Research projects



Past:
  • FCT-Fundação para a Ciência e a Tecnologia
    1. Optimal reinsurance strategies
      (16 Oct 2007 - 16 Oct 2010). PI: ML Centeno. 42,000
    2. Randomness in deterministic dynamical systems and applications
      (1 Jan 2010 - 31 Jul 2013). PI: J Lopes Dias. 105,911
    3. Statistical analysis of computer models
      (1 Jan 2010 - 15 Jul 2013). PI: R Paulo. 18,600
    4. Evaluation of dividend barrier variables in the actuarial dual risk model
      (1 Feb 2010 - 31 Jul 2013). PI: AD Egídio dos Reis. 21,510
    5. Solving vehicle routing problems by using meta-heuristics
      (15 Mar 2010 - 14 Sep 2013). PI: J Brandão. 51,331
    6. Pricing and behavioural responses in the water sector.
      (1 Sep 2010 - 31 Aug 2013). PI: J Murteira. 63,258
    7. Stochastic Analysis and Numerical Approximations in Mathematical Finance - SANAF
      (9 Jun 2011 - 31 Dec 2014).
    8. Theoretical developments in the regression analysis of fractional data and its applications to Finance
      (1 Jan 2012 - 31 Dec 2014).
    9. Incumprimento de crédito bancário e as consequências para o financiamento das empresas
      (1 Oct 2012 - 30 Jul 2015). PI: DA Dias. 15,000
    10. Analysis of Nonlinear Partial Differential Equations in Mathematical Finance
      (1 Jan 2013 - 31 Dec 2014). PI: MR Grossinho. 4,000
    11. Ruin probabilities and dividend problems in the primal and dual risk models
      (1 Oct 2014 - 30 Sep 2015). PI: AD Egídio dos Reis. 12,000
  • European Commission - 7th Framework Programme - Marie Curie Initial Training Networks
    1. Multi-ITN STRIKE - Novel Methods in Computational Finance (Portuguese team of a Consortium of 11European universities)
      (1 Jan 2013 - 31 Dec 2016). PI: MR Grossinho. 200,000
  • Fundación MAPFRE
    1. Estimating the effects of technology advancement on pricing automobile insurance
      (1 Oct 2017 - 31 Mar 2018). PI: AD Egídio dos Reis. 15,000



2019
  1. A multidimensional approach to the analysis of poverty and social exclusion among children
  2. Application of self-normalization approaches for statistical testing in panel data (2nd year)
  3. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  4. Bayesian digit analysis
  5. Billiards in polytopes
  6. Child and adolescent well-being index
  7. Classification and clustering of big data time series with spectral measures
  8. Combinatorial Game Theory: Disjunctive Short Sum
  9. Design risk and Investor profiling (2019)
  10. Dispersive PDEs
  11. Dynamics on polytopes and polymatrix replicators
  12. Essays in Spatial Econometrics
  13. Forecasting Under Real Estate Bubbles
  14. FRACTAL FRActional models and ComputaTionAL finance - Modelos fracionários e finanças computacionais
  15. From Ruin Theory to Credit Risk
  16. Generic properties of $C^2$ Hamiltonians IV
  17. Hamiltonian dynamics: new developments beyond integrability II
  18. Lévy processes and fractional differential equations: Financial models and Option pricing
  19. Microeconometric models for limited dependent variables with applications (continuing the former project)
  20. Modeling routing with network flows in waste collection problems
  21. Nonlinear panel data models with unobserved individual heterogeneity
  22. Optimal Reinsurance of Dependent Risks
  23. Optimization, differential equations, and applications
  24. Piecewise Linear Dynamics meets Economics and Biology II
  25. Pricing automobile insurance and the effects of technology advancement estimation (continuation)
  26. Public transport demand in times of austerity : Evidence for Lisbon's metro system
  27. Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and nance. Continuation.
