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 Research Report for 2008

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
  • Swen Kiesel
  • 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 results for path-dependent options. Statistics & Decisions, 2008; 26: 53-72.
  • Burgert C, Rüschendorf L: Allocation of risks and equilibrium in markets with finitely many traders. Insurance: Mathematics and Economics, 2008; 42: 177-188.
  • Kiesel S, Rüschendorf L: Characterizatin of optimal risk allocations for convex risk functionals Statistics & Decisions, 2008; 26: 303-319.
  • Ludkovski M, Rüschendorf L: On comonotonicity of Pareto optimal risk sharing. Statistics and Probability Letters, 2008; 78: 1181-1188.
  • Mainik G, Rüschendorf L: On estimation of extremal risks and optimal portfolio diversification in the heavy-tailed case. Preprint Uni Freiburg, 2008.
  • Rüschendorf L: On a comparison result for Markov processes. J Appl Probab, 2008; 45: 279-286.
  • Rüschendorf L, Urusov M: On a class of optimal stopping problems for diffusions with discontinuous coefficients. Ann Appl Probab, 2008; 18: 847-878.
Book Chapters:
  • Rüschendorf L: Ordering of insurance risk. In: Melnick E L, Everitt B S (Hrsg.): Encyclopedia of Quantitative Risk Analysis and Assessment, 2176 pages Wiley, 2008.

Special Scientific Activities

Invited Speech:
  • Prof. Dr. Ludger Rüschendorf: Stochastic ordering and risk measures for portfolio vectors. (invited speech), Workshop: Multivariate Risk Measures., Paris (Frankreich), 16.10.2008 bis 17.10.2008.
  • Prof. Dr. Ludger Rüschendorf: Stochastic ordering and risk measures for portfolio vectors. (invited speech), 1st Summerschool on Copulas, Linz (Österreich), 17.09.2008 bis 19.09.2008.
  • Prof. Dr. Ludger Rüschendorf: Stochastic ordering and risk measures for portfolio vectors. (invited speech), Mathematics and Stochastics: Quantitative risk management., Oberwolfach, 17.03.2008 bis 22.03.2008.
  • Prof. Dr. Ludger Rüschendorf: Comparison results for path dependent options. (invited speech), 8th German Open Conference on Probability and Statistics, RWTH Aachen, 04.03.2008 bis 07.03.2008.
  • Prof. Dr. Ludger Rüschendorf: On the ordering of option prices. (invited speech), Stochastic Analysis in Finance and Stochastics., Oberwolfach, 28.01.2008 bis 01.02.2008.
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.
Fakultaet:
  • Prof. Dr. Ludger Rüschendorf: Prodekan, 01.10.2008 bis 30.09.2010.

Scientific Dissertations

Dissertations
  • Schopp, Eva-Maria: Tail behaviour and martingale convergence of random recursive structures and algorithms (Supervisor Prof. Dr. Ludger Rüschendorf, Secondary Supervisor Prof. Dr. Brigitte Chauvin (Paris)), 2008.
Degree Dissertations
  • Erhardt, Gregor Simon: On super hedging acceptability and time-consistent risk measures in continuous time financial markets. (Supervisor Prof. Dr. Ludger Rüschendorf), 2008.
  • Ludwig, Claudius: RDEU-äquivalente Risikomaße. (Supervisor Prof. Dr. Ludger Rüschendorf), 2008.
  • Siegin, Sven: Darstellung und Vergleich von Risiken in Copula-Modellen. (Supervisor Prof. Dr. Ludger Rüschendorf), 2008.
  • Weber, Irina: Komonotone Verbesserung und optimale Risikoallokation. (Supervisor Prof. Dr. Ludger Rüschendorf), 2008.