| Date |
Name of Student |
Title |
Type |
Co-Supervisor(s) |
Location and Remarks |
| 15. Juli 2011 |
Jonas Hirz |
Design of Optimal Cost-Efficient Payoffs and Corresponding Investment Strategies
(2. Prize of AVÖ in 2011) |
Master thesis |
|
FAM,
TU Vienna and
Uni. of Salzburg |
| 22. März 2011 |
Piet Porkert |
On Weak Solutions of Stochastic Differential Equations in Hilbert Spaces |
Diploma thesis |
Dr. Stefan Tappe |
FAM,
TU Vienna |
| 15. June 2010 |
Verena Goldammer |
Dependent Credit Rating Transitions and the Generalization of the
Dybvig-Ingersoll-Ross Theorem
(2. Prize of AVÖ in 2010) |
Ph.D. thesis |
|
FAM,
TU Vienna |
| 15. June 2010 |
Robert Schöftner |
Market and Credit Risk Aggregation: A Bottom-Up Approach
(1. Prize of AVÖ in 2010) |
Ph.D. thesis |
Prof. Markus Leippold
(ISB,
University of Zurich) |
FAM,
TU Vienna |
| 18. March 2010 |
Barbara Dengler |
On
the Asymptotic Behaviour of the Estimator of Kendall's Tau
(3. Prize of AVÖ in 2010) |
Ph.D. thesis |
|
FAM,
TU Vienna |
| 27. October 2009 |
Magdalena Six |
Surplus Distribution Systems in a Markovian Life Insurance Model and
Their Effects on the Profitability of the Life Settlement Market
(1. Prize of AVÖ in 2009) |
Master thesis |
|
FAM,
TU Vienna and
Uni. of Salzburg |
| 19. June 2009 |
Christoph Brodowicz |
Pricing
Synthetic Collateralized Debt Obligations using Normal Approximation
(3. Prize of AVÖ in 2009) |
Master thesis |
|
FAM,
TU Vienna and
Uni. of Salzburg |
| 16. June 2009 |
Stefan Wohlmuth |
A Nonparametric Test of Independence
- Dealing with Tied Observations |
Diploma thesis |
Dipl.-Math. Barbara Dengler |
FAM,
TU Vienna |
| January 2009 |
Marianne Priebernig |
Calculation
of the Embedded Value Using Stochastic Discount Rates
(in German, 1. Prize of AVÖ in 2008) |
Diploma thesis |
|
FAM,
TU Vienna |
| 16. April 2008 |
Richard Warnung |
The Construction of an Integrand and Improved Recursions for Risk Aggregation
(2. Prize of AVÖ in 2008) |
Ph.D. thesis |
Prof. Walter Schachermayer |
FAM,
TU Vienna |
| December 2007 |
Anita Müksch |
Applications of Risk Measures in Life Insurance (in German) |
Master thesis |
|
FAM,
TU Vienna |
| October 2007 |
Paul Buchner |
Hedging
Integrated Risks in Unit-Linked Life Insurance |
Master thesis |
|
FAM,
TU Vienna and
Uni. of Salzburg |
| February 2007 |
Michaela Maier |
Claim Reserving
- Deterministic, Stochastic and Multivariate Methods
(2. Prize of AVÖ in 2007) |
Master thesis |
|
FAM,
TU Vienna and
Uni. of Salzburg |
| February 2006 |
Ulrike Loy |
Austrian Pension Reforms Since 2000 for Blue and White Collar Workers
and Their Financial Consequences (in German) |
Master thesis |
|
FAM,
TU Vienna |
| Oktober 2005 |
Beate Spangl |
Analysis
of a Life Insurance Portfolio Using Multivariate Statistical Methods
(in German) |
Master thesis |
Mag. Christoph Krischanitz
(Arithmetica) |
FAM,
TU Vienna |
| September 2005 |
Thomas Bauer |
Surplus
Distribution Systems in a Stochastic Life Insurance Model
(in German) |
Diploma thesis |
Dr. Reinhold Kainhofer |
FAM,
TU Vienna |
| September 2005 |
Michael Ibi |
Risk
Segmentation with R for a Motor Insurance Portfolio
(in German) |
Diploma thesis |
Dr. Michael Schlögl
(Wiener Städtische
Allgemeine Versicherung AG) |
FAM,
TU Vienna |
| May 2005 |
Dipl.-Ing. Thomas Dockal |
Introduction
of Dynamic Financial Analysis at the Generali Holding Vienna AG
(in German) |
Master thesis |
|
FAM,
TU Vienna |
| Winter 2003/04 |
Riccardo Gusso |
An Application
of EM Algorithm to Calibration of Dependent Credit Risk Models |
Master thesis |
|
MAS Finance,
ETH and
University of Zürich |
| Winter 2003/04 |
Anca Antonov |
Performance
of Modern Techniques for Rating Model Design |
Master thesis |
Dr. Jörg Behrens, Dr. Nasir Ahmad
(Ernst & Young) |
MAS Finance,
ETH and
University of Zürich |
| Winter 2003/04 |
Cornelia Glavan |
An Application
of Alternative Risk Measures to Trading Portfolios |
Master thesis |
Dr. Andreas Bitz (UBS) |
MAS Finance,
ETH and
University of Zürich |
| Winter 2001/02 |
Giacomo Mazzola |
Asymptotic Behaviour of Risk Processes Given Ruin Occurs |
Diploma thesis |
Prof. Paul Embrechts |
RiskLab,
ETH Zürich |
| Winter 2000/01 |
Daniel Seiler |
Modelling Dependent Credit Risks
|
Diploma thesis |
Prof. Paul Embrechts |
Thesis in connection with the project
Risk Modelling for
a Swiss Retail/Middle Market Loan Portfolio at
RiskLab,
ETH Zürich |
| Summer 2000 |
Olaf Strub |
On the Normality of
Long-Term Financial Log-Returns |
Diploma thesis |
Prof. Paul
Embrechts,
Dr. Alexander McNeil |
Thesis in connection with the
SLTFR project at
RiskLab,
ETH Zürich |
| Spring 2000 |
Michael Rey |
A Company's Value in Respect to the Merton Model/Credit Metrics |
Semester thesis |
Dr. Maria Kafetzaki
Boulamatsis |
Thesis in connection with a
project at
RiskLab,
ETH Zürich |
| Spring 2000 |
Tatiana Solcà |
Expected Risk-Adjusted
Return for Insurance Based Models |
Diploma thesis |
Prof. Paul
Embrechts |
RiskLab,
ETH Zürich |