Filip Lindskog

Background

MSc KTH Royal Institute of Technology 2000, PhD ETH Swiss Federal Institute of Technology 2004, Assistant/associate professor at the division of mathematical statistics at KTH 2004-2015, director of studies in financial mathematics at KTH 2009-2015, director of the master's program Applied and Computational Mathematics at KTH 2012-2015, director of the master's program Actuarial Mathematics at SU since 2016, professor of insurance mathematics at Stockholm University since 2015, head of the division Mathematical Statistics since 2018. Editor of Scandinavian Actuarial Journal since 2018.

Teaching Filip Lindskog

I have given courses in financial mathematics, portfolio theory, quantitative risk management, non-life insurance mathematics, non-life insurance pricing, time series analysis, regression analysis and probability theory. I have co-authored the book

Risk and Portfolio Analysis: Principles and Methods

which combines useful practical insights with rigorous yet elementary mathematics, and is intended for undergraduate engineering or mathematics students.


Research

I do research in probability and statistics with emphasis on insurance and financial mathematics.

Current PhD students:
Nils Engler
Lina Palmborg

Former PhD students:
Hampus Engsner (2021): Dynamic valuation of insurance cash flows subject to capital requirements
Jonas Alm (2015): Insurance: solvency and valuation
Johan Nykvist (2015): Topics in importance sampling and derivatives pricing

Former postdocs:
Julie Thøgersen (visiting postdoc)
Abhishek Pal Majumder
Kristoffer Lindensjö

