Home > Department of Statistics > Research > Risk & Stochastics

Risk & Stochastics

The Department of Statistics has a long-standing tradition of research and education in insurance mathematics. It is running a successful, long established, BSc in Actuarial Science programme. The Department consolidated and extended its operations in this field with the launch of the MSc in Risk & Stochastics programme in the Autumn of 2004 and has in turn upgraded postgraduate activities emanating from the Department's research in this area.

Academic staff in Risk and Stochastics


Dr Beatrice Acciaio
Assistant Professor

Research interests: the theory of martingales and stochastic processes and their application to finance and insurance; risk measures and stochastic ordering of risk; pricing and hedging of financial derivatives; optimal risk sharing

Contact: b.acciaio@lse.ac.uk
Personal page


Professor Pauline Barrieu
Chair in Statistics

Research interests: model uncertainty; insurance-linked securitization; contract designing; environmental economics; financial mathematics

Contact: p.m.barrieu@lse.ac.uk
Personal page

Professor Barrieu is the co-editor with Luca Albertini of The Handbook of Insurance-Linked Securities, 2009, published by Wiley-Blackwell, London, UK. ISBN 978-0-470-74383-6.  


Dr Erik Baurdoux
Associate Professor

Research interests: optimal stopping; stochastic game; Lévy processes; financial and insurance mathematics

Contact: e.j.baurdoux@lse.ac.uk
Personal page


Dr Luciano Campi
Associate Professor

Research interests: stochastic calculus and its applications to finance; information asymmetry and insider trading; credit risk, financial markets and transaction costs and energy markets

Contact: l.campi@lse.ac.uk
Personal page 


Dr Umut Cetin
Associate Professor

Research interests: stochastic calculus; theory of martingales and Markov processes; liquidity risk and credit risk modelling; asymmetric information in financial markets; carbon finance

Contact: u.cetin@lse.ac.uk
Personal page


Dr Angelos Dassios
Associate Professor

Research interests: stochastic processes: theory and application of piecewise deterministic Markov processes; risk theory; insurance and financial applications of stochastic processes

Contact: a.dassios@lse.ac.uk
Personal page


Professor Kostas Kardaras
Chair in Statistics

Research interests: stochastic analysis; martingales and the general theory of stochastic processes; foundations of mathematical finance and economics; stochastic control and optimisation; Monte Carlo methods

Contact: k.kardaras@lse.ac.uk
Personal page 


Dr Hao Xing
Associate Professor

Research interests: stochastic analysis, analysis of differential equations, stochastic control and their applications to finance and insurance; economic models of interacting agents.

Contact: h.xing@lse.ac.uk
Personal page


Visiting and Emeritus Professors and Associate Staff


Professor Ragnar Norberg
Professor Emeritus
Visiting associate member (Université Claude Bernard Lyon 1)
Contact: ragnar.norberg@univ-lyon1.fr



Professor Thorsten Rheinländer
Visiting Professor (TU Vienna)


Professor Bernard Sinclair-Desgagné
Visiting Professor (HEC Montréal)


The group collaborates closely with the LSE Financial Markets Group and, outside the School, with the Institute of Actuaries and industrial partners.

Recent research papers

A small selection of our recent research papers:

Acciaio, B. and Svindland, G. (2014) On the lower arbitrage bound of American contingent claims. Mathematical Finance, 24 (1), pp. 147-155. ISSN 0960-1627

Acciaio, B., Beigelböck, M., Penkner, F., Schachermayer, W. and Temme, J. (2013) A trajectorial interpretation of Doob’s martingale inequalities. Annals of Applied Probability, 23 (4), pp. 1494-1505. ISSN 1050-5164

Acciaio, B., Beigelböck, M., Penkner, F. and Schachermayer, W. (2013) A model-free version of the fundamental theorem of asset pricing and the super-replication theorem. Mathematical Finance. ISSN 0960-1627 (In Press)

Acciaio, B., Föllmer, H. and Penner, I. (2112) Risk assessment for uncertainty cash flows: model ambiguity, discounting ambiguity, and the role of bubbles. Finance and Stochastics, 16 (4), pp. 669-709. ISSN 0949-2984

Barrieu, P. and Fehr, M. (2014) Market-consistent modelling for cap-and-trade schemes and application to option pricing. Operations Research, 62 (2), pp. 234-249. ISSN 0030-364X

Barrieu, P. and El Karoui, N. (2013) Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs. Annals of Probability, 41 (3B), pp. 1831-1863. ISSN 0091-1798

Barrieu, P. and Louberge, H. (2013) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: Mathematics and Economics, 52 (2), pp. 135-144. ISSN 0167-6687

Giammarino, F. and Barrieu, P. (2013) Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49 (1), pp. 2-15. ISSN 0304-4068

Baurdoux, E.J., and Kyprianou A.E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process. Electronic Journal of Probability, 13, pp. 173-197. ISSN 1083-6489

Soner, H., Cetin, U., and Touzi, N. (2010) Option hedging for small investors under liquidity costsFinance and Stochastics, 14 (3), pp. 317-341. ISSN 0949-2984

Dassios, A. and Zhao, H. (2013) A risk model with delayed claims. Journal of Applied Probability, 50 (3), pp. 686-702. ISSN 0021-9002

Dassios, A.  and Lim, J. W. (2013) Parisian option pricing: a recursive solution for the density of the Parisian stopping time. SIAM Journal of Financial Mathematics, 4 (1), pp. 599-615.

