Elisaveta PANCHEVA
Professor, Dr.Sci.
- Dr.Sci. in Probability and Statistics, Institute of
Mathematics
and Informatics, Bulgarian Academy of Sciences, 1996.
- Ph.D. in Probability and Statistics, Institute of
Mathematics, Bulgarian
Academy of Sciences, 1984.
- M.Sc. in Probability, F. Schiller University, Jena,
Germany,
1968.
Department of
Probability
and Statistics
Institute of Mathematics and
Informatics
Bulgarian Academy of Sciences
(Retired 2010, currently Associate Member)
Research Interests
- Extreme Values
- Limit Theorems
- Financial Mathematics
Publications (since 1996)
- On Limit Laws for Central Order Statistics under Power Normalization (with A.Gacovska), to appear in Pliska Stud. Match. Bulgar., 2015.
- Asymptotic Behaviour of Central Order Statistics under Monotone Normalization (with A.Gacovska), Theory Probab. Appl., vol. 58, no. 1, pp. 107-120, 2014.
- Randomly Indexed Central Order Statistics (with A.Gacovska, short version), Comptes Rend. Acad. Bulg. Sci., vol. 66, no. 7, pp. 951-960, 2013.
- Weak Asymptotic Results for t-Hill Estimator (with P.K.Jordanova), Comptes Rend. Acad. Bulg. Sci., vol. 65, no. 12, pp. 1649-1656, 2012.
- Approximation of the Risk Process - a Survey (with I.Mitov), Mathematica Balkanica, vol.25, fasc.3, pp. 307-316, 2011.
- Nonlinear Normalization in Limit Theorems for Extremes (with K.Mitov and S.Nadarajah), Pliska Studia Math. Bulgar.,
vol. 20, pp. 169-186, 2010. - Max-Semistability:
A Survey, ProbStat Forum, vol. 03, pp. 11-24, 2010.
- Relationship
Between Extremal and Sum Processes Generated By The Same Point Process
(with I.Mitov and Z.Volkovich), Serdica Math. J., vol. 35, pp. 169-194,
2009.
- Early Detection of emergent events based on an extremal process approach (with C.Jacob),
Pliska Stud. Math. Bulgar., vol. 19, pp. 157-172, 2009.
- Limit
Theorems for Extremal Processes generated by a Point Process with
Correlated Time and Space Components (with I. Mitov and K.
Mitov), Statistics and Probability Letters, vol. 79, pp. 390-395, 2009.
- Upper and
Lower Bounds for Ruin Probability (with Z.Volkovich and
L.Morozensky), Pliska, vol. 18,
pp. 315-326, 2007.
- Random Time-Changed
Extremal Processes (with E.Kolkovska and P.Jordanova), Theory Probab.
Appl., vol. 51, no. 4, pp. 645-662, 2007. (supplementary
graphics)
- Sum and
Extremal Processes over Explosion Area (with I.Mitov and
Z.Volkovich), Comptes Rendus
de l'Academie Bulgare des Sciences, vol. 59, no. 12, pp. 1219-1226,
2006.
- Functional Transfer Theorems for Maxima
of
iid
Random Variables (with P.Jordanova) Comptes Rendus de
l'Academie Bulgare des Sciences, vol. 57, no. 8, pp. 9-14, 2004.
- A Functional Extremal Criterion (with
P.Jordanova). Journal of Mathematical Sciences, Plenum
Publishing
Corporation, New York, vol. 121, no. 5, pp. 2636-2644, 2004.
- Extremal Processes with One Jump. (with A.A.Balkema) Extremes
3:2, pp.173-195, 2000.
- Extremal Behaviour of Bulgarian Exchange Rates 1991-1997. (with
B.Lomev) In: Economics in Transition, FEB-Uni Sofia,
pp. 215-229,
2000.
- Semi-Selfsimilar
Extremal Processes. Journal of Mathematical Sciences,
Plenum
Publishing Corporation, New York, vol. 99, no. 3, pp. 1306-1316, 2000.
- Self-Similar
Extremal Processes. Journal of Mathematical Sciences,
Plenum
Publishing Corporation, New York, vol. 92, no. 3, pp. 3911-3920, 1998.
- Decomposition for multivariate extremal processes. (with
A.A.Balkema) Commun.
