Andreas Lagerås

Docent in Mathematical Statistics

Research

Currently I mostly do research in financial and actuarial mathematics, and probability theory in general. I have previously worked on modelling biological processes. At the moment I also work for AFA Insurance on strategic asset allocation, and asset and liability management. You can find some of my presentations on the latter subject below.

• Asset Liability Management in a Large Insurance Company, Royal Institute of Technology (KTH), Dept. Mathematics, 2010-05-17.
  
  
• Matematiskt statistik i praktiken: asset-liability management i ett försäkringsbolag. (My docent lecture/docentföreläsning). Stockholm University, Dept. Mathematics, 2010-11-10.
  
  
• Regulatory return targets, Royal Institute of Technology (KTH), Dept. Mathematics, 2015-05-11.

Supervision

I supervised Patrik Andersson who defended his doctoral thesis 26 August 2011.

Publications

Published

1. (2019) A. Lagerås and M. Lindholm. How to ask sensitive multiple choice questions. Scandinavian Journal of Statistics doi:10.1111/sjos.12411 (preprint).
   
   
2. (2016) A. Lagerås and M. Lindholm. Issues with the Smith-Wilson method. Insurance: Mathematics and Economics 71, 93–102, doi:10.1016/j.insmatheco.2016.08.009 (preprint).
   
   
3. (2016) A.N. Lagerås and D. Seim. Strategic complementarities, network games and endogenous network formation, International Journal of Game Theory 45.3, 497–509, doi:10.1007/s00182-015-0466-x (preprint).
   
   
4. (2013) P. Andersson and A.N. Lagerås. Optimal bond portfolios with fixed time to maturity, Insurance: Mathematics and Economics 53.2, 429–438, doi:10.1016/j.insmatheco.2013.07.009 (preprint).
   
   
5. (2010) A.N. Lagerås. Copulas for Markovian dependence, Bernoulli 16.2, 331–342, doi:10.3150/09-BEJ214 (local copy).
   
   
6. (2010) A.N. Lagerås. Commutation functions under Gompertz-Makeham mortality, Scandinavian Actuarial Journal 2010.2, 161–164, doi:10.1080/03461230903344181 (preprint).
   
   
7. (2008) P. Jagers and A.N. Lagerås. General branching processes conditioned on extinction are still branching processes, Electronic Communications in Probability 13, 540–547, doi:10.1214/ECP.v13-1419 (local copy).
   
   
8. (2008) T. Britton, M. Deijfen, A.N. Lagerås and M. Lindholm. Epidemics on random graphs with tunable clustering, Journal of Applied Probability 45.3, 743–756, doi:10.1017/S002190020000468X (preprint).
   
   
9. (2008) A.N. Lagerås and M. Lindholm. A note on the component structure in random intersection graphs, Electronic Journal of Combinatorics 15.1, N10 (local copy).
   
   
10. (2008) A.N. Lagerås and S. Sagitov. Reduced branching processes with very heavy tails, Journal of Applied Probability 45.1, 190–200, doi:10.1017/S0021900200004058 (preprint).
    
    
11. (2007) A.N. Lagerås. A population model for Λ-coalescents with neutral mutations, Electronic Communications in Probability 12, 9–20, doi:10.1214/ECP.v12-1245 (local copy).
    
    
12. (2006) A.N. Lagerås and A. Martin-Löf. Genealogy for supercritical branching processes, Journal of Applied Probability 43.4, 1066–1076, doi:0.1017/S0021900200002436 (preprint).
    
    
13. (2005) A.N. Lagerås. A renewal-process-type expression for the moments of inverse subordinators, Journal of Applied Probability 42.4, 1134–1144, doi:10.1017/S0021900200001169 (preprint).
    
    
14. (2005) A.N. Lagerås and Ö. Stenflo. Central limit theorems for contractive Markov chains, Nonlinearity 18.5, 1955–1965, doi:10.1088/0951-7715/18/5/005 (reprint).
    
    

Reports

• (2018) A. Lagerås. Heuristics for Swedish style bond futures. (preprint).
  
  
• (2014) A. Lagerås. How to hedge extrapolated yield curves (preprint).
  
  
• (2012) E. Gustafsson, A.N. Lagerås and M. Lindholm. Simulation based claims reserving in general insurance (report).
  
  

Awards

For my doctoral thesis which consists of my first four articles.

• Junior Statistician of the year 2007 (Årets yngre statistiker) by the former Swedish Statistical Association (Svenska Statistikersamfundet), currently Swedish Statistical Society (Svenska statistikfrämjandet).
  
  
• Best thesis within the Faculty of Science, awarded by the University Association (Högskoleföreningen) 2008.

[Updated 2023-09-07]