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Research projects
Externally funded
Internal
Present:
FCT-Fundação para a Ciência e a Tecnologia
New trends in Lyapunov exponents
(1 Sep 2018 - 31 Aug 2021)
.
Fundación MAPFRE
Affine Processes for Insurance Products linked to Financial Markets (MAPFRE)
(1 Jan 2020 - 31 Dec 2020)
.
PI: R.M. Gaspar.
15,000
Past:
FCT-Fundação para a Ciência e a Tecnologia
Optimal reinsurance strategies
(16 Oct 2007 - 16 Oct 2010)
.
PI: M.L. Centeno.
42,000
Randomness in deterministic dynamical systems and applications
(1 Jan 2010 - 31 Jul 2013)
.
PI: J. Lopes Dias.
105,911
Statistical analysis of computer models
(1 Jan 2010 - 15 Jul 2013)
.
PI: R. Paulo.
18,600
Evaluation of dividend barrier variables in the actuarial dual risk model
(1 Feb 2010 - 31 Jul 2013)
.
PI: A.D. Egídio dos Reis.
21,510
Solving vehicle routing problems by using meta-heuristics
(15 Mar 2010 - 14 Sep 2013)
.
PI: J. Brandão.
51,331
Pricing and behavioural responses in the water sector.
(1 Sep 2010 - 31 Aug 2013)
.
PI: J. Murteira.
63,258
Stochastic Analysis and Numerical Approximations in Mathematical Finance - SANAF
(9 Jun 2011 - 31 Dec 2014)
.
Theoretical developments in the regression analysis of fractional data and its applications to Finance
(1 Jan 2012 - 31 Dec 2014)
.
Incumprimento de crédito bancário e as consequências para o financiamento das empresas
(1 Oct 2012 - 30 Jul 2015)
.
PI: D.A. Dias.
15,000
Analysis of Nonlinear Partial Differential Equations in Mathematical Finance
(1 Jan 2013 - 31 Dec 2014)
.
PI: M.R. Grossinho.
4,000
Ruin probabilities and dividend problems in the primal and dual risk models
(1 Oct 2014 - 30 Sep 2015)
.
PI: A.D. Egídio dos Reis.
12,000
European Commission - 7th Framework Programme - Marie Curie Initial Training Networks
Multi-ITN STRIKE - Novel Methods in Computational Finance (Portuguese team of a Consortium of 11European universities)
(1 Jan 2013 - 31 Dec 2016)
.
PI: M.R. Grossinho.
200,000
Fundación MAPFRE
Estimating the effects of technology advancement on pricing automobile insurance
(1 Oct 2017 - 31 Mar 2018)
.
PI: A.D. Egídio dos Reis.
15,000
2020
A multidimensional approach to the analysis of poverty and social exclusion among children
Application of self-normalization approaches for statistical testing in panel data (3rd year)
Applications with Microeconometric models for panel data
Assessment of higher education quality in Mozambique based on student perception
Bayesian model selection and point null hypotheses
Child and Adolescent Well-being index - Year 2
Classification and clustering of big data time series with spectral measures (continuation for year 2020)
Combinatorial Game Theory: Simplicity rule of order n
Detecting statistical regularities at International Large Scale Assessment education studies
Dispersive PDEs
Dynamics on polytopes and polymatrix replicators
Forecasting Under Real Estate Bubbles
FRACTAL FRActional models and ComputaTionAL finance - Modelos fracionários e finanças computacionais
From Ruin Theory to Credit Risk (continuation)
Hamiltonian dynamics: new developments beyond integrability III
How did economic cycle affect Students expectations about transition from Upper Secondary to Higher Education.
