Supervision and Teaching

• Andrea Aveni. University of Copenhagen, May 2025–

Doctoral students

• Statistics for counting processes.  Doctorate by Rasmus Frigaard Lemvig (co-supervised by Mogens Steffensen). University of Copenhagen, May 2025–

• Empirical methods for censored and extreme data.  Doctorate by Theodor Rødding Henningsen (co-supervised by Thomas Mikosch). University of Copenhagen, May 2024–

• Extreme values under censorship and probabilistic forecasting.  Doctorate by Christoffer Kinttof Øhlenschlæger (co-supervised by Thomas Mikosch). University of Copenhagen, 2023–

• Data-driven Actuarial Modelling: Matrix-Exponential Distributions and Flood Risk. Doctorate by Alaric Müller (supervised with Hansjörg Albrecher). University of Lausanne, 2021–2025.

Master students

• Statistics of heteroscedastic extremes. Frederikke Holberg Andersen, University of Copenhagen, 2025.

• Statistics of extremes and an application to accident insurance. Julie Nyholm, University of Copenhagen, 2025.

• Reserving during Run-Off: Modeling Claims Reserves for Insurance Companies Under Bankruptcy. Martine Caldron, University of Copenhagen, 2025.

• Statistics of heteroscedastic extremes. Mathias Aagren Auchenberg, University of Copenhagen, 2025.

• Conditional extreme value estimation. Natasja Andersen, University of Copenhagen, 2025.

• Hazard estimation in semi-Markov models. Nicolaj Lind, University of Copenhagen, 2025.

• Machine learning for survival and multi-state models. Rasmus Frigaard Lemvig, University of Copenhagen, 2024.

• Statistics for heavy tailed time series. Laurits Glargaard, University of Copenhagen, 2024.

• Asymptotic theory in statistics for multi-state models. Theodor Rødding Henningsen. University of Copenhagen, 2023.

• Asymptotic theory for the Kaplan–Meier estimator with expert information. Kristian Vilhelm Dinesen. University of Copenhagen, 2023.

• Phase-type dimension selection. Bjørn Oleon Gillin. University of Copenhagen, 2023.

• Phase-type dimension selection. Christian Johannes López Friis. University of Copenhagen, 2023.

• Reserving through informed censoring. Sean Kristian Cheah Wernbecker (co-supervised by Munir Hiabu). University of Copenhagen, 2023.

• Penalised likelihood methods for phase-type dimension selection. Alaric Müller (co-supervised by Hansjörg Albrecher). University of Lausanne, 2021.

• Bivariate phase-type modeling of joint lives. Quentin Ruel (co-supervised by Hansjörg Albrecher). University of Lausanne, 2021.

Course Responsible

• Statistics for Insurance (second part, block II, 2024/25, and 2025/26). UCPH, Copenhagen.

• Statistics for Insurance (first part, block I, 2024/25, and 2025/26). UCPH, Copenhagen.

• Probability and stochastic processes (2021/22). UNIL, Switzerland.

• Insurance analytics: statistical machine learning (2019/20). UNIL, Switzerland.

• Stochastic integration (2015/16, with Fernando Baltazar). UNAM, Mexico.

Teaching assistant