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You are here: FRIAS Fellows Fellows 2019/20 Prof. Dr. Yuri Kabanov

Prof. Dr. Yuri Kabanov

Source: private
University of Franche-Comté, France
Mathematics / Mathematical Finance
External Senior Fellow
Marie S. Curie FCFP Fellow
October 2019 - January 2020

Room 01 012
Phone +49 (0) 761-203 97443
Fax +49 (0) 761-203 97451

CV

  • Born in Cherkassy (USSR, now Ukraine) on 12.04.1948.


Education:

  • 1966-71 Moscow State University, Faculty of Mechanics and Mathematics,
    Department of Probability Theory and Mathematical Statistics. Supervisor A.N. Shiryaev.
  • 1971-74 PhD student at Steklov Mathematical Institute of the USSR Academy of Sciences.


Theses:

  • PhD (1975). Point Processes and Extended Stochastic Integrals. Referees: Skorohod A.V., Krylov N.V.
  • Doctor of Sciences (1984). Martingale Methods in the Theory of Counting Processes. Referees: Skorohod A.V., Grigelionis B.I., Chibisov D.M.


Employment:

  • Professional Experience:
  • Since February 2018 – Lomonosov Moscow State University, Professor
  • 1995 – 2017 University of Franche-Comté, Besançon, Professor. Since 2018  Professor  Emeritus. 
  • 2013-2015   Higher School of Economics, International Laboratory of Quantitative Finance, Moscow, Academic  director.
  • 1974-1995  Central Economics and Mathematical Institute  of the Russian Academy of Sciences, Moscow.
  • Member of The Academy of Europe (2012), Fellow of Louis Bachelier Institute  (2019).

Selected Publications

  • Yu.M. Kabanov, M. Safarian. Markets with Transaction Costs. Mathematical Theory.  Springer-Verlag, 2009.
  • Yu.M. Kabanov, S.M. Pergamenshchikov.  Two-Scale Stochastic Systems. Asymptotic Analysis and Control.  Springer-Verlag, 2003.
  • Yu.M. Kabanov. Hedging and liquidation under transaction costs in currency markets. Finance and Stochastics, 3 (1999), 2, 237-248.
  • A.G. Frolova, Yu.M. Kabanov, S.M. Pergamenshchikov. In the insurance business risky investments are dangerous. Finance and Stochastics, 6 (2002), 2, 227-235. 
  • Yu. M. Kabanov, K. Kardaras, S. Song. On local martingale deflators and market portfolios. Finance and Stochastics, 20 (2016), 4, 1097–1108.

FRIAS Research Project

Actuarial models in financial environment

The aim of the proposed project is a creation in FRIAS a temporary research group working on the development of actuarial models in financial environments. The development will be concentrated on several axes.  First: a general portfolio  theory in the actuarial setting when the investors  have long-term  insurance portfolios with  usual financial assets (stocks, bonds, real assets).  Second:  construction of insurance  contracts acceptable (optimal) for sellers and attractive for buyers. Third: analysis of ruin probabilities (and other functionals)  for companies investing in  risky assets under various assumptions still not covered by existing literature.   The main feature of the proposal is an intensive use of recent ideas coming from mathematical finance like benchmark portfolio and martingale deflators, set-valued risk measures, robust models etc.