Mogens Bladt

Mogens Bladt

Professor

ORCID: 0000-0003-4795-2773

Sprogkundskaber

Dansk (modersmål), Engelsk (flydende) , Spansk (flydende), Tysk (forståelse 100%, tale:50%)

EMPLOYMENT

National University of Mexico

Institute for Applied Mathematics and Systems, 1994-2018
Principal researcher.

University of Copenhagen

Department of Mathematical Sciences, 2018-
Professor of Applied Probability and Insurance Mathematics

VISITING POSITIONS

University of Copenhagen

Laboratory of Insurance Mathematics, 2001-2002 Guest Professor.

Technical University of Denmark (DTU)
Institute for Mathematical Modelling, 2007-2008

Guest Professor.

University of Copenhagen

Department of Mathematical Sciences, 2015-2017
Guest Professor.

 

ACADEMIC–ADMINISTRATIVE WORK

• Associate Editor, Stochastic Models, 1997–
• Founder of Master programme in Financial Mathematics, National Autonomous University of Mexico, 2003.

• Organiser of various workshops and sessions: 1998, 1999, 2003, 2010. 

• Department Chair, 2009-2012.

EXTERNAL FUNDING

• Science foundation grants (Mexico) in 1997, 2007.
• Project with Mexico City police concerning crime prediction.
• Project with Mexican Supreme Court regarding capacity prediction.
• External funding, Danish research council, 2007–2008, No. 274-07-0090.

• Numerous Diploma courses.

TEACHING AND SUPERVISION

• Graduate courses in Applied Probability, Stochastic processes, time–series analysis, simulation, risk theory, finance, inference for stochastic processes, life–insurance.

• Undergraduatecoursesinnumericalanalysis,time–seriesanalysis,riskthe- ory and Applied Probability.

• Supervision of 13 Bachelor thesis. • Supervision of 8 Master thesis.
• Supervision of 5 PhD thesis.

SOFTWARE IMPLEMENTATIONS

The following R packages are based on our methods (third party implementa- tions).

  • https://cran.r-project.org/web/packages/ctmcd/ctmcd.pdf
    (Routines for fitting discretely observed Markov jump processes based on Bladt & Sørensen (2005,2009))

  • https://cran.r-project.org/web/packages/sde/sde.pdf (Routine for simple diffusion bridge simulation. Related to M. Bladt & M. Sørensen (2013)).

  • https://cran.r-project.org/web/packages/PhaseType/PhaseType.pdf (Routine for fitting phase–type distributions via MCMC based on M. Bladt, A. Gonzalez & S. L. Lauritzen (2003)).

Uddannelse

PhD

ID: 141785158