Vladimir Kaishev

Prof Vladimir Kaishev is a Professor of Actuarial Science at the Faculty of Actuarial Science and Insurance (FASI), Cass Business School, 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/Professions

• 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

Featured Publication

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

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

Journal Articles (33)

• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• Kaishev, V.K. (2013). Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics. Mathematical Finance, 23(2), pp. 217–247.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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 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.
• 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.
• 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.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. (2005). Optimal reinsurance, assuming Joint survival of cedent and reinsurer. INSURANCE MATHEMATICS & ECONOMICS, 37(2), pp. 385–385.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• 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.
• Villegas, A.M., Millossovich, P. and Kaishev, V.K. StMoMo: An R Package for Stochastic Mortality Modelling. Journal of Statistical Software

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

Editorial Activity

Economic Quality Control, Associate Editor, 2013 – present.