Curriculum Vitae


Addresses (office): Department of Statistics and Data Analysis
Faculty of Mathematics and Informatics
Nicolaus Copernicus University
12/18 Chopin Street, 87-100 Torun, Poland


(private): 22 Kraszewski Street, #9, 87-100 Torun, Poland
Phones : (48)-(56)-611-3462(office); (56)655-4039 (home)
e-mail: nagaev@mat.uni.torun.pl


Date of birth: September 7, 1937
Birthplace: Fergana, USSR
Marital status: Married
Nationality: Poland

EDUCATION
  • 1972 - Doctor of Phys.-Math. Sciences Leningrad State University, Leningrad, Russia Dissertation title: Large Deviations Probabilities for Sums of Independent Random Variables
  • 1963 - Candidate of Phys.-Math. Sciences Tashkent State University, Tashkent, Uzbekistan Dissertation title: Theorems on Large Deviations
  • 1960 - M. Sc. in Mathematics Tashkent State University, Tashkent, Uzbekistan
SCIENTIFIC RANKS
  • 2000 - Titular Professor of Poland
  • 1977 - Professor of Applied Mathematics Tashkent Motor and Highway Institute, Tashkent, Uzbekistan
  • 1968 - Senior Research Fellow Institute of Mathematics, Uzbek Academy of Sciences, Tashkent, Uzbekistan
ACADEMIC POSITIONS HELD
  • Jan. 2003 - present Professor, Chair Department of Statistics and Data Analysis, Faculty of Mathematics and Informatics, Nicolaus Copernicus University 12/18 Chopin Street, 87-100 Torun, Poland
  • 2002 - 2003 Professor Department of Probability Theory and Mathematical Statistics, Faculty of Mathematics and Informatics, Nicolaus Copernicus University 12/18 Chopin Street, 87-100 Torun, Poland
  • 1994 - 2002 Professor Extraordinary Faculty of Mathematics and Informatics, Nicolaus Copernicus University 12/18 Chopin Street, 87-100 Torun, Poland
  • 1988 - 1994 Head of Department Department of Mathematical Statistics Institute of Mathematics, Uzbek Academy of Sciences, Tashkent, Uzbekistan
  • 1977 - 1988 Professor, Chair Department of Applied Mathematics Tashkent Motor and Highway Institute, Tashkent, Uzbekistan
  • 1973 - 1977 Associate Professor, Chair Department of Applied Mathematics Tashkent Motor and Highway Institute, Tashkent, Uzbekistan
  • 1964 - 1973 Senior Researcher, Head Statistical Laboratory Institute of Mathematics, Uzbek Academy of Sciences, Tashkent, Uzbekistan
  • 1963 - 1964 Assistant Professor Department of Probability and Statistics Tashkent State University, Tashkent, Uzbekistan

AWARDS
1985 Beruni State Prize of Uzbekistan

AREAS OF INTEREST
  • Large deviations for sums of independent identically distributed variables and vectors.
  • Stochastic models: mathematics of finance, risk processes, branching processes, renewal processes, epidemics, etc.
  • Boundary problems for random walks.
  • Stable distributions: analytical properties, limit theorems, statistics, etc.
  • Stochastic geometry: functionals of convex hulls generated by point processes.
  • Statistics: invariant tests, extreme problems, stability of statistical decisions, etc.

