Portrait of Professor Vladimir Kaishev

Professor Vladimir Kaishev

Professor of Actuarial Science

Bayes Business School, Faculty of Actuarial Science and Insurance

Contact

Visit Vladimir Kaishev

Room BR5078, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Prof Vladimir Kaishev is a Professor of Actuarial Science at the Faculty of Actuarial Science and Insurance (FASI), Bayes Business School (formerly Cass), City University, London. He joined FASI in 2002. In 2001 he has been a visiting lecturer in actuarial mathematics at the Center of Actuarial Studies, University of Melbourne, Australia.

From 1994 until 2000, Prof Kaishev was Head of the Department of Computational Stochastics at the Institute of Mathematics of the Bulgarian Academy of Sciences. He holds a PhD degree in statistics and information theory from the Moscow Technical University. He has been a visiting researcher at the Mathematics Research Center, University of Wisconsin- Madison, and at the University of California at Los Angeles.

Prof Kaishev has also been a visiting lecturer at the Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, at Sofia University "St. Kliment Ohridski" and has delivered invited lectures at Stanford University (Dept. of Statistics) and at a number of European universities and research institutions. His research interests are in actuarial mathematics, risk and ruin theory, reinsurance modeling, spline-functions and their applications to probability, statistics and actuarial science, competing risks and copulas. He has also worked on a number of applied research and consultancy projects in the field of actuarial science and insurance, chemistry, medicine, ship hydrodynamics.

Prof Kaishev was the initiator of the re-establishment of the Bulgarian Actuarial Society in 1993 and has served as its president from 1993 to 2002. He is also a member of the American Mathematical Society. Prof Kaishev is a referee for international academic journals in the field of actuarial science and stochastics.

Qualifications

MSc (Moscow) and PhD (Moscow).

Visiting appointments

  • Visiting Professor, Department of Mathematics, Kyoto University, Japan, Oct 2014
  • Visiting Lecturer, Centre for Actuarial Studies, The Department of Economics and Commerce, Melbourne University, Melbourne, Jun – Dec 2001
  • Visiting Lecturer, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, Feb – Sep 1998

Fellowships

  • Leverhulme Visiting Fellow, City University London, Apr 2002 – May 2003

Memberships of committees

  • Representative of Bulgaria Actuarial Society, Commettee of the Actuarial Association of Europe (AAE)

Memberships of professional organisations

  • Member, American Risk and Insurance Association, Nov 2007 – present
  • Member, Applied Probability Society of INFORMS, Jul 2007 – present
  • Affiliate, UK Institute of Actuaries, Apr 2005 – present

Award

  • School Prizes Committee, Cass Business School, City University (2013) Certificate for Excellence in Research
    31/10/2013; 19/10/2009; Awarded a Certificate for Excellence in Research in grateful recognition of outstanding contribution to the reputaion of Cass Business School in research through publications in journals of the highest standing.

Languages

Bulgarian, German and Russian.

Expertise

Primary topics

  • Actuarial Science
  • Actuarial Statistics
  • Insurance
  • Mathematical Finance
  • Risk Modelling
  • Statistics

Additional topics

  • Life Insurance
  • Marketing
  • Non-life Insurance
  • Probability Theory
  • Reinsurance
  • Simulation Methods

Industries

  • banking
  • insurance

Geographic Areas

  • Americas - North
  • Australia & Oceania
  • Europe
  • Europe - Eastern

Research

Research has been performed in the following main areas:
• a new class of multivariate Levy processes;
• optimal cross-selling;
• multivariate copula functions;
• the probability of ruin of an insurance company in a general dependent risk model;
• the classical Appell polynomials and their relation to ruin theory;
• optimal reinsurance from the point of view of both the insurer and the reinsurer;
• the competing risks model and its application in insurance;
• option pricing.

Research topics

risk and ruin theory

explicit formulae for the probability of ruin and related quantities in a general (non-classical) risk model, allowing dependence

dependent risk models and copulas

new classes of multivariate copulas; Estimation of multivariate Archimedean copulas; application of copulas in finance and insurance, e.g. competing risk models; New multivariate Levy processes allowing for modelling dependence e.g., dependent joint asset price dynamics

spline functions in actuarial science and statistics

new methods for geometrically designed variable knot regression splines and their actuarial and statistical applications

operational risk in insurance and banking

ruin probabilistic reserving (capital allocation) for operational risk

exotic option pricing

new Monte Carlo methods for pricing path dependent options in finance and life insurance

optimal reinsurance and Cat bonds

optimal reinsurance with respect to joint survival of cedent and reinsurer; efficient frontier approach to optimal reinsurance; Cat bonds versus reinsurance- the pricing perspective

Research students

1st supervisor

Shouqi Zhao

Attendance: Oct 2010 – Nov 2014, full-time

Thesis title: Dependent Risk Modelling and Ruin Probability:Numerical Computation and Applications

Role: 1st Supervisor

Senren Tan

Attendance: Oct 2010 – Nov 2014, full-time

Thesis title: On some ruin theoretic quantities and their application in actuarial science, risk analysis and operations research

Role: 1st Supervisor

Fredrik Thuring

Attendance: Sep 2008 – Feb 2013, full-time

Thesis title: Multivariate credibility with application to cross-selling financial services products

Role: 1st Supervisor

Gareth Haslip

Attendance: Sep 2006 – Dec 2012, part-time

Thesis title: The Generalised Fourier B-spline Methodology and Applications of the Generalised Fourier Transform

