Piet De Jong
DEPARTMENT OF APPLIED FINANCE AND ACTUARIAL STUDIES
Macquarie University
Australia
Biography
Piet de Jong has been Professor of Actuarial Studies since 2003. Prior to coming to Macquarie, Professor de Jong spent many years as Professor of Statistics at the University of British Columbia and Reader in Actuarial Science at the London School of Economics. He has more than 30 publications in refereed journals in diverse quantitative areas such as actuarial statistics, insurance mathematics, time series and forecasting, econometrics, mathematical psychology, and quantitative ecology. Professor de Jong has consulted widely on actuarial and statistical problems both in Australia and overseas and both in the private and public sector. He is a past associate editor of the American Journal of Business and Economic Statistics. His current research interests are forecasting in both general and life insurance, genetic testing and data mining of insurance and other data bases.
Research Interest
financial risk statistics insurance mathematics time series and forecasting econometrics mathematical psychology quantitative ecology.
Publications
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De Jong P. Smoothing and interpolation with the state-space model. Journal of the American Statistical Association. 1989 Dec 1;84(408):1085-8.
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De Jong P. The diffuse Kalman filter. The Annals of Statistics. 1991;19(2):1073-83.
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De Jong P, Shephard N. The simulation smoother for time series models. Biometrika. 1995 Jun 1;82(2):339-50.
