Photo of Ramon Akker, van den
  • Warandelaan 2, Prisma Building, room P 2.221

    5037 AB Tilburg

    Netherlands

20032017
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Personal profile

Research interests

Ramon van den Akker is an Associate Professor at CentER and at the department of Econometrics & Operations Research, both at Tilburg University (0.2fte). He also works at de Volksbank on Advanced Analytics & A.I. and Risk Models.

His research interests cover various fields in the area of asymptotic statistics, quantitative risk management, big data in the financial industry, business modelling, and time series analysis, and have been published in leading journals in econometrics and statistics. Ramon is an Associate Editor of Statistical Inference for Stochastic Processes.

Ramon has taught courses in econometrics, life insurance, mathematics, probability theory, quantitative finance, and statistics at Tilburg University, Tias business school, and the Actuarial Institute.

Career

2015-recent
risk modeller & data scientist, de Volksbank
2014-recent
Associate Professor, Tilburg University
2010-2014
Assistant Professor, Tilburg University
2007-2010
Risk manager at SNS REAAL (0.80 fte)
Lecturer, Tilburg University (0.20 fte)
2003-2007
Ph.D. candidate, Tilburg University
2000-2003
Research & Teaching assistant, Tilburg University

Teaching

Academic year 2017-2018

Ramon has also taught courses on econometrics (Bachelor Econometrics & OR), mathematics (Bachelor Economics), probability theory (Bachelor Econometrics & OR), life insurance (Bachelor Econometrics & OR) , and statistics (Bachelor Economics), and contributed to the projects "Wiskunde B" and "Wiskunde D".

Awards

  • 2011 "Teacher of Excellence", Tilburg School of Economics and Management
  • 2010 Nominee "best teacher" Bachelor's programme Econometrics & OR
  • 2006 "Best course award" Faculty of Business and Economics for the course `Kansrekening en Statistiek' (Probability & Statistics)  (together with John Einmahl and Johan Segers)

 

Completed Master theses

Lina Jin (2010). Asymptotic optimality of panel unit root tests.

Noortje van der Vorst (2011). Estimating economic capital by replicating portfolios (ING).

Simon Heerings (2012). Pension fund policy - a framework for pension funds in the Netherlands (First Pensions).

Hans Konings (2012).  IBNR methods: predicting health care costs by micro-level data (Menzis).

Chantal van der Helm (2012). Disability insurance (PricewaterhouseCoopers).

Eline Slijkhuis (2013). Efteling: planning the fairytale.

Dimphy Hermans (2013). Replication of a class of variable annuities for the purpose of Economic Capital calculations (Deloitte).

Stèphanie van Breda (2013). Hedging separated accounts - using hybrid options (Achmea).

Elske Leenaars (2013). A dynamic version of the Vasicek model - the influence on capital requirements.

Bas Wagemakers (2014). Optimal hedging of embedded options in variable rate mortgages (SNS Bank).

Pleuni Naus (2014). Predicting the number of train passengers (CQM).

Jorn Veeneman (2015). Economic value of pension fund participation: incorporating longevity risk (PGGM).

Completed Bachelor theses

Gerben den Heijer (2007). Copulas: modelling the dependence structure of worldwide stock indices.

Rik van Beers (2010). Evaluation of the utility maximization method and its selection bias in credit scoring.

Michiel Agterberg (2011). The influence of ambiguity on portfolio optimization.

Whitney Pattinaja (2011). Estimation error in the mean-variance framework.

Lucas van de Kamer (2013). Nonparametric modeling in disability insurance (Achmea).

Cishuang Xu (2014). Predictive regressions.

Oliver Wichert (2014). Optimal Jackknifing of predictive regressions with a highly persistent predictor.

Daniël Schotanus (2015). Establishing index outperformance by modeling stock's excess returns.

Jochem van Vuren (2015). Structural breaks in asset predictability.

Ruoyu Cheng (2015). Portfolio risk management using copula and EVT theory.

Nico van Engelshoven (2016). Comparison of credit scoring methods: Using both profit maximization and standard techniques.

Jasper Mol (2017). Comparing various methods of testing predictive power of financial variables on returns.

Vince Hasse (2017). Power Analysis of Stock Return Predictability Tests.

Current courses

Click here for my courses.

PhD supervision

PhD supervision

I. Gaia Becheri on "Limiting Experiments for Panel-Data and Jump-Diffusion Models", 12/21/2012 (with Feike C. Drost and Bas J.M. Werker)

Bo Zhou on "Semiparametric inference for non-LAN models", 12/6/2017 (with I. Gaia Becheri and Bas J.M. Werker)

External positions

(SNS-REAAL)

1 Feb 2014 → …

Keywords

  • Statistics
  • Time Series
  • Econometrics
  • Risk Models

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Research Output 2006 2017

Semiparametric inference for non-LAN models

Zhou, B., 2017, Tilburg: CentER, Center for Economic Research. 187 p.

Research output: ThesisDoctoral ThesisScientific

Open Access
File
Semiparametric inference
Statistics
Normality
Stock return predictability
Econometrics

Market-Consistent Valuation of Pension Liabilities

Pelsser, A., Salahnejhad, A. & van den Akker, R., Oct 2016, Tilburg: NETSPAR, 38 p. (Netspar Industry Paper; vol. Design 63).

Research output: Working paperDiscussion paperOther research output

Open Access
File
Liability
Pensions
Pricing
Life insurance
Uncertainty

Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank

Hallin, M., van den Akker, R. & Werker, B., 1 Jan 2016, In : Journal of Econometrics. 190, 1, p. 46-61 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Cointegration
Error correction model
Innovation
Semiparametric efficiency bound
Asymptotic analysis

The power envelope of panel unit root tests in case stationary alternatives offset explosive ones

Becheri, G., Drost, F., van den Akker, R. & Wichert, O., Jan 2016, In : Statistics & probability letters. 108, p. 1-8

Research output: Contribution to journalArticleScientificpeer-review

Unit Root Tests
Envelope
Random Perturbation
Alternatives
Perturbation

Asymptotically UMP panel unit root tests: the effect of heterogeneity in the alternatives

Becheri, I. G., Drost, F. C. & van den Akker, R., 2015, In : Econometric Theory. 31, 3, p. 539-559 21 p.

Research output: Contribution to journalArticleScientificpeer-review

Panel unit root tests
regression
experiment
Power envelope
Optimal test

Projects 2003 2012