for classical surplus processes  (with S. Wu).

Point processes with contagion  and an application to credit risk (with H. Zhao).

A Dynamic contagion Process and an application to credit risk (with H.Zhao).

Ruin by dynamic contagion claims (with H.Zhao).

Ruin by delayed claims (with H.Zhao).

Perturbed Brownian motion and its application to Parisian option pricing (with S. Wu).

Barrier strategies with Parisian delay (with S.Wu).

Parisian ruin with exponential claims (with S.Wu).

Ruin probabilities of the Parisian type for small claims (with S.Wu).

Brownian excursions in a corridor and related Parisian options (with S.Wu).

Brownian excursions outside a corridor and two-sided Parisian options (with S.Wu).

 Two sided Parisian options with a single barrier (with S.Wu).

 Semi-Markov model for Excursions and Occupation time of Markov processes (with S.Wu).

The distribution of the interval between events of a Cox process with shot-noise intensity (with J. Jang).

On the quantiles of the Brownian motion and their hitting times.

Pricing of Asian options on interest rates  in the CIR model (with J.Nagaradjasarma).

The square root process and Asian options (with J. Nagaradjasarma).

Quantiles of Levy processes and applications in finance (a review)

On the quantiles of the Brownian motion and their hitting times.

 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (with J. Jang).

A Cox Process with Log-Normal Intensity (with S. Basu).


Institute of Actuaries:
http://www.actuaries.org.uk 

Support free software
http://www.debian.org


M.Sc. in Risk and Stochastics 
Other Information: Born in Athens, Greece where I went to school.
Higher Education: Trinity College, Cambridge and Imperial College, London.
Before oining LSE I briefly worked as a research officer at Imperial College.
Interests: Reading, Going out, Travel, Chess.