  28. Statistical modelling in Education Research: Multilevel models applied to large and complex data - year four
  29. Tail index regression model and Quantile Order Regression
  30. Thermodynamic formalism of random dynamical systems
  31. Uncertainty Quantification in State-Space Models using a Discrepancy Term
  32. Variable selection for computer models
2018
  1. A multidimensional approach to the analysis of poverty and social exclusion among children
  2. Application of self-normalization approaches for statistical testing in panel data
  3. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  4. Bayesian ANOVA
  5. Control theory, optimization, and applications
  6. Development of metaheuristics for two variants of the vehicle routing problem.
  7. Dispersive Equations and Systems
  8. Dynamics on polytopes and polymatrix replicators
  9. ESSAYS IN CORPORATE INVESTMENT WITH PANEL DATA
  10. Essays in Spatial Econometrics
  11. Essays on Microeconometrics Analysis of Child Poverty
  12. Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
  13. Estimation of Panel data Models in the Presence of Nonignorable Attrition
  14. Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
  15. From Ruin Theory to Credit Risk
  16. Generic properties of $C^2$ Hamiltonians III
  17. Hamiltonian dynamics: new developments beyond integrability
  18. Mathematical and numerical modelling in medicine and biology
  19. Microeconometric models for limited dependent variables with applications
  20. Modeling routing with network flows in waste collection problems
  21. More on Risk Dependencies
  22. Option pricing in Lévy models with transaction costs
  23. Parabolic dynamics of weak resonances in area-preserving maps II
  24. Periodic patterns of bidimensional subtraction games
  25. Piecewise Linear Dynamics meets Economics and Biology
  26. Pricing automobile insurance and the effects of technology advancement estimation
  27. Public transport demand in times of austerity : Evidence for Lisbon's metro system
  28. Redesigning a non-profit supply chain network in a triple bottom context
  29. Regression-Based Tail Index Estimator
  30. Reinsurance of dependent risks
  31. Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and finance. Continuation.
  32. Solow growth model with time delays labor growth
  33. Statistical modelling in Education: multilevel models applied to large and complex data - year three
  34. STUDENTS GRADE RETENTION -- A MULTILEVEL MODELLING APPROACH
2017
  1. Analysis of school failure through multilevel models
  2. Application of bivariate discrete distributions to actuarial modelling
  3. Application of nonlinear regression models to Markov Chain estimation
  4. A simple nonparametric method to estimate the expected time to cross a threshold - The continuous time case
  5. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  6. Bayesian ANOVA
  7. Children and dynamics of poverty and social exclusion
  8. Control of evolution equations and Markov processes
  9. Development of an algorithm for vehicle routing problem with backhauls and soft time windows
  10. Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance. Continuation.
  11. Double unit roots and structural breaks
  12. Dynamics on polytopes and polymatrix replicators
  13. Essays in Spatial Econometrics
  14. Essays on Microeconometrics Analysis of Child Poverty
  15. Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
  16. Estimating the effects of technology advancement on pricing automobile insurance
  17. Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
  18. Generic properties of $C^2$ Hamiltonians II
  19. Habitats of sets of combinatorial game values
  20. Mathematical and numerical modelling in medicine and biology
  21. Modeling routing with network flows in waste collection problems
  22. Modelling short term memory effects in financial derivatives
  23. Option pricing in Lévy models and integro-differential equations
  24. Parabolic dynamics of weak resonances in area-preserving maps
  25. Periodic versus oscillating solutions in Solow growth model
  26. Regression-Based Tail Index Estimator
  27. Reinsurance of dependent risks
  28. Semiparametric estimation in sample selection models for quarterly data
  29. SRB measures for piecewise diffeomorphisms
  30. Statistical modelling in Education: multilevel models applied to large and complex data - year two
  31. Stochastic and computational finance
  32. Stochastic optimization and decisions under uncertainty
  33. The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios. The open model.
  34. The National Network for Long-term Integrated Care in Portugal
  35. The weekend effect in Acute Myocardial Infarction
2016
  1. A multidimensional approach to the dynamics of child poverty
  2. Application of bivariate discrete distributions to actuarial modelling
  3. Application of nonlinear regression models to Markov Chain estimation
  4. Assessment of Higher Education Quality in Mozambique based on Student Perceptions
  5. Bayesian testing in Analysis of Covariance models
  6. Bayesian Validation of Behavioural Parameters in Economic Models
  7. Bone Geometry, Physical Activity and Bone Mass at Fracture-Critical Bone Regions of Proximal Femur
  8. Control of evolution equations and Markov processes
  9. Development of an algorithm for the open vehicle routing problem with time windows.
  10. Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance
  11. Dissipative outer billiards on polygons
  12. Dynamic Models for Extreme Events
  13. Essays in Spatial Econometrics
  14. Essays on Microeconometrics Analysis of Child Poverty
  15. Generic properties of $C^2$ Hamiltonians
  16. Geometric renormalization of area-preserving twist maps
  17. Gevrey renormalization of vector fields on the torus
  18. Implications of poverty and social exclusion on students grade retention $-$ a multilevel modelling approach.
  19. Mathematical and numerical modelling in medicine and biology
  20. Modeling routing with network flows in waste collection problems
  21. Modelling short term memory effects in financial derivatives
  22. MTD-Probit Model
  23. Option pricing in Lévy models and integro-differential equations
  24. Persistence of homoclinic tangencies near saddle-centre bifurcations
  25. Regression-Based Tail Index Estimator
  26. Semiparametric estimation in sample selection models for quarterly data
  27. Splitting of separatrices near resonant elliptic fixed points of area preserving maps
  28. Statistical analysis of wind farms
  29. Statistical modelling in Education: multilevel models applied to large and complex data
  30. Stochastic and computational finance
  31. Stochastic optimization and decisions under uncertainty
  32. Strategic decisions on a Food Banks' supply chain
  33. Students Attitudes, Learning, Achievement in Quantitative curricular units: The case of ISEG- ULisbon
  34. Testing for Breaks in the Tails
  35. The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios.
  36. The National Network for Long-term Integrated Care in Portugal