News
Congratulations to Gabriela Zeller on the completion of her doctorate!
Gabriela Zeller successfully defended her doctoral thesis entitled "Cyber Risk and Insurance: Risk and Dependence Modelling and Optimal Pricing of Cyber Assistance" on November 23, 2023. Her doctorate was supervised by Prof. Dr. Matthias Scherer. We wish Gabriela a successful future career at Munich Re!
Congratulations to Michel Kschonnek on his successful promotion!
Michel Kschonnek successfully defended his doctoral thesis entitled "Duality Methods for Dynamic Portfolio Optimization with Constraints" on October 09, 2023. The doctorate was supervised by Prof. Dr. Rudi Zagst and Prof. Dr. Marcos Escobar-Anel. We wish Michel every success for his future career at the Boston Consulting Group!
Insurance Nord Preis for Annika Schneider
Congratulations to our former student Annika Schneider for receiving the Insurance Prize Nord 2023 for her master's thesis 'Quantifying and Hedging Moral Hazard Risk in Disability Income Insurance'! Annika wrote her thesis within a research project at the Australian National University in Canberra, which she joined through our iCair programme. This month, her thesis was awarded by PwC Germany.
Quant Finance Master's Guide 2023: TUM master's program ranked 15th
In the annual ranking of the world's leading quantitative finance master's programs published by Risk.net, the Mathematical Finance and Actuarial Science (MFAS) degree program at TUM is ranked 15th this year. This makes it one of the 25 best master's programs in quant finance worldwide. Risk.net publishes news and analyses from the financial industry as well as several academic journals. This year's edition of the "Quant Finance Master's Guide" lists a total of 50 master's programs. Risk.net determines the top 25 according to the methodology described below.
MFAS among the top 4 in Europe: A total of eleven master's programs from outside the USA are represented in the top 25 – the master's program in Mathematical Finance and Actuarial Science at the TUM School of Computation, Information and Technology (CIT) is the only program from Germany. In a European comparison, the degree program ranks fourth after ETH Zurich (7th), Sorbonne University in Paris (8th) and Imperial College London (9th).
Eight metrics were examined: To compile the ranking, Risk.net considered eight metrics, including the average class size, the acceptance rate as an indicator of the selectivity of a program, and the employment rate in the finance sector six months after graduation. The total score is the sum of the eight standardized metrics, with the institution with the highest score taking the top position.
About the master’s program: Risk management or portfolio theory, auditing or tax consultancy: The English-language master's program Mathematical Finance and Actuarial Science at CIT ideally prepares students for a career in the financial market sector or insurance industry. The focus of the master’s program depends on the area of specialization: mathematical finance or actuarial science. This is supplemented by courses from the other focus area, by courses from economics and from other sub-areas of pure and applied mathematics. In addition, interdisciplinary courses help students to acquire and enhance their soft skills.
GAUSS Prize 2022 for Gabriela Zeller and Prof. Dr. Matthias Scherer
Each year the German Society for Insurance and Financial Mathematics (DGVFM, e.V.) and the German Association of Actuaries (DAV, e.V.) award the prestigious GAUSS Prize and three Young Researcher Prizes for outstanding scientific work in the field of actuarial and financial mathematics.
The main prize, endowed with 3,000 euros, has been awarded for several years as the "Best Paper Award" of the European Actuarial Journal to an article published in the journal in the respective year, and for 2022 went to Gabriela Zeller and Prof. Dr. Matthias Scherer (both TUM) for their paper "A comprehensive model for cyber risk based on marked point processes and its application to insurance". The work has particularly high practical relevance, as it develops a mathematical model for cyber risk based on marked point processes, which realistically captures the dependence between cyber incidents and the resulting accumulation risk.
The prize was awarded on 22 June 2023 during the scientific symposium on the occasion of the 75th Anniversary of the DGVFM followed by a reception at KölnSKY above the roofs of Cologne.
We congratulate Florian Brück on his successful promotion!
Florian Brück successfully defended his doctoral thesis entitled "Exchangeable Minimum-Infinitely Divisible Sequences: Characterisation, Simulation And A Detour To Model Selection" on 6 June 2023. The doctorate was supervised by Prof. Dr. Matthias Scherer. Florian will continue his research at the Chair of Financial Mathematics until September, in order to join the research group of Prof. Dr. Engelke as a PostDoc at the University of Geneva from October.
M13 @ BIRS: Workshop on Stochastic Modelling of Big Data in Finance, Insurance and Energy Markets in Banff, Canada
Together with the University of Calgary, the Chair of Financial Mathematics organized a workshop at the Banff International Research Station for Mathematical Innovation and Discovery. In a scenic surrounding, presentations and discussions were held on various topics related to stochastic modeling with Big Data in finance, insurance, and energy markets. The event was complemented by a panel discussion with practitioners on current challenges in energy and commodity trading.
Doctoral seminar 2023
In March 2023, the doctoral students and post-docs of the Chair of Financial Mathematics at TUM and the Chair of Energy Trading and the Chair of Financial Services at the University of Duisburg-Essen met for a joint research seminar in the Austrian Montafon in the Alps. After a two-year break from Corona, this valuable tradition was resumed, so that nothing stood in the way of the 16th staging of this "doctoral seminar". With the support of Prof. Dr. Rudi Zagst, Prof. Dr. Aleksey Min, Prof. Dr. Matthias Scherer, Prof. Dr. Rüdiger Kiesel, Prof. Dr. Ralf Werner and Prof. Dr. Lorenz Schneider, current topics and problems from the fields of financial mathematics and energy markets were presented, then discussed, explored and worked on in a relaxed atmosphere. The sisters from the Maria-Hilf convent also provided important support for the successful research exchange with their delicious food and friendly manner.