Role: 1st Supervisor

Roger Knight

Attendance: Sep 2006 – Jun 2009, full-time

Thesis title: Optimisation methods for staff scheduling and rostering: an employee-friendly approach

Role: 2nd Supervisor

Rosen Krachunov

Attendance: Sep 2005 – present, part-time

Thesis title: TBD

Role: 1st Supervisor

Dimitrina Dimitrova

Attendance: May 2005 – Apr 2008, part-time

Thesis title: Dependent Risk modelling in (re)insurance and ruin

Role: 1st Supervisor

Jae Hoon Jho

Attendance: Sep 2004 – Aug 2008, full-time

Thesis title: Heavy Tails and Dependence with Applications in Insurance

Role: 1st Supervisor

Publications

  1. Kaishev, V.K. and Dimitrova, D.S. (2009). Dirichlet bridge sampling for the variance gamma process: pricing path-dependent options. Management Science, 55(3), pp. 483–496. doi:10.1287/mnsc.1080.0953.

Book

  1. Jho, J.H. and Kaishev, V.K. (2011). On some mixture distributions and their extreme value behavior.

Conference papers and proceedings (37)

  1. Millossovich, P., Villegas, A.M. and Kaishev, V.K. (2015). StMoMo: An R Package for Stochastic Mortality Modelling. 7th Australasian Actuarial Education and Research Symposium 7-8 December, Bond University, Robina, Gold Coast, Queensland, Australia.
  2. Dimitrova, D.S., Ignatov, Z.G. and Kaishev, V.K. (2015). Ruin and deficit at ruin under an extended order statistics risk process. IME 2015 23 Jun 2015 – 26 Jun 2016, Liverpool, UK.
  3. Haberman, S., Kaishev, V., Millossovich, P. and Villegas, A. (2014). A methodology for assessing basis risk. Institute and Faculty of Actuaries' (IFoA's) 2014 Pensions Conference 18-20 June, London, UK.
  4. Kaishev, V.K. (2011). Stochastic processes induced by Dirichlet (B-)splines: modelling multivariate asset price dynamics. Joint Seminar of the Faculty of Actuarial Science and Insurance and Faculty of Finance, Cass Business School Cass Business School, City University London, UK, 18 May 2011.
  5. Kaishev, V.K. (2010). Linear Combinations of Gamma Processes and Dirichlet (B-)splines:Applications in Finance and Insurance. 14th International Congress on Insurance: Mathematics and Economics University of Toronto, Toronto, Ontario, Canada, 17-19 June 2010.
  6. Kaishev, V.K. (2010). Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance. 4th CSDA International Conference on Computational and Financial Econometrics (CFE�10) University of London, London, UK, 10-12 December 2010.
  7. Kaishev, V.K. (2010). Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance. University of Manchester, School of Mathematics, Probability and Statistics Research Seminars University of Manchester, Manchester, UK, 1 December 2010.
  8. Kaishev, V.K. (2010). On the (joint) distribution of the time of ruin and the deficit at ruin. Third International Gerber-Shiu Workshop University of Waterloo, Waterloo, Ontario, Canada, 14-16 June 2010.
  9. Kaishev, V.K. (2010). Operational Risk Capital Assessment, Based on Ruin and the Deficit at Ruin. Colloquia of the Department of Statistical and Actuarial Sciences, University of Western Ontario University of Western Ontario, London, Western Ontario, Canada, 24 June 2010.
  10. Kaishev, V.K. (2010). Ruin-probabilistic estimation of operational risk capital in finance and insurance. International Workshop in Applied Probability (IWAP 2010) Universidad Carlos III de Madrid, Colmenarejo, Madrid, Spain, 5-8 July 2010.
  11. Kaishev, V.K. and Ignatov, Z.G. (2009). Finite-time ruin probability formulae for Erlang claim inter-arrival times and dependent claim amounts. 2b) or not 2b) Conference in honor of Professor Hans U . Gerber. University of Lausanne, Switzerland, 2-3 June 2009.
  12. Kaishev, V.K. (2009). Stochastic processes induced by Dirichlet (B-) splines with applications in finance and insurance. King's College Financial Mathematics and Applied Probability Seminars 2009-2010 King's College, London, 8 December 2009.
  13. Dimitrova, D.S., Kaishev, V.K. and Haberman, S. (2009). Modelling the joint Distribution of Competing Risks Survival Times Using Copula Functions. Mortality and Longevity- Making Financial Sense of the Highly Uncertain Manchester, UK, 23 March 2009.
  14. Kaishev, V.K. (2009). Copulas Induced by the Dirichlet Distribution and B-splines. Workshop on Copula Theory and its Applications, Warsaw Faculty of Mathematics, Informatics, and Mechanics, University of Warsaw, Poland, 25-26 September 2009.
  15. Kaishev, V.K. and Ignatov, Z.G. (2008). Finite-time Probability of Ruin Under Erlang Claim Inter-arrivals. International Workshop on Applied Probability (IWAP 2008) 7-10 July, Compiègne, France.
  16. Kaishev, V.K. and Ignatov, Z.G. (2008). On Finite-time Ruin Under Erlang Claim Inter-arrivals. 12th International Congress on Insurance: Mathematics and Economics (IME 2008) Dalian, China, 16-18 July 2008.
  17. Kaishev, V.K. and Dimitrova, D.S. (2008). Dirichlet bridge sampling for the variance gamma process: pricing path-dependent options. 3rd International Conference on Mathematics in Finance (MiF 2008) Kruger National Park, South Africa, 1-6 September 2008.