SELECTED VISITS

  • Technical University of Dresden, Dresden, Germany November-December 1987, November-December 1989
  • Victoria University of Wellington, August 1990
  • Universite du Littoral, Dunkerque, France January-February 1996, May 1998
  • University of Science and Technology of Lille, Lille, France January-February 1995, February-March 2000, November-December 2001
  • University of Minnesota, Minnesota, Minneapolis, USA November 2002
  • University of Bonn, Bonn, Germany June 2003
SEMINARS GIVEN OVER THE LAST 5 YEARS
  1. 29.09.2004 Universit\'{e} des Sciences et Technologies de Lille, Lille, France: Diffusion approximation for the risky profit in a discrete time models of financial market.
  2. 08.07.2004: Rheinische Friedrich-Wilhelms-Universität, Bonn, Germany: Testing Hypotheses on Markov Chains.
  3. 06.07.2004: Ruhr-Universität, Bochum, Germany: Stable Distributions in $R^d$.
  4. 04.05.2004: College Park, University of Maryland at College Park: Diffusion approximation for the risky profit in a discrete time models of financial market.
  5. 13.04.04 Research Statistics Unit, GlaxoSmithKline, Philadelphia, PA, USA: Confidence intervals for divergences between two normal distributions.
  6. 26.06.2003: Rheinische Friedrich-Wilhelms-Universität, Bonn, Germany: "Diffusion approximation for the non-risky profit in a discrete time models of financial market.
  7. 06.26.03 Institute of Applied Mathematics, University of Bonn, Bonn, Germany: Asymptotics of risky and non-risky profits of an investor.
  8. 11.22.02 School of Mathematics, University of Minnesota, Minneapolis, USA: Hypothesis testing on Markov chains.
  9. 11.19.02 Research Statistics Unit, GlaxoSmithKline, Philadelphia, PA, USA Confidence regions of minimal volume.
  10. 12.14.02 Department of Mathematics, Northeastern University, Boston, MA, USA: Cramer's transformation in probability and statistics.
  11. 11.12.02 Department of Mathematics, Boston University, Boston, MA, USA: Multivariate stable distributions.
  12. 11.11.02 Department of Mathematical Sciences, Bentley College, Waltham, MA: Option pricing on the basis of discrete time models of financial markets.
  13. 11.07.02 School of Mathematics, University of Minnesota, Minneapolis, USA: On the risk-free profit of an investor.
  14. 09.06.02 Institute of Mathematics of Russian Academy of Science, St Petersburg, Russia: Large deviations and analytical properties of stable distributions.
  15. 05.28.02 Wroclaw Politechnika, Wroclaw , Poland: Limit theorems for the riskless profit of an investor.
  16. 05.16.02 Institute of Mathematics Polish Academy of Science, Warsaw, Poland: Prosperity paradox of risk theory.
  17. 12.12.01 Warsaw Politechnika, Warsaw, Poland: Analytical properties of stable distributions and asymmetric large deviation problems.
  18. 11.21.01: Universite des Sciences et Technologies de Lille, Lille, France: Proprietes asymptotiques des lois stables et les problemes asymetriques des grandes deviations.
  19. 11.19.01: Universite de Rennes 1, Rennes, France: Stability problems in option pricing.
  20. 11.13.01: Universite Louis Pasteur et CNRS, Strassbourg, France: Proprietes asymptotiques des lois stables et les problemes asymetriques des grandes deviations.
  21. 09.05.01 Institute of Mathematics, Uzbek Academy of Sciences, Tashkent, Uzbekistan: Multivariate stable distributions. Analytical properties, statistical inference.
  22. 01.24.01 Technische Universitaet, Vienna, Austria: Optimization problems in option pricing.
  23. 10.04.00 University of Maria Curie-Skladowska, Lublin, Poland: Confidence regions of minimal volume.
  24. 06.30.00 Central Institute of Economics and Mathematics, Moscow, Russia: On estimation of the Poisson spectral measure of a multidimensional stable law.
  25. 02.01.00 Universite Louis Pasteur et CNRS, Strassbourg, France: On the Bayes risk asymptotic under discriminating Markov chains.
  26. 02.02.00 Universite des Sciences et Technologies de Lille, Lille, France: Statistical inference about Markov processes.
  27. 03.16.00 Institute of Mathematics, PAN, Warsaw, Poland: Statistical inference about multivariate stable distributions.