Statist.-Theory Meth., vol.25-4, pp.737-758, 1996.
Citations
Teaching
- Modelling Extremal Events, NBU and IMI-BAS Magister Programme, 2012.
- Random processes, NBU and IMI-BAS Magister Programme, 2009, 2011.
- Introduction to Probability Theory, NBU and IMI-BAS Magister Programme, 2010.
- Modelling Extremal Events, NBU and IMI-BAS magistry, 2009.
- Stochastic Methods in Financial Mathematics, SA-magistry
,
IMI-BAS,
2004-2005.
- Risk Theory, Sofia University, 2001.
- Random Processes, Sofia University, 2000.
- National seminar in Risk Management, IMI-BAS, yearly
since 1998.
- Modern Theory for Sums of Independent Random Variables,
a
course
for graduate students in Probability and Statistics, Sofia University,
1985, 1989, 1997.
- Probability and Statistics for Engineering and the Sciences,
an
introductory course given at the University of Victoria, Canada, 1995.
- Probability Metrics, a course for graduate students in
Probability
and Statistics, Sofia University, 1983.
Supervision
- Aneta Gacovska, Skopje, Macedonia, k-th Extremal Processes with Application to the Risk Management, PhD 2015.
- Ivan Kostov Mitov, Processes with independent increments with application to finance, PhD 2009.
- Pavlina Kalcheva Jordanova, Multivariate Functional Criterium, PhD 2005.
- plus ca. 10 MSc students from SU-FMI.
Editing, Reviewing and Refereeing
- Founding editor of the e-journal ProbStat Forum, 2008-2014
- Reviewer for Zentralblatt für Mathematik
- Referee rapports for Extremes
- Referee rapports for Statistics&Probability Letters
- Referee rapports for Theory of Probability and Applications
- Referee rapports for Stability Problems of Stochastic Models
- Referee rapport for Stochastic Models
- Referee rapports for Serdika
- Referee rapports for Pliska Studia Mathematica Bulgarica
Chairmanship
- Member, Organizing Committee, Conference in Probability and Statistics, Pomorie, 2012, 2014.
- Member, Organizing Committee, Summer School in Probability and
Statistics,
Sozopol, 2003, 2004, 2007, 2008, 2010.
- Chairman, Local Organizing Committee, XXII Seminar on Stability
Problems
for Stochastic Models, Varna 2002.
- Member, Local Organizing Committee, IX Seminar on Stability
Problems
for
Stochastic Models, Varna 1985.
Visited Universities
- University of Podgoritza, Monte Negro (2009, 2011)
- University of Lisbon, Portugal (2008)
- Katholische Universität Eichstätt, Germany (2007)
- INRA, Unite de Mathematiques et Informatique Appliquees, France
(2006, 2007, 2008)
- University of Nish, Serbia (2006)
- Braude College of Engineering, Karmiel, Israel (2005)
- ISMMA Bucarest, Romania (2004)
- CIMAT Guanajuato, Mexico (2003)
- ETH Zürich, Switzerland (2002)
- SANU Institute of Mathematics, Yugoslavia (1999)
- Technical University of Munich, Germany (1998)
- University of Amsterdam, Holland (1994, 1997)
- University of Victoria, Canada (1995)
- Steklov Institute of Mathematics, Moscow, Russia (1982, 1985,
1990-1993)
- University of Siegen, Germany (1992)
- University of Dortmund, Germany (1992)
- University of Bern, Switzerland (1992)
- University of Athens, Greece (1989)
- University of Warsaw, Poland (1984,1989)
- University of Budapest, Hungary (1988)
- University of Wroclaw, Poland (1988)
- University of Berlin, Germany (1984)
Membership in Professional Societies
- Union of Bulgarian Mathematicians
- Bulgarian Statistical Society
Mailing Address
Elissaveta Pancheva
Institute of Mathematics and Informatics, BAN
Department of Probability
G.Bonchev Str., blok 8
1113 Sofia
BULGARIA
Phone: (+359-2) 979-3860
Fax: (+359-2) 971-3649
E-mail: pancheva@math.bas.bg
WWW: http://www.csc.kth.se/~dilian/Pancheva/
Last updated: 14 April 2015