| Date |
Name of Student |
Title |
Type |
Co-Supervisor(s) |
Location and Remarks |
| 12. June 2024 |
Karoline Vonach |
Matrix-Valued Gamma Distributions and Applications in Risk Management |
Diploma thesis |
|
FAM,
TU Vienna |
| 17. October 2023 |
Felix Franz Sadowski |
Multidimensional Stochastic Integration |
Diploma thesis |
|
FAM,
TU Vienna |
| 19. January 2023 |
Katarína Juhásová |
Modelling of Probability of Default for Low Risk Securities Portfolios |
Diploma thesis |
|
FAM,
TU Vienna |
| 25. November 2021 |
Daniel Wimmer |
Model Risk of the Estimation of Epidemiological Parameters of Covid-19
(1. Prize of AVÖ in 2021,
Diploma thesis prize of the City of Vienna 2022) |
Diploma thesis |
|
FAM,
TU Vienna |
| 22. September 2021 |
Thomas Wagenhofer |
Generalized Conditional Expectation and Applications to Martingale Theory |
Diploma thesis |
|
FAM,
TU Vienna |
| 23. September 2020 |
Aleksandar Arandjelović |
Elements of Large Deviations Theory for Banach-Space-Valued Brownian Motion and Ciesielski's Isomorphism in Weighted Hölder Spaces
(Diploma thesis prize of the City of Vienna 2021) |
Diploma thesis |
|
FAM,
TU Vienna |
| 25. November 2019 |
Katharina Daria Riederer |
Refined Doob Inequalities for σ-Integrable Submartingales and Intertemporal Risk Constraints |
Diploma thesis |
|
FAM,
TU Vienna |
| 13. March 2019 |
Christiane Elgert |
Theory of Distribution-Constrained Optimization Problems
(1. Prize of AVÖ in 2019) |
Ph.D. thesis (Dr. rer. nat.) |
|
FAM,
TU Vienna |
| 11. March 2019 |
Martin Schmidt |
Aggregation of Integer-Valued Risks with Copula-Induced Dependency Structure
(2. Prize of AVÖ in 2019) |
Diploma thesis |
|
FAM,
TU Vienna |
| 15. January 2019 |
Sühan Altay |
Interest Rate Modeling and Optimal Trading Portfolios with Dependence and Partial Information |
Ph.D. thesis (Dr. rer. nat.) |
|
FAM,
TU Vienna |
| 22. June 2017 |
Lukas Fabrykowski |
Extended CreditRisk+ with Guarantees
(3. Prize of AVÖ in 2017) |
Diploma thesis |
|
FAM,
TU Vienna |
| 20. January 2017 |
Piet Nikolaus Porkert |
Central and Non-Central Limit Theorems |
Ph.D. thesis (Dr. rer. nat.) |
|
FAM,
TU Vienna |
| 11. January 2016 |
Lars Rösler |
Stochastic Filtering in Pricing and Credit Risk Management |
Ph.D. thesis (Dr. rer. nat.) |
Prof. Dr. Rüdiger Frey |
FAM,
TU Vienna |
| 26. November 2015 |
Alexander Schubert |
Derivation of an Austrian Annuity Valuation Table for the Pension Insurance |
Diploma thesis |
|
FAM,
TU Vienna |
| 19. November 2015 |
Julija Vlagyimirovna Spacsenko |
Anwendung adaptierter Abhängigkeit bei der fondsgebundenen Lebensversicherung |
Diploma thesis |
|
FAM,
TU Vienna |
| 9. June 2015 |
Jonas Hirz |
Advanced Conditional Risk Measurement and Risk Aggregation with Applications to Credit and Life Insurance
(1. Prize of AVÖ in 2015) |
Ph.D. thesis (Dr. rer. nat.) |
Prof. Dr. Pavel Shevchenko |
FAM,
TU Vienna |
| 30. April 2014 |
Cordelia Rudolph |
A Generalization of Panjer's Recursion for Dependent Claim Numbers and an Approximation of Poisson Mixture Models
(3. Prize of AVÖ in 2014) |
Ph.D. thesis (Dr. rer. nat.) |
|
FAM,
TU Vienna |
| 3. Dec. 2013 |
Johannes Heiny |
Multivariate Extremes and Dependence Structures: A Theoretical Background for Modelling
(2. Prize of AVÖ in 2013) |
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
(1. Prize of AVÖ in 2013) |
Ph.D. thesis (Dr. techn.) |
|
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 (Dr. rer. nat.) |
|
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 (Dr. rer. soc. oec.) |
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 (Dr. rer. nat.) |
|
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 (Dr. techn.) |
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 |