Research

Actuarial and insurance mathematics
Stochastic modelling in life and non-life insurance, ruin theory, risk processes, credibility theory, loss distributions, survival models, reserving mathematics, premium principles, dependence modelling, extreme value theory, and mathematical foundations of risk measures.

Quantitative risk modelling and financial econometrics
Time series, Markov-switching models, risk measures, backtesting, regime detection, stochastic processes, portfolio risk, portfolio optimization

Machine learning, XAI and data-driven insurance
Explainable AI, ML in tariff modelling, insurance telematics, graph mining, fraud/risk detection, interpretable predictive systems.

Stochastic and computational modelling
Monte Carlo methods, simulation-based inference, numerical experiments, dynamic systems, agent-based modelling

Backtesting investment fund portfolios using GARCH and Markov-switching models

Bachelor thesis, 2025
A comparative study of classical volatility models and regime-switching models for conservative and aggressive investment fund portfolios.
Keywords: GARCH, MS-GARCH, VaR, Expected Shortfall, investment funds, backtesting.
Links: PDF / GitHub / summary

Something different

x, 2025
x
Links: PDF / GitHub / summary

Something different

x, 2025
x
Links: PDF / GitHub / summary