Financial and Actuarial Mathematics   at Vienna University of Technology, Austria

Prof. Dr. Uwe Schmock

Full professor at the

Institute for Mathematical Methods in Economics
Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstraße 8-10/105-1
A-1040 Vienna
Austria

Another picture (June 2001)
Direct phone: (+43-1) 58801-10520
Personal fax: (+43-1) 58801-9-10520
Fax of Institute: (+43-1) 58801-10599
E-mail: schmock@fam.tuwien.ac.at
Secretary: Ms. Sandra Trenovatz
Phone of secretary: (+43-1) 58801-10511

[Entry in White Pages] [German CV] [Talks] [Supervised Theses]

Go down to:
[Preprints] [Proceedings] [Reports] [Lecture Notes] [Teaching] [Editorial Duties] [Memberships] [TV] [The Press] [Free Software] [Miscellaneous]

Selected Papers and Preprints

• Generalization of the Dybvig–Ingersoll–Ross Theorem and Asymptotic Minimality
• A Generalization of Panjer's Recursion and Numerically Stable Risk Aggregation
• Non-Monotone Convergence in the Quadratic Wasserstein Distance
• The New Austrian Annuity Valuation Table AVÖ 2005R
• Kendall's Tau for Elliptical Distributions
• Valuation of Exotic Options Under Shortselling Constraints
• Estimating the Value of the WinCAT Coupons of the Winterthur Insurance Convertible Bond: A Study of the Model Risk
• Rank-Dependent Moderate Deviations of U-Empirical Measures in Strong Topologies
• Large Deviations for Products of Empirical Measures of Dependent Sequences
• Large Deviations of U-Empirical Measures in Strong Topologies and Applications
• Exponential Approximations in Completely Regular Topological Spaces and Extensions of Sanov's Theorem
• Self-Attracting d-Dimensional Random Walks
• On the Maximum Entropy Principle for Uniformly Ergodic Markov Chains, II
• Convergence of Path Measures Arising from a Mean Field or Polaron Type Interaction
• Maximum Entropy Principle for Uniformly Ergodic Markov Chains
• Convergence of the Normalized One-Dimensional Wiener Sausage Path Measures to a Mixture of Brownian Taboo Processes

Some Proceedings Contributions

• Estimating the Value of the WinCAT Coupons of the Winterthur Insurance Convertible Bond
  (4th Workshop on Probability Theory and its Applications, Bielefeld, October 1997)
• Estimating the Value of the WinCAT Coupons of the Winterthur Insurance Convertible Bond
  (International ASTIN/AFIR Colloquia, Cairns, August 1997)
• Large and Moderate Deviations for Products of Empirical Measures and U-Empirical Measures in Strong Topologies
  (3rd Workshop on Probability Theory and its Applications, Bielefeld, October 1996)
• Strong Topology Large Deviations for Products of Empirical Measures of Processes
  (2nd Workshop on Probability Theory and its Applications, Bielefeld, 1995)
• On Self-Attracting d-Dimensional Random Walks
  (1st Workshop on Probability Theory and its Applications, Bielefeld, 1994)
• On Self-Attracting Random Walks
  (Stochastic Analysis, Cornell University, July 1993)

Reports

• Stochastic Analysis in Finance and Insurance, Oberwolfach 1997
  [Plain TeX, 35 kB] [DVI, 44 kB] [PDF, 250 kB] [Postscript, 370 kB]
• ASTIN/AFIR Colloquia, Cairns 1997
  [Plain TeX, 15 kB] [DVI, 19 kB] [PDF, 76 kB] [Postscript, 108 kB]
• Large Deviations and Applications, Oberwolfach 1992
  [Plain TeX, 51 kB] [DVI, 69 kB] [PDF, 187 kB] [Postscript, 520 kB]

Lecture Notes

• Modelling Dependent Credit Risks with Extensions of CreditRisk⁺ and Application to Operational Risk
  [PDF, 519 kB]

Teaching

Editorial Duties

• Member of the Editorial Board of the ASTIN Bulletin (since 2003)
• Associate Editor of Statistics and Decisions (since 2003)
• Member of the Editorial Board of the Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik (2003-2006)

Professional Memberships

• German National Mathematical Society (DMV) (in Wikipedia)
• Special Interest Group Stochastics of the DMV
• Advisory Board of the Actuarial Association of Austria (since 2003) (in Wikipedia)
• Scientific Society Insurance, Financial, and Operational Risk Management

Supporting Memberships

• German National Academic Foundation (in Wikipedia)
• Swiss National Academic Foundation
• Swiss Air-Rescue (Rega) (in Wikipedia)

Television

• Hohes Haus, BAWAG-Skandal (ORF 2, June 11, 2006)
  [Large, 334 MB] [Medium, 2.2 MB] [Small, 2.6 MB]

The Press

• Geometry of Interest Rates: the Research Unit of Financial and Actuarial Mathematics at the Vienna University of Technology (bridges vol. 11, Sept. 2006)
• Einmaleins des Risikos (Der Standard, April 12, 2006)
• TU Wien analysiert Finanzrisken (Die Presse, March 15, 2006)
• BA-CA unterstützt Forschungsinitiative der TU Wien (Press release of the TU Vienna, March 13, 2006)
• Mathematik gehört gefördert (News of the TU Vienna, March 14, 2005)
• Wissenschaft begegnet Wirtschaft (ETH Life, Feb. 23, 2004)
  (English translation, March 4, 2004)
• Berliner wird TU-Professor (Der Standard, July 21, 2003)
• Neuberufener TU-Professor Uwe Schmock setzt bei Versicherungs-
  und Finanzmathematik neue Akzente (News of the TU Vienna, July 16, 2003)
• Mit mathematischen Methoden Risiken abwägen
  Risikoforschung am RiskLab an der ETH Zürich
  Neue Zürcher Zeitung, Zürich, February 23, 2001.
  English translation

Free Software for Macintosh

• AMS/PS Virtual Font Metrics for Textures
  (Version 0.50, compressed BinHex-coded file, 90 kB)
• AMS-LaTeX2e Macro Menu for Textures 1.8 or newer
  (Version September 21, 1999, compressed BinHex-coded file, 18 kB)
• EC Fonts Version 1.0 in Bitmap Form
  Metrics suitcase for Textures (compressed, 373 kB)
  Compressed bitmap font suitcases for selected design sizes
  [Single size fonts, 179 kB] [5pt, 474 kB] [6pt, 568 kB] [7pt, 687 kB] [8pt, 1066 kB] [9pt, 1196 kB] [10pt, 1404 kB] [10.95pt, 1585 kB] [12pt, 1759 kB] [14.4pt, 2235 kB] [17.28pt, 1316 kB] [20.74pt, 1638 kB] [24.88pt, 2069 kB] [29.86pt, 2688 kB] [35.83pt, 921 kB]
• Tips and Tricks for Textures

Miscellaneous

• My Erdös Number is at most 4. Here are several paths:
  (a) Paul Erdös -> Harry Pollard -> Leonard D. Berkovitz -> Steven E. Shreve -> Uwe Schmock
  (b) Paul Erdös -> Marc Aron Berger -> Halil Mete Soner -> Steven E. Shreve -> Uwe Schmock
  (c) Paul Erdös -> Endre Csáki -> Jay S. Rosen -> Jean-Dominique Deuschel -> Uwe Schmock
  (d) Paul Erdös -> Pál Révész -> Jay S. Rosen -> Jean-Dominique Deuschel -> Uwe Schmock
• My entry and the one of my Ph.D. advisor Erwin Bolthausen in The Mathematics Genealogy Project data base.

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