  18. Kaishev, V.K., Dimitrova, D.S. and Ignatov, Z.G. (2007). Operational Risk and Insurance: A Ruin probabilistic reserving approach. 37th ASTIN Colloquium 19-22 June, Lake Buena Vista, Florida, USA.
  19. Kaishev, V.K. (2007). Copulas induced by the Dirichlet distribution and B-splines. Faculty of Actuarial Science and Insurance Seminar Cass Business School, London, UK, 23 May 2007.
  20. Kaishev, V.K. (2006). On B-spline related stochastic processes and some applications in finance and insurance. Quantitative Methods in Finance (QMF 2006) Sydney, Australia, 13-16 December 2006.
  21. Kaishev, V.K. and Dimitrova, D.S. (2006). On the infinite-time ruin and the distribution of the time to ruin. 10th International Congress on Insurance: Mathematics and Economics (IME 2006) Leuven, Belgium, 18-20 July 2006.
  22. Kaishev, V.K. and Dimitrova, D.S. (2006). Optimal joint survival reinsurance: an efficient frontier approach. 4th Conference in Actuarial Science & Finance on Samos Samos, Greece, 14-17 September 2006.
  23. Kaishev, V.K. and Dimitrova, D.S. (2005). Optimal reinsurance, assuming joint survival of cedent and reinsurer. 9th International Congress on Insurance: Mathematics and Economics (IME 2005) 6-8 July, Quebec City, Canada.
  24. Ignatov, Z.G. and Kaishev, V.K. (2004). On the Probability of Ruin in Infinite Time for Integer Valued Claims. IWAP 2004 : 2nd International Workshop on Applied Probability 22-25 March, Department of Statistics and Insurance Science, University of Piraeus, Greece.
  25. Kaishev, V.K., Dimitrova, S.D. and Haberman, S. (2004). Modelling Competing Risks Survival Times Using Copulas. 8th International Congress on Insurance: Mathematics and Economics (IME 2004) Rome, Italy, 14-16 June 2004.
  26. Kaishev, V.K. (2004). Can (re)-insurance risk be optimally shared. Seminar of the Department of Mathematics and Statistics UMIST, Manchester, 12 May 2004.
  27. Kaishev, V.K. and Ignatov, Z.G. (2004). On the Probability of Ruin in Infinite Time for Integer Valued Claims. 2nd International Workshop in Applied Probability (IWAP 2004) Piraeus, Greece, 22-25 March 2004.
  28. Kaishev, V.K. (2003). Finite-time Ruin Probability for Continuous Dependent Claims. 7th International Congress on Insurance: Mathematics and Economics (IME 2003) Lyon, France, 24-27 June 2003.
  29. Kaishev, V.K. (2002). Evaluation of the Probability of Ruin in Finite time when the claim size distribution is Continuous. 2nd Conference in Actuarial Science & Finance on Samos Samos, Greece, 20-22 September 2002.
  30. Kaishev, V.K. (2002). Optimal Retention Levels, Given the Joint Survival of Cedent and Reinsurer. 6th International Congress on Insurance: Mathematics and Economics (IME 2002) Lisbon, Portugal, 14-17 July 2002.
  31. Kaishev, V.K. (2001). On Ruin Probabilities in Insurance and Reinsurance. Statistics Seminar of the School of Mathematics and Statistics, UNSW School of Mathematics and Statistics, The University of New South Wales, Sydney, October 2001.
  32. Kaishev, V.K. and Todorov, N. (2000). Status of Pension Legislation in Eastern Europe: The Bulgarian Experience. 9th EURACS Conference and Workshops on Pensions In Europe - 'A European Focus' Radisson SAS Palais Hotel, Vienna, September 2000.
  33. Kaishev, V.K. (2000). An improved finite-time ruin probability formula and its "Mathematica" implementation. 4th International Congress on Insurance: Mathematics and Economics (IME2000) University of Barcelona, July.
  34. Kaishev, V.K. (2000). Animated survival probabilities surfing on the wave of success. 35th Actuarial Research Conference (ARC 2000) Universite Laval, Quebec City, Quebec, Canada, August.
  35. Kaishev, V.K. (1998). On Some Actuarial Encounters with Spline Functions. International Conference "Applied Probability Week" Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh.
  36. Kaishev, V.K. and Ignatov, Z.G. (1997). Two-sided Bounds for the Finite-time Probability of Ruin. International Conference of Actuarial Science: Theory, Education and Implementation Steklov Mathematical Institute, Moscow.
  37. Kaishev, V.K. (1996). On the calculation of finite-time ruin probability in the case of multiple claims. International Workshop on Ruin Probability Bankya, Bulgaria.

Journal articles (38)

  1. Dimitrova, D.S., Kaishev, V.K., Lattuada, A. and Verrall, R.J. (2023). Geometrically designed variable knot splines in generalized (non-)linear models. Applied Mathematics and Computation, 436, pp. 127493–127493. doi:10.1016/j.amc.2022.127493.

    [publisher’s website]

  2. Dimitrova, D.S., Ignatov, Z.G., Kaishev, V.K. and Tan, S. (2020). On double-boundary non-crossing probability for a class of compound processes with applications. European Journal of Operational Research, 282(2), pp. 602–613. doi:10.1016/j.ejor.2019.09.058.

    [publisher’s website]

  3. Dimitrova, D.S., Kaishev, V.K. and Tan, S. (2020). Computing the Kolmogorov-Smirnov Distribution When the Underlying CDF is Purely Discrete, Mixed, or Continuous. Journal of Statistical Software, 95(10). doi:10.18637/jss.v095.i10.

