Dimitrina Dimitrova

Dr Dimitrina S. Dimitrova is a Senior Lecturer in Actuarial Science at the Faculty of Actuarial Science and Insurance (FASI), Cass Business School, City University London. She joined FASI in October 2004 as a Research Assistant, in January 2008 was appointed as an RCUK Academic Fellow and became a Lecturer in January 2011.

Dr Dimitrova holds an MSc (with distinction) in Applied Mathematics with specialization in probability and statistics from the Faculty of Mathematics and Informatics, Sofia University. She obtained a PhD in Actuarial Science from Cass Business School, City University London in 2008. From 2001 to 2003 Dr Dimitrova has worked as a Risk Analyst in the Risk Analysis and Control Department of the Central Bank of Bulgaria. For two academic years, she has also been a visiting lecturer in Mathematical Finance and Differential Equations at the Faculty of Mathematics and Informatics, Sofia University.

Dr Dimitrova holds the Chartered Financial Analyst designation since 2006, she is a member of the CFA Institute, USA and the CFA Society of the UK.

In 2010, Dr Dimitrova was awarded a Postgraduate Certificate in Academic Practice (with distinction) and in June 2011 became a Fellow of the Higher Education Academy, UK.

Qualifications

• BSc, Sofia University, unknown
• MSc, Sofia University, unknown
• PhD, City University London, United Kingdom
• PG Cert, City University London

Fellowships

Research Council UK Academic Fellow, Cass Business School, City University London, Jan 2008 – Dec 2010

Memberships of Professional Organisations

• Fellow, The Higher Education Academy, UK, Jun 2011 – present
• CFA charterholder, CFA (Chartered Financial Analyst) Institute, USA, Jun 2006 – present
• CFA charterholder, CFA (Chartered Financial Analyst) Society of the UK, Jun 2006 – present

Awards

• School Prizes Committee, Cass Business School, City University (2013) Certificate for Excellence
• Awarded a Certificate for Excellence in Undergraduate Teaching
• CFA (Chartered Financial Analyst) Institute (2011) Five Year Certificate of Achievement
• Five Year Certificate of Achievement in recognition of dedication to professional excellence through participation for five consecutive years in the CFA Institute Continuing Education Program.
• City University London Prizes Committee (2010) University Staff 2010 Excellence in Research Prize
• School Prizes Committee, Cass Business School, City University (2009) Certificate for Excellence
• 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 and Russian.

Expertise

Primary Topics

• Actuarial Science
• Actuarial Statistics
• Derivatives
• Mathematical Finance
• Simulation Methods
• Statistics

Additional Topics

• Life Insurance
• Non-life Insurance
• Reinsurance
• Risk Management

Industries/Professions

• banking
• financial services
• insurance

Geographic Areas

Americas - North Europe Europe - Eastern

Research

Research has been performed in the following main areas • the probability of ruin of an insurance company in a general dependent (dual) 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; • exotic option pricing under the Variance Gamma process; • new spline fitting method using Geometrically designed, variable knot regression splines (GeDS); • computing the two-sided Kolmogorov-Smirnov distribution when the underlying cdf is (dis)continuous.

Research Topics

• risk and ruin theory
• optimal reinsurance from the perspective of both the direct insurer and the reinsurer
• competing risks models and applications to insurance
• Monte Carlo methods for exotic option pricing

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.

Journal Articles (15)

• 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.
• Kaishev, V.K., Dimitrova, D.S., Haberman, S. and Verrall, R.J. (2016). Geometrically designed, variable knot regression splines. Computational Statistics, 31(3), pp. 1079–1105. doi:10.1007/s00180-015-0621-7.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• Kaishev, V.K., Dimitrova, D.S. and Ignatov, Z.G. (2008). Operational risk and insurance: a ruin probabilistic reserving approach. JOURNAL OF OPERATIONAL RISK, 3(3), pp. 39–60.
• 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.
• 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.
• 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.
• Kaishev, V. and Dimitrova, D. (2005). Optimal reinsurance, assuming Joint survival of cedent and reinsurer. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 385–385.
• Dimitrova, D.S. and Kaishev, V.K. (2003). Finite time ruin probabilities for continuous dependent claims. INSURANCE MATHEMATICS & ECONOMICS, 33(2), pp. 426–426.

Course Directorship

• 2011, The Faculty of Actuarial Science and Insurance (FASI) seminar, Organizer

Subject/Academic Leadership

In August 2011 I became the organizer of the Faculty of Actuarial Science and Insurance (FASI) seminar.

Since then I initiated and with the support of the HoD and the Deputy Dean, we held meetings with various colleagues from FASI and Cass Business School working on improving the external visibility of our seminar among academics and practitioners, in particular within the actuarial profession. The concrete changes/improvements which were undertaken led to an increasing number of practitioners and academics from other universities attending our seminar series. The latter is also expected to facilitate the KT/Enterprise processes/projects with the profession.

Editorial Activities (4)

• European Journal of Operational Research, Referee, 2015 – present.
• Annals of Actuarial Science, Referee, 2014 – present.
• European Actuarial Journal, Referee, 2013 – present.
• Insurance: Mathematics and Economics, Referee, 2011 – present.