Jang, J. and Dassios, A. (2013) A bivariate shot noise self-exciting process for insurance. Mathematics and Economics, 53 (3), pp. 524-532. ISSN 0167-6687

Dassios, A. and Wu, S. (2011) Double-barrier Parisian options. Journal of Applied Probability, 48 (1), pp. 1.20. ISSN 0021-9002

Kardaras, C. (2010) Numéraire-invariant preferences in financial modelling. Annals of applied probability, 20 (5), pp 1697-1728. ISSN 0150-5164

Bayraktar, E. and Xing, H. (2009) Analysis of the optimal exercise boundary of American options for jump diffusions. SIAM Journal on Mathematical Analysis. 41 (2), pp. 825-860, ISSN 0036-1410

Please see the staff pages or LSE Research Online for a comprehensive list of research outputs.

Research grants

Please see here for a full list of research grants held by the Department of Statistics and the Centre for the Analysis of Time Series (CATS).

MPhil and PhD students


Reinhard Fellmann
Research topic/title: Risk and stability in complex economic and financial systems
Supervisors: Erik Baurdoux / Andrea Vedolin (Department of Finance)
Further information: Personal homepage


Tak Yui Ho
Research topic/title: Simulation methods for path dependent options
Supervisors: Angelos Dassios / Pauline Barrieu


Cheng Li
Research topic/title: Trading in limit order market with asymmetry information
Supervisors: Hao Xing / Pauline Barrieu
Further information: Personal homepage


Shiju Liu
Research topic/title: Excursions of Brownian motion with jumps and applications on Parisian barrier options
Supervisors: Angelos Dassios / Erik Baurdoux



Georgios Vichos
Research topic/title: Risk-sharing games
Supervisors: Kostas Kardaras / Kostas Kalogeropoulos


A full list of MPhil and PhD students in the Department of Statistics is available  here.

Recent completions:

Zhang, Youyou (2015)
Thesis title: Brownian excursions in financial mathematics
Supervised by Angelos Dassios and Hao Xing

Chen, Zhanyu (2014)
Thesis title: Pricing and hedging exotic options in stochastic volatility models
Supervised by Angelos Dassios and Umut Cetin

Lim, Jia Wei (2014)
Thesis title: Parisian excursions of Brownian motion and its application in mathematical finance
Supervised by Angelos Dassios and Kostas Kalogeropoulos

Riccardi, Filippo (2014)
Thesis title: Stochastic models for the limit order book
Supervised by Angelos Dassios, Umut Cetin and Thorsten Rheinlander

Sheynzon, Ilya (2013)
Thesis title: A mathematical finance approach to modelling of multiple equilibria and stock market booms and crashes
Supervised by Umut Cetin and Thorsten Rheinlander

Zhao, Hongbiao (2012)
Thesis title: A dynamic contagion process - for modelling contagion risk in finance and insurance
Supervised by Angelos Dassios and Thorsten Rheinlander

Giammarino, Flavia (2012)
Thesis title: Indifference pricing with uncertainty averse preferences
Supervised by Pauline Barrieu and Qiwei Yao

Che, Xiaonan (2012)
Thesis title: Markov-typed models for large value interbank payment system
Supervised by Angelos Dassios and Erik Baurdoux

Tobelem, Sandrine (2011)
Thesis title: Robust asset allocation under model ambiguity
Supervised by Pauline Barrieu and Ragnar Norberg

Chen, Dan (2011)
Thesis title: Three essays on pricing and hedging problems in incomplete markets
Supervised by Thorsten Rheinlander and Umut Cetin

Yamada, Takeshi (2010)
Thesis title: Essays on mathematical finance: applications of moment expansions and filtering theory
Supervised by Angelos Dassios and Umut Cetin

Jimenez-Huerta, Diego (2009)
Thesis title: Stochastic models and methods for the assessment of earthquake risk in insurance
Supervised by Ragnar Norberg and Angelos Dassios

Lee, Young (2009)
Thesis title: The minimal entropy martingale measure and hedging in incomplete markets
Supervised by Thorsten Rheinlander and Ragnar Norberg

Wu, Shanle (2008)
Thesis title: Excursions of Lévy processes and applications in mathematical finance and insurance
Supervised by Angelos Dassios and Ragnar Norberg