    [publisher’s website]

  4. Dimitrova, D.S., Kaishev, V. and Ignatov, Z. (2018). Ruin and Deficit Under Claim Arrivals with the Order Statistics Property. Methodology and Computing in Applied Probability. doi:10.1007/s11009-018-9669-5.
  5. Villegas, A.M., Kaishev, V.K. and Millossovich, P. (2018). StMoMo: An R Package for Stochastic Mortality Modeling. Journal of Statistical Software, 84(3). doi:10.18637/jss.v084.i03.

    [publisher’s website]

  6. Villegas, A.M., Haberman, S., Kaishev, V.K. and Millossovich, P. (2017). A COMPARATIVE STUDY OF TWO-POPULATION MODELS FOR THE ASSESSMENT OF BASIS RISK IN LONGEVITY HEDGES. ASTIN Bulletin, 47(3), pp. 631–679. doi:10.1017/asb.2017.18.

    [publisher’s website]

  7. Dimitrova, D., Ignatov, Z. and Kaishev, V. (2017). On the First Crossing of Two Boundaries by an Order Statistics Risk Process. Risks, 5(3), pp. 43–43. doi:10.3390/risks5030043.

    [publisher’s website]

  8. Ignatov, Z.G. and Kaishev, V.K. (2016). First crossing time, overshoot and Appell–Hessenberg type functions. Stochastics, 88(8), pp. 1240–1260. doi:10.1080/17442508.2016.1230613.

    [publisher’s website]

  9. Dimitrova, D.S., Kaishev, V.K. and Zhao, S. (2016). On the evaluation of finite-time ruin probabilities in a dependent risk model. Applied Mathematics and Computation, 275, pp. 268–286. doi:10.1016/j.amc.2015.11.082.

    [publisher’s website]

  10. Dimitrova, D.S., Kaishev, V.K. and Zhao, S. (2015). Modeling Finite‐Time Failure Probabilities in Risk Analysis Applications. Risk Analysis, 35(10), pp. 1919–1939. doi:10.1111/risa.12384.

    [publisher’s website]

  11. Haslip, G.G. and Kaishev, V.K. (2015). A Novel Fourier Transform B-spline Method for Option Pricing. Journal of Computational Finance, 19(1), pp. 41–74.
  12. Kaishev, V.K., Dimitrova, D.S., Haberman, S. and Verrall, R. (2015). Geometrically designed, variable knot regression splines. Computational Statistics, 31(3), pp. 1079–1105. doi:10.1007/s00180-015-0621-7.
  13. Haslip, G.G. and Kaishev, V.K. (2015). A novel Fourier transform B-spline method for option pricing. The Journal of Computational Finance, 19(1), pp. 41–74. doi:10.21314/jcf.2015.308.

    [publisher’s website]

  14. Dimitrova, D.S., Kaishev, V.K. and Zhao, S. (2015). On finite-time ruin probabilities in a generalized dual risk model with dependence. European Journal of Operational Research, 242(1), pp. 134–148. doi:10.1016/j.ejor.2014.10.007.
  15. Haslip, G.G. and Kaishev, V.K. (2014). Lookback option pricing using the Fourier transform B-spline method. Quantitative Finance, 14(5), pp. 789–803. doi:10.1080/14697688.2014.882010.

    [publisher’s website]

  16. Dimitrova, D.S., Haberman, S. and Kaishev, V.K. (2013). Dependent competing risks: Cause elimination and its impact on survival. Insurance: Mathematics and Economics, 53(2), pp. 464–477. doi:10.1016/j.insmatheco.2013.07.008.
  17. Kaishev, V.K., Nielsen, J.P. and Thuring, F. (2013). Optimal customer selection for cross-selling of financial services products. Expert Systems with Applications, 40(5), pp. 1748–1757. doi:10.1016/j.eswa.2012.09.026.
  18. Kaishev, V.K. (2013). Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. Mathematical Finance, 23(2), pp. 217–247.
  19. Ignatov, Z.G. and Kaishev, V.K. (2012). Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts. Stochastics, 84(4), pp. 461–485. doi:10.1080/17442508.2011.615932.
  20. Dimitrova, D.S. and Kaishev, V.K. (2010). Optimal joint survival reinsurance: An efficient frontier approach. Insurance: Mathematics and Economics, 47(1), pp. 27–35. doi:10.1016/j.insmatheco.2010.03.006.
  21. Haslip, G.G. and Kaishev, V.K. (2010). Pricing of reinsurance contracts in the presence of catastrophe bonds. ASTIN Bulletin, 40(1), pp. 307–329. doi:10.2143/AST.40.1.2049231.
  22. Kaishev, V., Dimitrova, D. and Ignatov, Z. (2008). Operational risk and insurance: a ruin-probabilistic reserving approach. The Journal of Operational Risk, 3(3), pp. 39–60. doi:10.21314/jop.2008.047.

