Stochastic Processes in Finance, Actuarial Science and Engineering

Stochastic processes describe the chronological sequence of a system that is subject to random influencing variables. A distinction is made between processes in discrete and continuous time. The research group focuses on applications in financial and actuarial science as well as in stochastic operations research. For example, share prices, risk reserves of an insurance company or queues in service networks (e.g. in production planning or mobile communications) are modeled using stochastic processes. The aim is to make statements about the long-term behavior of processes or characteristic system variables as well as the effect of influencing parameters or dependencies.

For publications, see the Institute's publication list.

Projects

• BMBF project MONES - Mathematical methods for the optimization of local heating networks and geothermal energy storage systems. 11/22-
• DAAD Project PeStO - Perspectives in Stochastic Optimization and Applications (with R. Wunderlich, A. Fügenschuh, O. Menoukeu Pamen) 08/18-01/22.
• DFG Project: Statistics of Lévy driven models (with J.-P. Kreiß, A. Lindner and R. Stelzer) 06/13-05/16.
• Project from Junior Professors Program: Risk Management in Financial Markets and Optimal Incentive Systems. 10/09-09/11.
• BMBF project REX: Risk-controlled environment exploration for security tasks. 07/07-06/10.
• BMBF project ALI: Alternative Investments: modeling, statistics, risk management and software. 07/07-06/10.
• DFG-Project: Multidimensional Ruin Theory: Modeling, Algorithmics and Analysis. (with R. Grübel). 04/06 - 03/08.