Identification of (nonlinear) models under Response Based Sampling
Impact of incentives and regulations on the investment in renewable energies
Interpretable models of loss given default
Lévy processes, fractional differential equations and fractional processes: Financial models and Option pricing
Modeling routing with network flows in waste collection problems
Optimal Reinsurance of Dependent Risks
Optimization, functional analysis, and applications
Piecewise Linear Dynamics meets Economics and Biology
Pricing automobile insurance and the effects of technology advancement estimation (continuation)
Residential Property Prices and Energy Efficiency: a microeconometric approach based on hedonic models
Robo Advising: investor profiling and performance evaluation
Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and finance (Continuation)
Screening
Stability of the solutions of the Solow growth model with time delays
Statistical Modelling in Higher Education Research
Sustainable Management of Fisheries with Stochastic Differential Equations: Optimisation, Estimation and Prediction
Tail index regression model and Quantile Order Regression
Uncertainty Quantification Using a Discrepancy Term with a Gaussian Process Prior: An Example from Macroeconomics
Value-at-Risk and Expected Shortfall with cryptocurrency portfolios
Varying Coefficient Spatial Econometric Models
2019
A multidimensional approach to the analysis of poverty and social exclusion among children
Application of self-normalization approaches for statistical testing in panel data (2nd year)
Assessment of Higher Education Quality in Mozambique based on Student Perceptions
Bayesian digit analysis
Billiards in polytopes
Child and adolescent well-being index
Classification and clustering of big data time series with spectral measures
Combinatorial Game Theory: Disjunctive Short Sum
Design risk and Investor profiling (2019)
Dispersive PDEs
Dynamics on polytopes and polymatrix replicators
Essays in Spatial Econometrics
Forecasting Under Real Estate Bubbles
FRACTAL FRActional models and ComputaTionAL finance - Modelos fracionários e finanças computacionais
From Ruin Theory to Credit Risk
Generic properties of $C^2$ Hamiltonians IV
Hamiltonian dynamics: new developments beyond integrability II
Lévy processes and fractional differential equations: Financial models and Option pricing
Microeconometric models for limited dependent variables with applications (continuing the former project)
Modeling routing with network flows in waste collection problems
Nonlinear panel data models with unobserved individual heterogeneity
Optimal Reinsurance of Dependent Risks
Optimization, differential equations, and applications
Piecewise Linear Dynamics meets Economics and Biology II
Pricing automobile insurance and the effects of technology advancement estimation (continuation)
Public transport demand in times of austerity : Evidence for Lisbon's metro system
Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and nance. Continuation.
Statistical modelling in Education Research: Multilevel models applied to large and complex data - year four
Tail index regression model and Quantile Order Regression
Thermodynamic formalism of random dynamical systems
Uncertainty Quantification in State-Space Models using a Discrepancy Term
Variable selection for computer models
2018
A multidimensional approach to the analysis of poverty and social exclusion among children
Application of self-normalization approaches for statistical testing in panel data
Assessment of Higher Education Quality in Mozambique based on Student Perceptions
Bayesian ANOVA
Control theory, optimization, and applications
Development of metaheuristics for two variants of the vehicle routing problem.
Dispersive Equations and Systems
Dynamics on polytopes and polymatrix replicators
ESSAYS IN CORPORATE INVESTMENT WITH PANEL DATA
Essays in Spatial Econometrics
Essays on Microeconometrics Analysis of Child Poverty
Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
Estimation of Panel data Models in the Presence of Nonignorable Attrition
Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
From Ruin Theory to Credit Risk
Generic properties of $C^2$ Hamiltonians III
Hamiltonian dynamics: new developments beyond integrability
Mathematical and numerical modelling in medicine and biology
Microeconometric models for limited dependent variables with applications
Modeling routing with network flows in waste collection problems
More on Risk Dependencies
Option pricing in Lévy models with transaction costs
Parabolic dynamics of weak resonances in area-preserving maps II
Periodic patterns of bidimensional subtraction games
Piecewise Linear Dynamics meets Economics and Biology
Pricing automobile insurance and the effects of technology advancement estimation
Public transport demand in times of austerity : Evidence for Lisbon's metro system
Redesigning a non-profit supply chain network in a triple bottom context
Regression-Based Tail Index Estimator
Reinsurance of dependent risks
Ruin and dividend problems in the primal and dual risk models, for application in actuarial science and finance. Continuation.