    [publisher’s website]

  23. Dimitrova, D.S., Kaishev, V.K. and Penev, S.I. (2008). GeD spline estimation of multivariate Archimedean copulas. Computational Statistics and Data Analysis, 52(7), pp. 3570–3582. doi:10.1016/j.csda.2007.11.010.
  24. Kaishev, V.K., Dimitrova, D.S. and Haberman, S. (2007). Modelling the joint distribution of competing risks survival times using copula functions. Insurance: Mathematics and Economics, 41(3), pp. 339–361. doi:10.1016/j.insmatheco.2006.11.006.
  25. Ignatov, Z.G. and Kaishev, V.K. (2006). On the infinite-horizon probability of (non)ruin for integer-valued claims. Journal of Applied Probability, 43(2), pp. 535–551. doi:10.1239/jap/1152413740.
  26. Kaishev, V.K. and Dimitrova, D.S. (2006). Excess of loss reinsurance under joint survival optimality. Insurance: Mathematics and Economics, 39(3), pp. 376–389. doi:10.1016/j.insmatheco.2006.05.005.
  27. Kaishev, V. and Dimitrova, D. (2006). On the infinite-time ruin and the distribution of the time to ruin. INSURANCE MATHEMATICS & ECONOMICS, 39(3), pp. 406–406.
  28. Kaishev, V. and Dimitrova, D. (2005). Optimal reinsurance, assuming Joint survival of cedent and reinsurer. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 385–385.
  29. Ignatov, Z.G., Kaishev, V.K. and Krachunov, R.S. (2004). Optimal Retention Levels, Given the Joint Survival of Cedent and Reinsurer. Scandinavian Actuarial Journal, 2004(6), pp. 401–430. doi:10.1080/03461230410020437.
  30. Ignatov, Z.G. and Kaishev, V.K. (2004). A finite-time ruin probability formula for continuous claim severities. Journal of Applied Probability, 41(2), pp. 570–578. doi:10.1239/jap/1082999087.
  31. Dimitrova, D.S. and Kaishev, V.K. (2003). Finite time ruin probabilities for continuous dependent claims. INSURANCE MATHEMATICS & ECONOMICS, 33(2), pp. 426–426.
  32. Ignatov, Z.G., Kaishev, V.K. and Krachunov, R.S. (2001). An improved finite-time ruin probability formula and its Mathematica implementation. Insurance: Mathematics and Economics, 29(3), pp. 375–386. doi:10.1016/S0167-6687(01)00078-6.
  33. Ignatov, Z.G. and Kaishev, V.K. (2000). Two-sided Bounds for the Finite-time Probability of Ruin. Scandinavian Actuarial Journal, 2000(1), pp. 46–62.
  34. Kaishev, V.K. (1989). Optimal experimental designs for the B-spline regression. Computational Statistics and Data Analysis, 8(1), pp. 39–47. doi:10.1016/0167-9473(89)90064-9.
  35. Kaisheva, M.K. and Kaishev, V.K. (1986). STATISTICAL ESTIMATE OF DOUBLE-LAYER PARAMETERS AT A STATIONARY MERCURY ELECTRODE IN THE PRESENCE OF SODIUM LAURYL SULFATE. Soviet electrochemistry, 22(6), pp. 804–807.
  36. Kaisheva, M.K. and Kaishev, V.K. (1985). Estimation of Adsorption Parameters in Two Models of Differential Capacity. A Comparison Based on Nonlinear Regression Analysis. Langmuir, 1(6), pp. 760–763. doi:10.1021/la00066a020.
  37. Kaisheva, M., Kaishev, V. and Matsumoto, M. (1984). Adsorption of dodecylhexaoxyethylene glycol monoether at a stationary mercury electrode. A spline regression model of differential capacity. Journal of Electroanalytical Chemistry, 171(1-2), pp. 111–121. doi:10.1016/0022-0728(84)80109-6.
  38. NIKOLOV, A., MARTYNOV, G., EKSEROVA, D. and KAISHEV, V. (1980). MICELLE FORMATION AND THE PROPERTIES OF ADSORPTION LAYERS OF IONOGENIC SURFACTANTS AT CONCENTRATIONS SIGNIFICANTLY BELOW THE CRITICAL MICELLE CONCENTRATION. COLLOID JOURNAL OF THE USSR, 42(4), pp. 559–565.

Reports (8)

  1. Dimitrova, D.S., Ignatov, Z.G. and Kaishev, V.K. (2019). Ruin and Deficit Under Claim Arrivals with the Order Statistics Property. Springer Science and Business Media LLC.
  2. Dimitrova, D.S., Kaishev, V.K. and Haberman, S. (2014). Improved estimation of mortality and life expectancy for each constituent country of the UK and beyond. REF.
  3. Millossovich, P., Haberman, S., Kaishev, V., Baxter, S., Gaches, A., Gunnlaugsson, S. … Sison, M. (2014). Longevity Basis Risk A methodology for assessing basis risk. Institute and Faculty of Actuaries (IFA) , Life and Longevity Markets Association (LLMA).
  4. Kaishev, V.K., Haberman, S. and Dimitrova, D.S. (2009). Spline graduation of crude mortality rates for the English Life Table 16. Office for National Statistics (ONS).
  5. Kaishev, V.K., Dimitrova, D.S., Haberman, S. and Verrall, R. (2006). Geometrically Designed, Variable Knot Regression Splines: Variation Diminishing Optimality of Knots..
  6. Kaishev, V.K., Dimitrova, D., Haberman, S. and Verrall, R. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference..
  7. Kaishev, V.K., Dimitrova, D.S., Haberman, S. and Verrall, R. (2004). Automatic, Computer Aided Geometric Design of Free-Knot Regression Splines..
  8. Ignatov, Z.G., Kaishev, V.K. and Krachunov, R.S. (2001). Explicit Finite-time Ruin Probabilities for Discrete, Dependent Claims..

