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Senior Lecturer in Statistics
Victoria University of Wellington
School of Mathematics and Statistics
PO Box 600, Wellington 6140,
Wellington, New Zealand
Email address:

Professional Working Experiences: 

Soon after the completion of my Ph.D. from Utrecht University, the Netherlands, in January 2007, I worked for nearly three years as a quantitative financial analyst (Quantat the level of AVP) for Bank of America Corp. I was mainly based in Singapore, with a direct reporting line to the Quantitative Risk Management Group Head at the BofA Head Quarter (HQ) in Charlotte, North Carolina, USA. I was granted H1B Work Visa for job promotion to Bank of America Corp. HQ in the USA in July 2008. Arriving at the Victoria University of Wellington, New Zealand, on 15 February 2015. Starting on 2 May 2019, I have been involved on a temporary basis as a research advisor for, one of the largest e-commerce firm in Indonesia.

Theses and Dissertation:


Research Interest:
  • Complex stochastic systems modeling
  • Markov chains and Markov jump processes
  • The mixture of Markov chains and Markov jump processes
  • and its Conditional (multivariate) lifetime distributions
  • The multi-state Markov mixture model with Bayesian updates
  • Statistical inference for the mixture of Markov jump processes
  • Maximum likelihood estimation and the EM algorithm
  • Optimal stopping problem under Levy processes
  • Numerical solution to the free-boundary problem of optimal stopping
  • Fluctuation and excursion theory of asymmetric Levy processes
  • (Inverse) Laplace transforms of fluctuation identity of Levy process 
  • Exit and ruin problems under Levy insurance risk processes
  • Credit risk and optimal capital structure problems
  • Optimal assets allocation under non-Gaussian log-return
  • Actuarial science and financial stochastics
  • Applied probability and its computational aspects
  • Survival analysis of censored (cured) events

Research Collaborators:

Supervised/Former Students:

  • Ryan Kurniawan, went to ETH Zurich, Switzerland, to do MSc (with Summa Cum Laude) in Quantitative Finance and defended his Ph.D. at ETH Zurich - has already got a job as a quantitative financial analyst at Morgan Stanley in London, UK.
  • Fernando Adventius, went to Columbia University in NYC, USA, to do MSc (successfully graduated) in Operations Research minor in Financial Engineering; working at a New York based shipping company, moving to Geneva, Switzerland.
  • Some students wrote their thesis with me at ITB Bandung and most majorities of them graduated with cum laude and continued their postgraduate study overseas (NUS, Manchester, Leeds, etc) and some remained in the country working at Central Bank of Indonesia, MNC, e.g., Unilever, Ernst and Young, Citibank, etc.
  • Ashri Putri Rahadi, graduated with an MSc degree, Institut Teknologi Bandung, 2014.
  • Nora Amelda Rizal, graduated a Doctorate degree with Cumlaude, Institut Teknologi Bandung, 2016.
  • Steven Brasell, MSc student, Victoria University of Wellington, New Zealand. (Graduated with Distinction)
  • Ricardo Ferreira, continuing his MSc study in Public Policy at the University of California at Los Angeles
  • James A. Clark, graduated with distinction in Actuarial Science. Working for Boston Consulting Group, Melbourne, Australia.
  • Muhamad Khandoker, a Ph.D. student at Victoria University of Wellington, New Zealand.
  • Erandi Hasanthika, a PhD student at Victoria University of Wellington

Research Grants:

  • 16-23/02/2020, Mathematical Institute, University of Copenhagen, Denmark. About DKK 5,740 (hotel accommodation + local expenses)
  • 1-2/08/2019, Research School of Finance, Actuarial Studies, and Statistics, Australian National University. About AUD 1,300 (hotel, flight, and local expenses)
  • 1/10/2018 - 1/10/2019, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand, NZD 9,000.00
  • 21/09/2016, CSIRO Ph.D. Research Grants jointly with Prof. Colin O'hare, Monash University, Melbourne, Australia.
  • 5/05/2016, 23/09/2016, 8/08/2017, 28/03/2018, Victoria University PBRF Research Grants : NZD 7,000 + NZD 4,000 conference/travel grants.
  • 18/01/2017, Center of Actuarial Excellence, Department of Actuarial Science and Statistics, University of Hong Kong: HK $ 6,000 + accommodation + flight
  • 26/11/2015, Research School of Finance, Actuarial Studies and StatisticsAustralian National University, Australia: travel grants AUD 1,030 and accommodation
  • 6/07/2015, Department of Systems Engineering and Engineering ManagementChinese University of Hong KongHK $3,506 + accommodation + flight
  • 2-31 May 2014, Department of Industrial Engineering and Operations Research, Columbia University in the City of New York: USD $ 1,500 + accommodation + flight
  • 1 October - 30 November 2013, German Academic Exchange Service (DAAD), 1 October - 30 November 2013, Goethe University of Frankfurt: Euro 4000 + travelling expenses.
  • 7/12/2012, National Chiao Tung University, Hsinchu, Taiwan: TWD 22,000
  • 2/09/2012, Center for Finance and Insurance of Osaka University, Osaka University, Japan: about JPY 100,000
  • 8/03/2012, National Tsing Hua University, Hsinchu, Taiwan: TWD 22,000
  • 1/10/2012, Institut Teknologi Bandung, Indonesia: USD 4000+

Journal Editorial Activities:

  • Editorial Board Member of Risks (as Topic Editor)

External Research Consultancies:

  • May-November 2019,, one of the largest e-commerce companies in Indonesia

Selected Publications:

Submitted/Working Papers:

Recent Seminar Talks:

Talk and Visiting Invitations

Invited Reviewer for International Journals:

Teaching Experiences:

At Victoria University of Wellington, New Zealand

I have been teaching the following courses from February 2015 to date: 

At ITB Bandung, Indonesia 

I taught the following courses from January 2010 - December 2014

  • Capital Markets
  • Risk Management
  • Fixed Income
  • Time Series Analysis
  • Financial Modeling
  • Advances in Economics
  • Mathematical Finance
  • Advance in Financial Mathematics

Community Services:

  • Member of Marketing Committee, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand.
  • Coordinator for Statistics Seminar, School of Mathematics and Statistics, Victoria University of Wellington.
  • From 2015 - date, I have been associated with The Indonesian Financial Management Association as one of its academic advisory board members.
  • Since 2012 - date, I have been associated with Center for Risk Management Study (CRMS) Indonesia as one of its academic advisory board members.


New Zealand Statistical Association

Last Updated: Last week

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Page Updated: 07 Apr 2002 by PeterThoeny. © Victoria University of Wellington, New Zealand, unless otherwise stated