Oscar Peralta
Oscar Peralta
I am an applied probabilist with interests in actuarial science, finance, operations research, and statistics. Particularly, I am interested in the interplay between probabilistic arguments, their theoretical underpinnings, and their applications to other branches of mathematics.
After completing my PhD in 2019 at the Technical University of Denmark under the supervision of Professors Bo Friis Nielsen and Mogens Bladt, I became a Research Associate at the University of Adelaide in Australia, working with Dr. Giang Nguyen on the topic of hybrid stochastic differential equations. Subsequently, I secured a position as a Senior Researcher at the University of Lausanne in Switzerland, collaborating with Professor Hansjoerg Albrecher on mathematical problems in life and non-life insurance. Following that, I accepted a Postdoctoral Researcher position at Cornell University, working with Professor Andreea Minca to explore new questions in risk management with applications in finance, insurance, and energy markets.
In 2024, I joined ITAM as a Tenure-track Lecturer. My teaching responsibilities include undergraduate and graduate courses in finance, risk management, and probability.
Academic Studies
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Topics of Interest
- Dependence modelling and risk measures
- Heavy-tailed and rare event phenomena
- Ruin probabilities in non-life insurance mathematics
- Policy valuation in life-insurance mathematics
- Matrix-analytic methods and phase-type distributions
- Hybrid stochastic differential equations