Research areas

Probability, Statistics, Insurance and Quantitative Finance,
Quantitative Criminology (Recidivism Studies)

Biography

Maller, Prof. R.A.
Professor,  School of Finance, Actuarial Studies & Statistics, Australian National University.

Prof. Maller has held a variety of positions relating to Statistics, Probability and Financial Mathematics, ranging from consultant statistician at the CSIRO (1968-1988,  including Senior Regional Officer, WA Branch of the Division of  Mathematics and Statistics, 1985-1988), to Lecturer and later Professor in the Departments of Mathematics and Statistics and Accounting and Finance at the University  of  Western Australia. Most recently,  he has been Professor of Financial Mathematics, Centre for Mathematical Analysis and  School of Finance and Applied Statistics, at the Australian National University, before taking his present position.

He has extensive lecturing experience, having taught Probability and Statistics at all levels from first year through to Honours, and Advanced Finance and Derivatives courses at third year and Honours levels. Supervision includes over 24 completed Honours/Diploma students and 9 completed PhD students to date. 

Current research interests include Probability, Statistics, Insurance and Quantitative Finance, Quantitative Criminology (Recidivism Studies).

He has editorial, refereeing, and reviewing experience with major international  and Australian mathematical,  statistical and applications journals.

Professional visitors  and collaborators  have included major international figures in Probability/Statistics from the US, UK and Europe. He has been involved in many collaborative research projects in Australia, varying over agriculture, fisheries, and especially criminology, applications. He is author of over 100 research papers in  probability, statistics and applications journals, and co-author of two books: "Survival Analysis with Long-term Survivors" (with Xian Zhou, Wiley, 1996) and "Mathematical Ecology of Plant Species Competition" (with A.G. Pakes, Camb.Univ. Press, 1989).

He has held a number of ARC and other grants including an  ARC Discovery Grant and Australian Professorial Fellowship, 2010-2014.

PRIZES AND HONOURS
G. W. Snedecor Prize, 1984 (American Statistical Association).

EMPLOYMENT
2014 – Professor, School of Finance, Actuarial Studies & Statistics,  Australian National University.
2010-2014 Professor of Mathematical Finance,
Mathematical Sciences Institute,  Australian National University.
2003-2010 Professor of Mathematical Finance,
joint appointment, School of Finance, Actuarial Studies & Applied Statistics and Mathematical Sciences Institute,  Australian National University.
1999 - June 2003, Professor of Quantitative Finance,
Dept. of Accounting & Finance, University  of  WA.
1998 -1999, Professorial Research Fellow, Univ of
Manchester, UK.
1988-1999, Associate Professor,  Dept. of 
Mathematics  & Statistics, University  of  WA.
1968-1988,  Principal Research Scientist,  CSIRO
Division  of  Mathematics &  Statistics.

RESEARCH INTERESTS
 Stochastic Processes, Statistics, Applied Statistics,  Probability, Quantitative Finance, Options, Portfolio Analysis, Random Walks.

Grants

Grants on which I have been Senior or Associate Investigator:
2016-2018 ARC Discovery Grant, $228,703, "Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes", joint with Dr Boris Buchmann.
2010-2014 ARC Discovery Grant and Australian Professorial Fellowship, joint with Prof. Claudia Kl ̈uppelberg, $830,000.
2006–2008 ARC Discovery Grant, joint with Prof. Claudia Kl ̈uppelberg, $340,000.
2004–2009 ARC Network Grant Participant, $1,750,000.
2002–2004 ARC Discovery Grant, joint with Prof. Claudia Kl ̈
uppelberg, for “Stochastic Analysis with a View to Applications in Financial Risk Processes” $175,000.
2003 UWA Distinguished Visitor Research Grant for Prof. Claudia Kl ̈
uppelberg ($2147).
1999 UWA Distinguished Visitor Research Grant for Prof. Claudia Kl ̈
uppelberg ($2023).
21998–2000 Methods for the Analysis of Multivariate Survival Data. I. James and R.A. Maller, Australian Research Council Large Grant ($156,000).
1996 UWA Distinguished Visitor Research Grant for Prof. C. Goldie ($1997).
1995–1996 Estimating the Probability of being Immune or Cured. R. A. Maller, Australia Research Council Small Grant ($12,979).
1995–1996 Estimating the Number of Arrests as a Function of an Offender’s Age. R.Harding and R. A. Maller, Criminology Research Council Grant ($38,387).
1995 Cornell University Math. Department Visitor’s Grant to R. A. Maller ($US2,000).
1994 UWA Distinguished Visitor Research Grant for Prof. H. Kesten ($2,385).
1992–1993 Statistical Models for Adult Offender Populations (continuation). R. G. Broadhurst and R. A. Maller, Criminology Research Council Grant ($19,000).
1992 Cornell University Math. Department Visitor’s Grant to R. A. Maller ($US1,000).
1991 UWA Individual Research Grant: Modelling Criminal Careers ($4,327).
1990–1991 Statistical Models for Adult Offender Populations. R. G. Broadhurst and R.A. Maller, Criminology Research Council Grant ($54,929).
1990 UWA Distinguished Visitor Research Grant for Prof. H. Kesten ($1,500).
1990 Statistical Analysis of Criminal Careers. UWA Spec. Res. Grant. R. A. Maller ($14,349).
1990 Methods for the Analysis of Longitudinal Repeated Measures Data. I. R. James, R.A. Maller. UWA Special Research Grant ($4,698).
1989 Analysis of Recidivist Data. R. A. Maller UWA Special Research Grant ($14,675).
1989 Methods for the Analysis of Longitudinal Repeated Measures Data. I. R. James, M.W. Knuiman, R. A. Maller, UWA Special Research Grant ($5,400).
1988–89 Careers of Institutionalised Serious Offenders. R. A. Maller and R. G. Broadhurst, Criminology Research Council Grant ($28,901).
1983–84. Recidivism of Western Australian Prisoners. R. G. Broadhurst and R. A. Maller, Criminology Research Council Grant ($21,500).

Supporting Investigator or Research Fellow on the following grants:
2001 Visiting Fellow, EPSRC (British Engineering and Physical Science Research Council) Grant to Prof. R. Doney (c. $AUS 20,000).
1998 Visiting Fellow, EPSRC Grant GR/L8594 to Prof. R. Doney (c. $AUS 83,000).
1996 Senior Research Fellow, Hong Kong Polytechnic University Internal Research Grant
No. 0351-580 to X. Zhou for “The Analysis of Competing Risks in Censored Survival Data” (c. $AUS 18,000).
31995 Senior Investigator, WA Ministry of Justice Grant to Prof. R. Harding of the Crime Research Centre, UWA, 1996 ($157,000).
1995 Visiting Fellow, EPSRC Grant to Prof. C. M. Goldie, Sussex Univ. (c. $AUS 8,000).

Publications

https://researchers.anu.edu.au/researchers/maller-ra

Research engagement

PROFESSIONAL ACTIVITIES
Reviewer, ARC grant applications in Prob.,  Statistics & Finance. Reviewer, Math. Reviews & Z. Mathematik. Referee for major Prob. & Statistics journals.  Referee for US tenure & promotion  cases, & for US NSF grant applications. Ass. Ed., J. Aust. Math. Soc. (1993-1995, 1996- 1998). Ass. Ed., J. Quant. Crim. (1997-2014).  Ass.  Ed., Appl. Stoch. Models in  Business & Industry (2003-2010), Ass. Ed. J.Theoret. Prob (2009-)

Teaching

Currently teaching FINM3003/7003 Continuous Time Finance