[Zurück]
 
Please choose
Jahr
Details
Sprache
Sortierung
Ausgabe
neu: RTF !
 Research Report for 2006

Abteilung für Mathematische Stochastik

Prof. Dr. Ludger Rüschendorf

Eckerstr. 1
79104 Freiburg
Tel: 0761/203-5664 Fax: 0761/203-5661
Email sekretariat@stochastik.uni-freiburg.de
http://www.stochastik.uni-freiburg.de/


Scientific Employees

  • Prof. Dr. Ludger Rüschendorf
  • Jan Bergenthum
  • Christian Lauer
  • Georg Mainik
  • G. Olaf Munsonius
  • Eva-Maria Schopp
Entries in "Who is Who"

Scientific and Research Projects


  • Analysis of algorithms and randomized algorithms
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details
  • Modeling and stochastic analysis of time series and stochastic processes
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details
  • Monge-Kantorovich transport problems, optimal couplings, and multivariate risk.
    • Project Manager: Prof. Dr. Ludger Rüschendorf
    • Start/End of project: since 2002
    • Project Details

Scientific publications

Journal Articles:
  • Bergenthum J, Rüschendorf L: Comparison of option prices in semimartingale models. Financ Stoch, 2006; 10: 222-249.
  • Burgert C, Rüschendorf L: On the optimal risk allocation problem. Statistics and Decisions, 2006; 24: 153-171.
  • Burgert C, Rüschendorf L: Consistent risk measures for portfolio vectors. Insurance: Mathematics and Economics, 2006; 38: 289-297.
  • Neininger R, Rüschendorf L: Multivariate aspects of the contraction method. Discrete Mathematics & Theoretical Computer Science, 2006; 8: 31-56.
  • Rüschendorf L: Law invariant convex risk measures for portfolio vectors. Statistics and Decisions, 2006; 24: 97-108.
  • Rüschendorf L: On stochastic recursive equations of sum- and max-type. Journal of Application and Probability, 2006; 43: 687-703.
  • Rüschendorf L, Schopp E-M: Exponential tail bounds for max-recursive sequences. Electronic Communications in Probability (ECP), 2006; 11 (online): 266-277.
Book Chapters:
  • Rüschendorf L: Ordering of insurance risk. In: Encyclopia of Insurance Sciences. Wiley, 2006.
  • Rüschendorf L: Risk measures for portfolio and allocation of risk. In: Bol G; Rachev S T; Würth R (Hrsg.): Risk assessment: Decisions in Banking and Finance. Selected papers based on the presentations at the 9th econometric workshop, Karlsruhe, Germany, April 5--7, 2006. Heidelberg: Springer/Physica-Verlag, 2006; 153-164 (Contributions to Economics).

Special Scientific Activities

Invited Speech:
  • Prof. Dr. Ludger Rüschendorf: Risk measures for portfolio vectors and allocation of risks. (invited speech), Bachelier Seminar, Paris (Frankreich), 05.10.2006 bis 06.10.2006.
  • Prof. Dr. Ludger Rüschendorf: On recursive equations and recursive processes. (invited speech), Analysis of Algorithms, Alden Biesen (Belgien), 02.07.2006 bis 08.07.2006.
  • Prof. Dr. Ludger Rüschendorf: Optimal stopping with applications. (invited speech), Bremen, 06.06.2006.
  • Prof. Dr. Ludger Rüschendorf: Risk measures for portfolio vectors and allocation of risks. (invited speech), Karlsruhe, 06.04.2006 bis 07.04.2006.
  • Prof. Dr. Ludger Rüschendorf: On additive and max-recursive sequences. (invited speech), Frankfurter Stochastik-Tage, 14.03.2006 bis 17.03.2006.
  • Prof. Dr. Ludger Rüschendorf: Optimal stopping with applications. (invited speech), Manchester (England), 23.01.2006 bis 27.01.2006.
Herausgeberschaften:
  • Prof. Dr. Ludger Rüschendorf: Co-Editor "Statistics and Decisions", Oldenbourg-Verlag, seit 2002.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "REV STAT", seit 2002.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "Applicationes Mathematicae", seit 1995.
  • Prof. Dr. Ludger Rüschendorf: Associate-Editor "Statistics", seit 1995.

Scientific Dissertations

Dissertations
  • Lauer, Christian: Muster und Alignments in zufälligen Zeichenketten. (Supervisor Prof. Dr. Ludger Rüschendorf, Secondary Supervisor Prof. Dr. D. Pfeifer (Oldenburg)), 2006.
Degree Dissertations
  • Schwab, Carla: Axiomensysteme für Prämienprnzipien und Risikomaße (Supervisor Prof. Dr. Ludger Rüschendorf), 2006.