Dr Leonardo Rojas-Nandayapa
Research area: Probability and Statistics.
I am a mathematician working in applied probability. I am a recipient of an ARC Discovery Early Career Research Award 2013-2016. Previously, I held lecturer positions at UQ and at the Statistics Dept at ITAM, Mexico. I hold a PhD degree in Science from Aarhus University.
My research interest is in applied probability. More specifically I work in rare-event simulation, risk theory, queueing theory, extreme value theory and stochastic stability. One of my main interests is on the asymptotic behaviour of tail probabilities of heavy-tailed (and possibly dependent) random variables. More specifically, my work is on explicit approximations and provable efficient Monte Carlo estimators of tail probabilities involving sums and maxima of subexponential random variables (with a heavy focus on the multivariate lognormal case). These probabilities are important as they are employed in a wide variety of models in applied probability with applications in insurance, finance and telecommunications. In particular, I have interests in models involving random walks with heavy tailed increments and Lévy processes with heavy-tailed jumps. More recently, I also have worked in stochastic stability of queueing networks as well as extreme value theory.