Solow growth model with time delays labor growth
Statistical modelling in Education: multilevel models applied to large and complex data - year three
STUDENTS GRADE RETENTION -- A MULTILEVEL MODELLING APPROACH
2017
Analysis of school failure through multilevel models
Application of bivariate discrete distributions to actuarial modelling
Application of nonlinear regression models to Markov Chain estimation
A simple nonparametric method to estimate the expected time to cross a threshold - The continuous time case
Assessment of Higher Education Quality in Mozambique based on Student Perceptions
Bayesian ANOVA
Children and dynamics of poverty and social exclusion
Control of evolution equations and Markov processes
Development of an algorithm for vehicle routing problem with backhauls and soft time windows
Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance. Continuation.
Double unit roots and structural breaks
Dynamics on polytopes and polymatrix replicators
Essays in Spatial Econometrics
Essays on Microeconometrics Analysis of Child Poverty
Estimating partial effects for nonlinear dynamic panel data models with unobserved individual heterogeneity
Estimating the effects of technology advancement on pricing automobile insurance
Evaluation of the firm-level VaR and ES forecasting performance of parametric volatility time series models
Generic properties of $C^2$ Hamiltonians II
Habitats of sets of combinatorial game values
Mathematical and numerical modelling in medicine and biology
Modeling routing with network flows in waste collection problems
Modelling short term memory effects in financial derivatives
Option pricing in Lévy models and integro-differential equations
Parabolic dynamics of weak resonances in area-preserving maps
Periodic versus oscillating solutions in Solow growth model
Regression-Based Tail Index Estimator
Reinsurance of dependent risks
Semiparametric estimation in sample selection models for quarterly data
SRB measures for piecewise diffeomorphisms
Statistical modelling in Education: multilevel models applied to large and complex data - year two
Stochastic and computational finance
Stochastic optimization and decisions under uncertainty
The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios. The open model.
The National Network for Long-term Integrated Care in Portugal
The weekend effect in Acute Myocardial Infarction
2016
A multidimensional approach to the dynamics of child poverty
Application of bivariate discrete distributions to actuarial modelling
Application of nonlinear regression models to Markov Chain estimation
Assessment of Higher Education Quality in Mozambique based on Student Perceptions
Bayesian testing in Analysis of Covariance models
Bayesian Validation of Behavioural Parameters in Economic Models
Bone Geometry, Physical Activity and Bone Mass at Fracture-Critical Bone Regions of Proximal Femur
Control of evolution equations and Markov processes
Development of an algorithm for the open vehicle routing problem with time windows.
Developments in ruin theory, the primal and dual risk models, ruin probabilities and dividend strategies for application in actuarial science and finance
Dissipative outer billiards on polygons
Dynamic Models for Extreme Events
Essays in Spatial Econometrics
Essays on Microeconometrics Analysis of Child Poverty
Generic properties of $C^2$ Hamiltonians
Geometric renormalization of area-preserving twist maps
Gevrey renormalization of vector fields on the torus
Implications of poverty and social exclusion on students grade retention $-$ a multilevel modelling approach.
Mathematical and numerical modelling in medicine and biology
Modeling routing with network flows in waste collection problems
Modelling short term memory effects in financial derivatives
MTD-Probit Model
Option pricing in Lévy models and integro-differential equations
Persistence of homoclinic tangencies near saddle-centre bifurcations
Regression-Based Tail Index Estimator
Semiparametric estimation in sample selection models for quarterly data
Splitting of separatrices near resonant elliptic fixed points of area preserving maps
Statistical analysis of wind farms
Statistical modelling in Education: multilevel models applied to large and complex data
Stochastic and computational finance
Stochastic optimization and decisions under uncertainty
Strategic decisions on a Food Banks' supply chain
Students Attitudes, Learning, Achievement in Quantitative curricular units: The case of ISEG- ULisbon
Testing for Breaks in the Tails
The impact of bonus-malus systems in finite and continuous time ruin probabilities in motor insurance for large portfolios.
The National Network for Long-term Integrated Care in Portugal