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Dr. Pasquale Cirillo is the coordinator of the Financial Engineering Specialization of the Master Applied Mathematics at TU Delft. Since August 2012, he has been Assistant Professor of Applied Probability at the Delft Institute of Applied Mathematics, TU Delft. He received his Habilitation in Applied Statistics from the University of Bern, Switzerland, and his PhD in Statistics from Bocconi University, Italy. In addition to statistics, he studied economics at the Sant'Anna School of Advanced Studies in Pisa, Italy.
Over the years, as a statistical consultant, he has collaborated with many international institutions, banks and insurance companies. At Delft University he is the responsible instructor of the bachelor course in Risk Management, and of the master courses in Financial Mathematics and Credit Risk Modeling.
- His research interests include risk analysis, econophysics and urn models.
Assistant professor of Applied Probability at the Department of Applied Mathematics, Faculty of Electronic Engineering, Mathematics and Computer Sciences, Delft University of Technology
Habilitation in Applied Statistics, University of Bern
PhD in Statistics, Bocconi University
MA in Economics, Sant'Anna School of Advanced Studies
MSc in Econometrics, University of Pisa
- Cirillo, P, Redig, FHJ & Ruszel, WM (2014). Duality and stationary distributions of wealth distribution models. Journal of Physics A: Mathematical and Theoretical, 47(8), 1-14.
- Cirillo, P, Hüsler, J & Muliere, P (2013). Alarm systems and catastrophes from a diverse point of view. Methodology and Computing in Applied Probability, 15(4), 821-839.
- Cirillo, P & Muliere, P (2013). An urn-based Bayesian block bootstrap. Metrika: international journal for theoretical and applied statistics, 76(1), 93-106.
- Cirillo, P (2013). Are your data really Pareto distributed? Physica A: Statistical Mechanics and its Applications, 392(23), 5947-5962.
- Cirillo, P, Gallegati, M & Hüsler, J (2012). A Pólya lattice model to study leverage dynamics and contagious financial fragility. Advances in Complex Systems 15, 1250069. Doi: 10.1142/ S0219525912500695.
- Cirillo, P & Hüsler, J (2010). Extreme shock models: an alternative perspective. Statistics and Probability Letters 81, 25-30.
- Cirillo, P, Hüsler, J & Muliere, P (2010). A nonparametric approach to interacting failing systems with an application to credit risk modeling. International Journal of Theoretical and Applied Finance 13, 1-18.