Software

  1. Millossovich, P., Villegas, A. and Kaishev, V. (2016). StMoMo: Stochastic Mortality Modelling. CRAN.

Working papers (6)

  1. Dimitrova, D.S., Kaishev, V.K., Lattuada, L. and Verrall, R.J. (2021). Geometrically Designed Variable Knot Splines in Generalized (Non-)Linear Models.
  2. Kaishev, V. (2010). Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  3. Dimitrova, D.S., Kaishev, V. and Spiridon, P. (2007). GeD spline estimation of multivariate Archimedean copulas. London, UK: Faculty of Actuarial Science & Insurance, City University London.
  4. Kaishev, V. and Dimitrova, D.S. (2005). Excess of loss reinsurance under joint survival optimality. Faculty of Actuarial Science & Insurance, City University London.
  5. Kaishev, V.K., Haberman, S. and Dimitrova, D.S. (2005). Modelling the joint distribution of competing risks survival times using copula functions. London, UK: Faculty of Actuarial Science & Insurance,: City, University of London..
  6. Ignatov, Z.G., Kaishev, V. and Krachunov, R. (2003). Optimal retention levels, given the joint survival of cedent and reinsurer. London, UK: Faculty of Actuarial Science and Insurance, City University London.

Other (2)

  1. Kaishev, V.K. (2011). Copulas Induced by the Dirichlet Distribution and B-splines.
  2. Kaishev, V.K., Nielsen, J.P. and Thuring, F. (2011). Optimal cross-selling of financial services products: Application to insurance.

Education

Course Directorship

- 2002 - 2006, MSc Actuarial Science - Actuarial Management dissertation conversion course, Director
- 2011 - present, PhD in Actuarial Science, Admissions Tutor

Subject/Academic Leadership

- 2007 - 2009, Actuarial Research Center, Director

Professional activities

Consultancy (4)

  1. Bulgarian Actuarial Society (Public Sector) (Oct 2011 – present)
    An intensive 20 hours course on “Stochastic processes and their applications in insurance and finance - Risk theory” has been delivered for the needs of the Bulgarian Actuarial Society (Member of the IAA) to over 30 participants, among which professionals from multinational insurance companies and banks in Sofia, Bulgaria.
  2. Aon-Benfield (Private Sector) (Mar – Jul 2009)
    development of an Economic Scenario Generator, a project commissioned by Aon-Benfield Ltd
  3. Government Actuary's Department and Office for National Statistics (Public Sector) (Aug 2006 – Apr 2009)
    Spline graduation of crude mortality rates for the English Life Table 16
  4. Swiss Reinsurance, Life and Health, UK (Private Sector) (Sep 2002 – May 2003)
    Project entitled "Quantifying the effect of Partial and Complete Disease Elimination in the Presence of Dependency", Project completed for and commissioned by Swiss Reinsurance Life and Health, UK

Editorial activity

  1. Economic Quality Control, Associate Editor, 2013 – present.

Events/conferences (53)