  28. 12.07.99 University of Copenhagen, Copenhagen, Denmark: The accuracy of approximation in a boundary problem and its applications in risk theory.
  29. 11.16.99 University of Kaiserslautern, Kaiserslautern, Germany: On the precise asymptotic of the Bayes risk under discrimination between Markov chains.
  30. 02.17.99 Tel-Aviv University, Tel-Aviv, Israel: Extremal problems in option pricing.
CONSULTING ACTIVITIES
  1. Mathematical problems in geology: classification, prognonis, exploratory data analysis. Joint project with Ministry of Geology of Uzbekistan, Tashkent, Uzbekistan
  2. Controlling technological processes: optimal design, linear programming, queuing, etc. Joint project with the Tashkent Plant of Electronic Equipment, Tashkent, Uzbekistan
  3. Express diagnostics of diseases: discriminant analysis, principal components, etc. Joint project with Nuclear Physics Institute (Uzbek Academy of Sciences) and Ministry of Health of Uzbekistan, Tashkent, Uzbekistan
  4. Reliability of hydro-technical constructions: time series analysis. Joint project with the Research Project Institute "Hydro-project", Tashkent, Uzbekistan
  5. Reliability of mechanical devices: parameter estimation, incomplete data, extreme problems and stability of statistical decisions. Joint project with Ministry of Transportation of Uzbekistan
PH. D. THESES SUPERVISED
  1. Startsev, A. N. (1971). Stochastic models of epidemics.
  2. Anorina, L. A. (1972). Large deviations of sums of independent random vectors.
  3. Badalbaev, I. S. (1973). Statistics of the Galton-Watson process.
  4. Kim, L. V. (1976). Large deviations for sums of independent variables.
  5. Mukhomor, T.P. (1977). Stochastic models of epidemics.
  6. Tkachuk, S. G. (1977). Limit theorems for sums of independent variables in the case where the limiting distribution is stable.
  7. Shkolnik, S. M. (1985). Statistics and analytical properties of stable distributions.
  8. Yurovskaja, S.A. (1989). Statistics of the Weibull distribution.
  9. Sanginov, M. (1990). Asymptotic properties of the sample correlation matrix with almost degenerate true correlation matrix.
  10. Mukhamedzhanov, K. (1995). Large deviations for sums of independent variables.
  11. Schreiber, T. (2000). Stochastic geometry.
TEACHING ACTIVITIES
  • Mathematical Statistics (1968-1971, 1982-1984, 1991-1992, Tashkent State University, Tashkent, Uzbekistan;1994-present, Nicolaus Copernicus University, Torun, Poland).
  • Boundary problems for random walks (1970, Ashkhabad State University, Ashkhabad, Turkmenistan; 1987, Technical University of Dresden, Dresden, Germany).
  • Branching processes (1967-1971, Tashkent State University, Tashkent, Uzbekistan; Ashkhabad State University, Ashkhabad, Turkmenistan).
  • Probability Theory (1963-1971, Tashkent State University, Tashkent, Uzbekistan; 1973-1988, Tashkent Motor Highway Institute, Tashkent, Uzbekistan).
  • Mathematical programming (1973-1988, Tashkent Motor Highway Institute, Tashkent, Uzbekistan).
  • Optimization theory (1996-present, Nicolaus Copernicus University, Torun, Poland).
  • Reliability theory (1997-2002, Nicolaus Copernicus University, Torun, Poland).
  • Mathematical Analysis for engineering students (1973-1975, Tashkent Motor Highway Institute, Tashkent, Uzbekistan).
  • Topics in Mathematics of Finance (2002 - present, Nicolaus Copernicus University, Torun, Poland).
SERVICE ACTIVITIES
  • 1974, 76,77,80,83,86,87 Head of the Subject Committee in Mathematics, Admission Committee, Tashkent Motor Highway Institute
  • 1986 Member of the State Organizing Committee of the 1st Congress of the Bernoulli Society, Tashkent, Uzbekistan
  • 1978-1995 Reviewer for the Mathematical Reviews and Zentralblatt fuer Mathematik
  • 1992-1994 Member of the Expert Council in Mathematics of the Superior Qualifying Committee of Uzbekistan
  • 1992-1993 Scientific editor of Russian Encyclopedia of Probability and Statistics
  • 1991- present Associated editor of Annals of Institute of Statistical Mathematics
  • 1993-1994 Editor of the 1st issue of Russian Reviews in Applied and Industrial Mathematics. Series "Probability Theory and Mathematical Statistics"


