Elissaveta PANCHEVA

Professor, Dr.Sci.

Research Interests

• Extreme Values
• Limit Theorems
• Financial Mathematics

• 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.

• Random processes, NBU and IMI-BAS magistry, 2009.
• 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.

• Chief editor of the e-journal ProbStat Forum, ISSN 0974-3235
• 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

• Member, Organizing Committe, Summer School in Probability and Statistics, Sozopol, 2003, 2004, 2007, 2008.
• 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.

• University of Podgoritza, Monte Negro (2009)
• 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)

• European Mathematical Society
• Union of Bulgarian Mathematicians
• Union of Bulgarian Research Scientists
• Bulgarian Statistical Society

• Approximation of the Risk Process - a Survey (with I.Mitov), submitted to Pliska Studia Math. Bulgar., 2010.
• Nonlinear Normalization in Limit Theorems for Extremes (with K.Mitov and S.Nadarajah), submitted to EXTREMES, 2010.
• Max-Semistability: A Survey, ProbStat Forum 3 (2010), pp. 11-24.
  
• 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, 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.
• 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.
• Random Time-Changed Extremal Processes (with E.Kolkovska and P.Jordanova),
  Probability Theory and Applications, vol. 51, no. 4, pp. 752-772, 2006. (supplementary graphics)
• 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.

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/