Theses Supervised by Uwe Schmock



Date Name of Student Title Type Co-Supervisor(s) Location and Remarks
3. Dec. 2013 Johannes Heiny Multivariate Extremes and Dependence Structures: A Theoretical Background for Modelling Diploma thesis FAM, TU Vienna
7. June 2013 Vadym Slavov Explicit Berry-Esseen Bounds for the Asymptotic Normality of the Standard Estimators of Kendall's Tau (in German) Diploma thesis FAM, TU Vienna
5. June 2013 Karin Hirhager Adapted Dependence with Applications to Financial and Actuarial Risk Management Ph.D. thesis FAM, TU Vienna
15. July 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. March 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
26. 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
30. Jan. 2008 Anita Müksch Applications of Risk Measures in Life Insurance (in German) Master thesis FAM, TU Vienna
23. Nov. 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

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