  1. The 10th Bachelier Colloquium in Mathematical Finance and Stochastic Calculus. (Conference) Metabief, France (2016). Invited speaker.
    Paper: On the efficient evaluation of Fourier transforms applying B-spline approximation
    Author: Haslip, G.G.
    Co-authors: Kaishev, V.K.
  2. Workshop on Causes of death. (Workshop) Laboratoire de Probabilités (LPMA), UPMC (Paris VI), Paris, France (2015). Invited speaker.
    Paper: Dependent competing risks in modelling and measuring health and survival
    Author: Kaishev V.K.
  3. IME 2015. (Conference) University of Liverpool, Liverpool (2015).
    Paper: Ruin and deficit at ruin under an extended order statistics risk process
    Author: Kaishev V.K.
  4. FISC (Flint International Statistical Conference) One City – 100 Years Under Variability. (Conference) Kettering University, Flint, Michigan, U.S.A (2014). Invited speaker.
    Paper: Geometrically Designed Variable Knots Regression Splines with Applications in Actuarial modeling
    Author: Kaishev, V.K.
  5. 2nd ISNPS (International Society of NonParametric Statistics) Conference. (Conference) Cadiz, Spain (2014). Invited speaker.
    Paper: GeD spline smoothing with applications in copula estimation
    Author: Kaishev, V.K.
  6. FISC (Flint International Statistical Conference) One City – 100 Years Under Variability. (Conference) Kettering University, Flint, Michigan, U.S.A. (2014). Organising Committee.
  7. LSE Risk and Stochastics conference. (Conference) LSE, London (2014). Invited speaker.
    Paper: Ruin probabilities Appell structures and related dualities
    Author: Kaishev V.K.
  8. Imperial College London, Statistics Seminars. (Seminar) Imperial Colledge London (2013). Invited speaker.
    Paper: Multivariate Dirichlet splines and related Lévy processes:parameter estimation and applications
    Author: Kaishev V.K.
  9. 17th INFORMS Applied Probability Society Conference. (Conference) Costa Rica (2013). Invited speaker.
    Paper: Ruin Porbability and Related Dual Models
    Author: Kaishev, V.K
  10. 17th INFORMS Applied Probability Society Conference, 15-17 July 2013. (Conference) Costa Rica (2013). Chair.
  11. Barclays Bank's Global Quants Seminar. (Seminar) London, UK (2013). Invited speaker.
    Paper: On Some Applications of Spline Functions in Quantitative Finance
    Author: Kaishev, V.K
  12. QUANT Congress Europe. (Conference) London, UK (2013). Invited speaker.
    Paper: Fourier Transform B-spline method for option pricing
    Author: Kaishev, V. K.
    Co-authors: Haslip, G.G.
  13. LMS-EPSRC Short Course: Common Themes in Financial and Actuarial Mathematics. (Conference) Institute for Financial and Actuarial Mathematics, University of Liverpool, UK (2013). Invited speaker.
    Paper: On a class of multivariate Levy processes induced by Dirichlet splines and their application to finance and insurance
    Author: Kaishev, V.K.
  14. The 7th Bachelier Colloquium in Mathematical Finance and Stochastic Calculus. (Conference) Metabief, France (2013). Invited speaker.
    Paper: On a class of multivariate Levy processes induced by Dirichlet splines and their application to finance
    Author: Kaishev, V.K.
  15. Interplay between Probability and Actuarial Sciences IPAS. (Workshop) Universite Libre de Bruxelles, Brussels, Belgium (2012). Invited speaker.
    Paper: Efficient Dirichlet bridge sampling of the Gamma and variance gamma processes with application to option pricing
    Author: Kaishev, V.K
  16. International Conference on Probability Theory and its Applications (Gnedenko 100 Conference). (Conference) Moscow State University, Moscow, Russia (2012). Invited speaker.
    Paper: On the Probability of Ruin and the Deficit at Ruin
    Author: Kaishev, V.K.
  17. IWAP 2012 - International Workshop on Applied Probability. (Workshop) Jerusalem, Israel (2012). Invited speaker.
    Paper: On the Joint Distribution of the Time to Ruin, the Deficit at Ruin and the Surplus Prior to Ruin
    Author: Kaishev, V.K.
    Co-authors: Ignatov, Z.G.
  18. 7th Conference on Actuarial Science and Finance on Samos. (Conference) University of the Aegean, Karlovasi, Samos, Greece (2012). Invited speaker.
    Paper: Ruin Probabilities and (Exponential) Appell Polynomials
    Author: Kaishev, V.K.
  19. Joint Seminar of the Faculty of Actuarial Science and Insurance and Faculty of Finance, Cass Business School. (Seminar) Cass Business School, City University London, UK, (2011).
    Paper: Stochastic processes induced by Dirichlet (B-)splines: modelling multivariate asset price dynamics
    Author: Kaishev, V.K
  20. 4th CSDA International Conference on Computational and Financial Econometrics (CFE’10). (Conference) (2010). Invited speaker.
    Paper: Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance
    Author: Kaishev, V.K.
  21. 4th CSDA International Conference on Computational and Financial Econometrics (CFE’10), 10-12 December 2010. (Conference) University of London, London, UK (2010). Chair.
  22. University of Manchester, School of Mathematics, Probability and Statistics Research Seminars. (Seminar) University of Manchester, Manchester, UK (2010). Invited speaker.
    Paper: Linear combinations of Gamma, (LG) processes and Dirichlet (B-) splines: Applications in finance and insurance
    Author: Kaishev, V.K.
  23. International Workshop in Applied Probability (IWAP 2010). (Conference) Universidad Carlos III de Madrid, Colmenarejo, Madrid, Spain (2010). Invited speaker.
    Paper: Ruin-probabilistic estimation of operational risk capital in finance and insurance
    Author: Kaishev, V.K.
  24. Colloquia of the Department of Statistical and Actuarial Sciences, University of Western Ontario. (Seminar) University of Western Ontario, London, Western Ontario, Canada (2010). Invited speaker.
    Paper: Operational Risk Capital Assessment, Based on Ruin and the Deficit at Ruin
    Author: Kaishev, V.K
  25. 14th International Congress on Insurance: Mathematics and Economics. (Conference) University of Toronto, Toronto, Ontario, Canada (2010).
    Paper: Linear Combinations of Gamma Processes and Dirichlet (B-)splines:Applications in Finance and Insurance
    Author: Kaishev, V.K.
  26. Third International Gerber-Shiu Workshop. (Workshop) University of Waterloo, Waterloo, Ontario, Canada (2010). Invited speaker.
    Paper: On the (joint) distribution of the time of ruin and the deficit at ruin
    Author: Kaishev, V.K
  27. King's College Financial Mathematics and Applied Probability Seminars 2009-2010. King's College, London (2009). Invited speaker.