Recent publications

  1. The riskless profit of the European option seller under a smooth payoff function. Economics and Math. Methods. 40, 1 (2004), 105-115 (with S. A. Nagaev in Russian).
  2. On the role played by extreme summands when a sum of independent and identically distributed random vectors is asymptotically alpha-stable. J. Appl. Prob. 47 , (2004), 437-454 (with Yu. Davydov)
  3. Limit theorems and testing hypotheses on the Markov chains. Discrete Mathematics 15 , 4 (2003), 35-65 (in Russian).
  4. Abelian theorems, limit properties of of conjugate distributions, and large deviations for sums of independent random vectors. Theory Appl. 48 , 4 (2003), 701-719 (with I. Khamdamov in Russian).
  5. Asymptotics of riskless profit under selling of discrete time call options Applicationes Mathematicae 30 , 2 (2003), 173-191 (with S. A. Nagaev).
  6. Asymptotic properties of stable densities and the asymmetric large deviation problems. Statistics and Probability Letters. 61 , 4 (2003), 429 - 438.
  7. An asymptotic formula for the Neyman-Pearson risk in discriminating between two Markov chains. Journal of Mathematical Sciences 111 , 3, 2002, 3592-3600.
    8. Two remarks on a discrete model of financial market. Economics and Math. Methods 38, 3(2002), 129 - 133 (in Russian with S. Nagaev)
  8. Limit theorems and simulation of stable random vectors. In: Limit Theorems in Probability and Statistics, Balatonelelle, 1999, (I. Berkes, E. Cs\'aki, M. Cs\"org\H{o}, eds.) J\'anos Bolyai Mathematical Society, Budapest, Vol. I(2002), 495-519 (with Yu. Davydov).
  9. The Bayes risk asymptotics under testing composite hypotheses on Markov chains In: Probabilistic Methods in Discrete Mathematics. V. F. Kolchin et Eds. VSP, Utrecht (2002), 273-290.
  10. On the role of extreme summands in sum of random variables. Prob. Theory Appl. 47, 3(2002), 575-583 (with I. Khamdamov in Russian).
  11. Asymptotic properties of stable densities and the asymmetric large deviation problems. PUB. IRMA, LILLE 2002, Vol.57, N$^0$ X, 1-11.
  12. On two approaches to approximation of multidimensional stable laws. J. Multivariate Analysis} 82, 1 (2002), 210--239 (with Yu. Davydov).
  13. Theorems on large deviations of the sample variance and its applications. PUB. IRMA, LILLE 2001, Vol.56, N$^0$ VIII, 1-25.
  14. Prosperity paradox of risk theory PUB. IRMA, LILLE 2001, Vol.56, N$^0$ IX, 1-9.
  15. On the role played by extreme summands when a sum of i.i.d. random vectors is asymptotically alpha-stable. PUB. IRMA, LILLE 2001, Vol.56, N$^0$ XI, 1-19 (with Yu. Davydov).
  16. Rates in approximations to ruin probabilities for heavy-tailed distributions. Extremes 4:1 (2001), 67-78 (with T. Mikosch).
  17. Confidence regions of minimal area for the scale-location parameter and their applications. Applicationes Mathematicae} 28, 1 (2001), 125-142 (with A. Czarnowska).
  18. An asymptotic formula for the Bayes risk in discriminating between two Markov chains. J. Appl. Probab. 38A (2001), 131-141.
  19. On non-parametric estimation of the Poisson spectral measure of a stable law. Journal of Math. Sciences 106, 2 (2000), 2854-2859.
  20. Remarks on a problem of non-parametric statistics of elliptically contoured distributions. Publ. IRMA, Lille, 2000 50, n. 1, 1-8 (with T. Schreiber).
  21. Abelian theorems for a class of probability distributions in $R^d$ and their application. Journ. of Math. Sciences 99, 4 (2000), 1454-1462 (with A. Zaigraev).
  22. Threshold phenomena in random walks. In: Asymptotic Methods in Probability and Statistics with Applications. Birkhauser, Boston (2000), 465-486.