Publications and preprints

  • 2021. Engsner, H., Lindskog, F., Thøgersen, J.:
    Multiple-prior valuation of cash flows subject to capital requirements
    Submitted. arXiv:2109.00306 PDF or slides
  • 2021. Palmborg, L., Lindholm, M., Lindskog, F.:
    Financial position and performance in IFRS 17
    Scandinavian Actuarial Journal 2021:3, 171-197. Open access PDF
  • 2020. Lindskog, F., Pal Majumder, A.:
    Exact long time behavior of some regime switching stochastic processes
    Bernoulli 26(4), 2572-2604. DOI: 10.3150/20-BEJ1196 Open access PDF
  • 2020. Lindensjö, K., Lindskog, F.:
    Optimal dividends and capital injection under dividend restrictions
    Mathematical Methods of Operations Research 92, 461-487. DOI: 10.1007/s00186-020-00720-y Open access PDF
  • 2020. Engsner, H., Lindskog, F.:
    Continuous-time limits of multi-period cost-of-capital margins
    Statistics & Risk Modeling 37, 79-106. DOI: 10.1515/strm-2019-0008 Open access PDF
  • 2020. Lindholm, M., Lindskog, F., Wahl, F.:
    Estimation of conditional mean squared error of prediction for claims reserving
    Annals of Actuarial Science 14(1), 93-128. DOI: 10.1017/S174849951900006X Open access PDF or slides
  • 2020. Engsner, H., Lindensjö, K., Lindskog, F.:
    The value of a liability cash flow in discrete time subject to capital requirements
    Finance and Stochastics 24(1), 125-167. DOI: 10.1007/s00780-019-00408-0 Open Access PDF
  • 2017. Lindholm, M., Lindskog, F., Wahl, F.:
    Valuation of non-life liabilities from claims triangles
    Risks 2017 5(3), 39; doi:10.3390/risks5030039 Open access PDF
  • 2017. Engsner, H., Lindholm, M., Lindskog, F.:
    Insurance valuation: a computable multi-period cost-of-capital approach
    Insurance Mathematics and Economics: 72C (2017) pp. 250-264. PDF
  • 2015. Alm, J., Lindskog, F.:
    Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
    Risks 2015, 3(3), 338-364; doi:10.3390/risks3030338 Open access PDF
  • 2015. Hult, H., Lindskog, F.:
    Flervalsprov för effektiv styrning mot sammansatta kunskaper och bättre projektarbeten
    Högre utbildning: 5, 107-119. PDF
  • 2014. Lindskog, F, Resnick, S.I., Roy, J:
    Regularly varying measures on metric spaces: hidden regular variation and hidden jumps
    Probability Surveys: 11, 270-314. Open access PDF
  • 2013. Hult, H, Lindskog, F, Nykvist, J:
    A simple time-consistent model for the forward density process
    The International Journal of Applied and Theoretical Finance: 16(8) PDF
  • 2013. Alm, J, Lindskog, F:
    Foreign-currency interest-rate swaps in asset-liability management for insurers European Actuarial Journal: 3(1), 133-158. PDF
  • 2012. Hult, H, Lindskog, F, Hammarlid, O, Rehn, C J:
    Risk and Portfolio Analysis: Principles and Methods (Book)
    Springer Series in Operations Research and Financial Engineering
  • 2012. Perninge, M, Lindskog, F, Söder, L:
    Importance sampling of injected powers for electric power system security analysis
    IEEE Transactions on Power Systems 27(1), 3-11.
  • 2011. Hult, H, Lindskog, F:
    Ruin probabilities under general investments and heavy-tailed claims
    Finance and Stochastics 15(2), 243-265. PDF
  • 2009. Boman, J, Lindskog, F:
    Support theorems for the Radon transform and Cramér-Wold theorems
    Journal of Theoretical Probability 22(3), 683-710. PDF
  • 2007. Hult, H, Lindskog, F.:
    Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
    Annals of Probability 35(1), 309-339. Open access PDF
  • 2006. Hult, H, Lindskog, F.:
    Regular variation for measures on metric spaces
    Publications de l'Institut Mathématique, Nouvelle Série 80, 121-140.
  • 2006. Hult, H, Lindskog, F.:
    Heavy-tailed insurance portfolios: buffer capital and ruin probabilities PDF
    Technical Report No. 1441, School of ORIE, Cornell University, 2006.
  • 2006. Hult, H, Lindskog, F.:
    On regular variation for infinitely divisible random vectors and additive processes
    Advances in Applied Probability 38(1), 134-148.
  • 2006. Hult, H, Lindskog, F.:
    On Kesten's counterexample to the Cramér-Wold device for regular variation
    Bernoulli 12(1), 133-142.
  • 2005. Hult, H, Lindskog, F, Mikosch, T, Samorodnitsky, G.:
    Functional large deviations for multivariate regularly varying random walks
    Annals of Applied Probability 15(4), 2651-2680. Open access PDF
  • 2005. Hult, H, Lindskog, F.:
    Extremal behavior of regularly varying stochastic processes
    Stochastic Processes and their Applications 115(2), 249-274. Open access PDF
  • 2003. Daul, S, De Giorgi, E, Lindskog, F, McNeil, A.:
    Using the grouped t-copula
    RISK Magazine 16(11), 73-76.
  • 2003. Lindskog, F, McNeil, A.:
    Common Poisson shock models: applications to insurance and credit risk modelling
    ASTIN Bulletin 33(2), 209-238.
  • 2003. Lindskog, F, McNeil, A, Schmock, U.:
    Kendall's tau for elliptical distributions
    In: Credit Risk. Measurement, Evaluation and Management Eds: G. Bol, G. Nakhaeizadeh, S. Rachev, T. Ridder, K.-H. Vollmer, Physica-Verlag, A Springer-Verlag Company, Heidelberg, 149-156.
    Preprint PDF
  • 2003. Embrechts, P, Lindskog, F, McNeil, A.:
    Modelling dependence with copulas and applications to Risk Management
    In: Handbook of Heavy Tailed Distributions in Finance Ed: S. Rachev, Elsevier, Chapter 8, 329-384.
  • 2002. Hult, H, Lindskog, F.:
    Multivariate extremes, aggregation and dependence in elliptical distributions
    Advances in Applied Probability 34(3), 587-608.