    Paper: Stochastic processes induced by Dirichlet (B-) splines with applications in finance and insurance
    Author: Kaishev V.K.
  28. Workshop on Copula Theory and its Applications, Warsaw. (Workshop) Faculty of Mathematics, Informatics, and Mechanics, University of Warsaw, Poland (2009).
    Paper: Copulas Induced by the Dirichlet Distribution and B-splines
    Author: Kaishev V.K.
  29. 2b) or not 2b) Conference in honor of Professor Hans U . Gerber. University of Lausanne, Switzerland (2009).
    Paper: Finite-time ruin probability formulae for Erlang claim inter-arrival times and dependent claim amounts
    Author: Kaishev V.K.
    Co-authors: Ignatov, Z.G.
  30. Mortality and Longevity- Making Financial Sense of the Highly Uncertain. (Seminar) Royal College of Physicians, London, UK (2009). Invited speaker.
    Paper: Modelling the joint Distribution of Competing Risks Survival Times Using Copula Functions
    Author: Kaishev V.K.
    Co-authors: Dimitrova, D.S., Haberman, S.
  31. 3rd International Conference on Mathematics in Finance (MiF 2008). (Workshop) Kruger National Park, South Africa (2008).
    Paper: Dirichlet bridge sampling for the variance gamma process: pricing path-dependent options
    Author: Kaishev, V.K.
    Co-authors: Dimitrova, D.S.
  32. 12th International Congress on Insurance: Mathematics and Economics (IME 2008). (Conference) Dalian, China (2008).
    Paper: On Finite-time Ruin Under Erlang Claim Inter-arrivals
    Author: Kaishev, V.K.
    Co-authors: Ignatov, Z.G.
  33. International Workshop on Applied Probability. (Workshop) Université de Technologie de Compiègne, France (2008). Invited speaker.
    Paper: Finite-time Probability of Ruin Under Erlang Claim Inter-arrivals
    Author: Kaishev, V.K.
    Co-authors: Ignatov, Z.G.
  34. Statistics Research Seminar Series. University of Southampton, UK (2008). Invited speaker.
    Paper: Modelling the joint distribution of competing risks survival times using copula functions
    Author: Kaishev, V.K.
    Co-authors: Dimitrova, D.S., Haberman, S.
  35. 37th ASTIN colloquium. (Conference) Dimitrova, D.S. and Ignatov, Z.G. (2007).
    Paper: Operational Risk and Insurance: A Ruin probabilistic reserving approach
    Author: Lake Buena Vista, Florida, USA
    Co-authors: Kaishev, V.K.
  36. Faculty of Actuarial Science and Insurance Seminar. (Seminar) Cass Business School, London, UK (2007).
    Paper: Copulas induced by the Dirichlet distribution and B-splines
    Author: Kaishev, V.K.
  37. Quantitative Methods in Finance (QMF 2006). (Conference) Sydney, Australia (2006).
    Paper: On B-spline related stochastic processes and some applications in finance and insurance
    Author: Kaishev, V.K.
  38. 4th Conference in Actuarial Science & Finance on Samos. (Conference) Samos, Greece (2006).
    Paper: Optimal joint survival reinsurance: an efficient frontier approach
    Author: Kaishev, V.K.
    Co-authors: Dimitrova, D.S.
  39. 10th International Congress on Insurance: Mathematics and Economics (IME 2006). (Conference) Leuven, Belgium (2006).
    Paper: On the infinite-time ruin and the distribution of the time to ruin
    Author: Kaishev V.K.
    Co-authors: Dimitrova, D.S.
  40. 9th International Congress on Insurance: Mathematics and Economics (IME 2005). (Conference) Quebec city, Canada (2005).
    Paper: Optimal reinsurance, assuming joint survival of cedent and reinsurer
    Author: Kaishev, V.K.
    Co-authors: Dimitrova, D.S.
  41. 8th International Congress on Insurance: Mathematics and Economics (IME 2004). (Conference) Rome, Italy (2004).
    Paper: Modelling Competing Risks Survival Times Using Copulas
    Author: Kaishev, V.K.
    Co-authors: Dimitrova, S.D. and Haberman, S.
  42. Seminar of the Department of Mathematics and Statistics. (Seminar) UMIST, Manchester (2004). Invited speaker.
    Paper: Can (re)-insurance risk be optimally shared
    Author: Kaishev, V.K.
  43. 2nd International Workshop in Applied Probability (IWAP 2004). (Conference) Piraeus, Greece (2004). Invited speaker.
    Paper: On the Probability of Ruin in Infinite Time for Integer Valued Claims
    Author: Kaishev, V.K.
    Co-authors: Ignatov, Z.G.
  44. 7th International Congress on Insurance: Mathematics and Economics (IME 2003). (Conference) Lyon, France (2003).
    Paper: Finite-time Ruin Probability for Continuous Dependent Claims
    Author: Kaishev, V.K.
  45. 2nd Conference in Actuarial Science & Finance on Samos. (Conference) Samos, Greece (2002).
    Paper: Evaluation of the Probability of Ruin in Finite time when the claim size distribution is Continuous
    Author: Kaishev, V.K.
  46. 6th International Congress on Insurance: Mathematics and Economics (IME 2002). (Conference) Lisbon, Portugal (2002).
    Paper: Evaluation of the Probability of Ruin in Finite time when the claim size distribution is Continuous
    Author: Kaishev, V.K.
  47. Statistics Seminar of the School of Mathematics and Statistics, UNSW. (Seminar) School of Mathematics and Statistics, The University of New South Wales, Sydney (2001). Invited speaker.
    Paper: On Ruin Probabilities in Insurance and Reinsurance
    Author: Kaishev, V.K.
  48. 9th EURACS Conference and Workshops on Pensions In Europe - 'A European Focus'. (Conference) Radisson SAS Palais Hotel, Vienna (2000). Invited speaker.
    Paper: Status of Pension Legislation in Eastern Europe: The Bulgarian Experience
    Author: Kaishev, V.K.
    Co-authors: Todorov, N.
  49. 35th Actuarial Research Conference (ARC 2000). (Conference) Universite Laval, Quebec City, Quebec, Canada (2000).
    Paper: Animated survival probabilities surfing on the wave of success
    Author: Kaishev, V.K.
  50. 4th International Congress on Insurance: Mathematics and Economics (IME2000). (Conference) University of Barcelona (2000).
    Paper: An improved finite-time ruin probability formula and its "Mathematica" implementation
    Author: Kaishev, V.K.
  51. International Conference "Applied Probability Week". (Conference) Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh (1998).
    Paper: On Some Actuarial Encounters with Spline Functions
    Author: Kaishev, V.K.
  52. International Conference of Actuarial Science: Theory, Education and Implementation. (Conference) Steklov Mathematical Institute, Moscow (1997). Invited speaker.
    Paper: Two-sided Bounds for the Finite-time Probability of Ruin
    Author: Kaishev, V.K.
    Co-authors: Ignatov, Z.G.
  53. International Workshop on Ruin Probability. (Conference) Bankya, Bulgaria (1996). Invited speaker.
    Paper: On the calculation of finite-time ruin probability in the case of multiple claims
    Author: Kaishev, V.K