  23. On the approach to simulation of a symmetric stable vector based on discretization of the spectral measure. Publ. IRMA, Lille, 50, n. XII (1999), 1-14 (with Yu. Davydov).
  24. On Fisher' information contained in the sample mean. Journ Math. Sci. 92, 4(1999), 4044-4050.
  25. On sign-criteria for testing hypotheses about the coefficient of regression Les Cahiers du Laboratoire Mathematiques Appliqueé, Université du Litoral, LMA 45 (1998), 1-11 (with B. Mass\'e).
  26. Data analysis and mathematical statistics under classification. Computer Methods in Investigation of the Structure and Functioning of the Vegetation Cover (post conference papers) , UMK, Toruñ, 1998, 109-119.
  27. Multidimensional limit theorems allowing large deviations for densities of regular variation. J. Multivariate Analysis} 67 (1998), 385-397 (with A. Zaigraev).
  28. The Cramer large deviations when the extreme conjugate distribution is heavy--tailed. Prob. Theory Appl. 43, 3(1998), 456-475 (in Russian).
  29. Large deviations on the whole half--line for sums of independent identically distributed lattice variables when the Cramer condition holds in a bounded interval. Discrete Mathematics and Applications 8, 3(1998), 115-131.
  30. On the joint distribution of the shorth height and length Math. Methods of Statistics 7, 2(1998), 210-229 (with E.Janaszewska).
  31. Large deviations of heavy--tailed sums with applications in insurance. Extremes 1, 1(1998), 81-110 (with T. Mikosch).
  32. On various distances between elliptically contoured distributions. Computer Data Analysis and Modeling. Proc. of the 5th International Conference. V. 2 , Minsk (1998), 29-37.
  33. Large deviation probabilities for sums of heavy-tailed dependent random vectors Stoch. Models, 13, 4(1997), 647-660 (with A. Jakubowski and A. Zaigraev).
  34. Applicability aspects of mathematical theory of option pricing. Survey of Applied and Industrial Mathematics, ser. "Probability and Statistics", 4, 4(1997), 719-731 (with S. A. Nagaev in Russian).
  35. On option pricing. Economics and Mathematical Methods n. 4(1997), 166-171 (in Russian).
  36. Large deviation probabilities for sums of lattice random vectors with heavy-tailed distributions Discrete Mathematics and Applications 7, 3(1997), 313-326 (with A. Jakubowski and A. Zaigraev).
  37. Asymptotic properties of invariant tests. In: Multidimensional Statistical Analysis and Theory of Random Matrices. Proc. VI Eugene Lukacs Symposium Bowling Green. OH. USA, 29--30 March 1996 ed.Gupta, A. K. and Girko, V. L. VSP, Utrecht etc. (1996), 195-216.
  38. Limit Theorems under Testing Hypotheses. UMK, Toruñ (1996).
  39. Extreme values of functionals characterizing stability of statistical decisions. In: Computational Learning and Probabilistic Reasoning}. Ed. by A. Gammerman. J. W., Chihester etc. (1996), 295-307.
  40. Limit theorems in testing stability, Journ. of Math. Sciences 78, 1(1996), 95-101.
  41. Asymptotics of the Bayes risk in discrimination between normal and uniform location-scale families. Math. Methods of Statistics 4, 3(1995), 321-333.
  42. Asymptotic properties of symmetric stable distributions with small index. Journ. of Math. Sciences 76, 2(1995), 2299-2306, (with Shkolnik).
  43. Some properties of convex hulls generated by homogeneous Poisson point process in an unbounded convex domain. Ann. Inst. Statist. Math. 47, 1(1995), 21-29.
  44. Some extremal problems in mathematical statistics. Review of applied and industrial mathematics.} Ser. Probability and Statistics. 1, 2(1995), 179-214 (in Russian).