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World of Statistics  

Laurens de Haan
Doctor honoris causa (Universidade de Lisboa)

Prof. Jubilado
Study of Mathematics, University of Amsterdam.
Theoretical and applied work in probability and statistics at the Mathematisch Centrum, Amsterdam
Doctorate in Mathematics, University of Amsterdam (Thesis: "On regular variation and sample extremes", advisor: Prof. J. Th. Runnenburg).
Visiting assistant professor, Stanford University.
Professor of probability and mathematical statistics, Economische Faculteit, Erasmus Universiteit,
Fellow I.M.S.
Guest Professor (a honorary degree), Peking University.
Doctor honoris causa, Universidade de Lisboa.

Laurens de Haan
  • Doctoral students:

    E. Omey (1982, partially), J.B.G. Frenk (1983), J.L. Geluk (1983), S. Schim van der Loeff (1987, partially), H. Brozius (1989), A. Dekkers (1991), Huang Xin (1992), A.K. Sinha (1997), L. Peng (1998), G. Draisma (2001), T. Lin (2002), A. Ferreira (2002), D. Li (2004), C. Neves (2006, partially),C.Zhou (2008). Present doctoral students: J.J. Cai (since 2009).

Investigação: Assuntos de interesse:
  • Regular Variation
  • Extreme Value Theory
  • Statistics for Extreme Values
Outras actividades Profissionais:
  • "Overschrijdingslijnen", a project based on extreme-value analysis, meant to provide new standards for the Dutch sea defenses. Joint project with people from "Rijkswaterstaat" (the Dutch government agency overseeing the sea defenses, among other things), the Royal Netherlands Meteorological service and CWI (Centre for Mathematics and Computer Science in Amsterdam). Commissioned by the Ministry of Public Works (1984-1992).
    "Neptune", a larger scale but similar project, sponsored by the European Union via the MAST program and in cooperation with BMT Port \& Coastal Limited; Delft Hydraulics; Rijkswaterstaat; GKSS-Forschungszentrum Geest\-hacht GmbH; University of Lancaster; University of East Anglia. Novel aspects are: firstly the wide-ranging set-up starting from climatological data going down to the water levels and movements near the British and Dutch coasts and secondly the higher-dimensional statistical set-up in the extreme-value analysis (1995-1997). Finished March 1997.
    I have been Associate Dean of the School of Economics (1990-1992).
    NATO collaborative research grant (1991-1995) with Sidney Resnick, Cornell University.
    European Union grant "Training through research" (cat. 40) in the "Training and Mobility of Researchers" program. University of Lisbon, January through June 1997.
    "Extreme interest rates", a project for ING insurance company; jointly with H. Drees, Heidelberg (1999-2000).
Disciplinas leccionadas:
  • Teaching activities:

    Regular undergraduate courses in Probability and Statistics, including Stochastic Processes.
    Some optional courses taught:
    Time series analysis
    Sufficient statistics
    Fundamental probability (including measure theory)
    Stochastic methods in finance
    Reliability theory
    Insurance mathematics
    Extreme value theory
Publicações mais recentes:
  • L. de Haan, C. Mercadier and C. Zhou (2016) Adapting extreme value statistics to financial time series: dealing with bias and serial dependence. Finance and Stochastics, 20, 321-254.
  • J.H.J. Einmahl, L. de Haan and C. Zhou (2016) Statistics of heteroscedastic extremes. Journal of the Royal Statistical Society, Series B, 78, 31-51.
  • L. de Haan, A. Klein Tank and C. Neves (2015). On tail trend detection: modeling relative risk. Extremes, 18, 141-178.
  • L. de Haan (2015). Convergence of heteroscedastic extremes. Statistics and Probability Letters, 101, 38-39.
  • A. Ferreira and L. de Haan (2015). On the block maxima method in extreme value theory. Annals of Statistics, 43, 276-298.
Outras Publicações relevantes:
  • A.-L. Fougères, L. de Haan and C. Mercadier (2015). Bias correction in multivariate extremes. Annals of Statistics, 43, 903-934
  • H. Drees and L. de Haan (2015). Estimating failure probabilities. Bernoulli, 21(2), 957-1001.

  • L. de Haan, C. G. de Vries and C. Zhou (2013). The number of active bidders in Internet auctions, Journal of Economic Theory, 148, 1726-1736.
  • A. Ferreira, L. de Haan and C. Zhou (2012). Exceedance probability of a stochastic process. J. Multiv. Analysis, 105, 241-257.
  • J.Cai, J.Einmahl and L. de Haan (2011) Estimation of extreme risk regions under multivariate regular variation. Annals of Statistics,39,1903-1826.


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