FIM Excursion to ERGO Group in Düsseldorf & Vista Plant in Venlo
From February 21st to 24th, Prof. Dr Zagst, the 16th and 17th cohort of the Finance and Information Management (FIM) Master's program participated in a field trip to ERGO headquarter in Düsseldorf and Vista's factory in Venlo, Netherlands. The purpose of this trip was to learn more about ERGO and Vista's effort in digital transformation.
The first day was started by a welcoming speech by Prof. Dr Zagst and Andreas Doppler, ERGO's Head of Talent Acquisition and Employer Branding, and was followed by a general keynote speech on ERGO's cooperation with digital ventures in product development. Two subsequent keynote speeches were given to motivate the students tackling the follow-up cases: solutions increasing digital component on policy and claim management and opportunities and risks applying large language models (LLM) for insurance purposes. The students formed five groups, engaged in heated case discussions and presented their solutions in front of the fellow students and ERGO representatives. The agenda at ERGO was concluded by a tour on its headquarter history and art collection.
On the 23d of February, FIM students visited Vista's factory in Venlo, Netherlands, where they were welcomed by a team of staff from data analytics and plant management, led by Ferry Cox, manager at care in manufacturing. The day continued with an introduction of Vista's journey on digital transformation, composition of its Data and Analytics team (DnA), and history of the Venlo plant. After watching a security demonstration, the crew split into four teams, taking turns to have a site-wide tour, trace data utilization in the order-to-delivery process, engage in a case discussion on customer experience enhancing and efficiency optimization, and provide feedbacks on actual orders generated. The trip was concluded by a brief closing session.
The trip belongs to a series of company visits that promotes uniqueness of the FIM program - students visit corporations on-site and discuss with professionals the newest, most relevant and exciting industry practices in-depth.
Written by FIM-Marketing-Team
Congratulations to Yevhen Havrylenko on his successful promotion!
Yevhen Havrylenko took his oral doctoral examination on 6 February 2023. His doctoral thesis entitled "Risk limitation and risk sharing in investment and insurance" was supervised by Prof. Dr. Rudi Zagst. We wish Yevhen every success for his future academic career at the University of Copenhagen.
Bayerischer Digitalpreis 2023
Former FIM students awarded
Congratulations to Flora Geske (former FIM student of Prof. Dr. Rudi Zagst) and the team of SUMM AI summ-ai.com for the 1st place of the Bavarian Digital Award 2023!
Together with Vanessa Theel (also a former FIM student, on the photo on the left with Digital Minister Judith Gerlach in the middle and Flora Geske on the right) and her colleagues, Flora Geske developed an AI-supported tool that translates texts into plain language to make them more understandable for people with learning difficulties, for example.
KIU Innovate Business Forum October 26 - 27, 2022 in Kutaisi, Georgia
From October 26th to 27th, Professor Zagst and class representatives of the 16th cohort of the FIM study program (FIM), Anaís García González and Philipp Wiegand, attended the KUI Business Forum to represent FIM and demonstrate how it has successfully bridged the gap between academia and business over the past 15 years. The KIU Innovate Business Forum was organized by the Kutaisi International University (KIU) in partnership with the U.S. Embassy's University Capacity Building Program and TUM International GmbH. As part of the KIU Innovate initiative, the conference focused on promoting entrepreneurship and innovation at KIU and in Georgia. The forum brought together a diverse group of attendees, including government officials, industry leaders, executives from international organizations, financial institutions, major international companies, and university representatives. It served as a platform for building connections between academia and industry, both nationally and internationally, and helped to develop the young university and Georgia’s innovation ecosystems.
In his presentation, "Best Practices of University-Industry Collaboration," Professor Zagst explained how he and the chair of financial mathematics has managed to build long-term relationships with industry partners in various forms, such as large career fairs and long-term research cooperations. Afterwards, the two students discussed their perspective on fruitful university and industry collaboration.
Professor Zagst is the KIU Finance and Information Management Program Lead at KIU. During the forum, he and his students met with the dean of the KIU School of Management to discuss what makes the FIM program so unique, including the social projects, soft skills, and close collaboration with industry partners. Additionally, interested undergraduate students at KIU had the opportunity to pose their questions to the two TUM students.
Excursion to ERGO Nuremberg
After roughly two years of online events, on 3rd of June, 13 TUM students accompanied by TUM representatives participated in the first of hopefully many more in-person events offered by ERGO: An excursion to ERGO Nuremberg on the topic “Revolutionizing the insurance market: A product life cycle”. Throughout the day, five interesting presentations given by ERGO representatives and a visit of the ERGO call center took place.
After a very warm welcome at Nuremberg, the first two talks gave an overview over the health insurance products and their calculation. The highlight of these two talks was the presentation of a supplementary dental insurance that can be bought after a claim has happened. Then, John-Paul Pieper, a member of the management board, held a very impressive and informative presentation about sales strategies of ERGO products and was thereafter available for questions during the lunch break in which a delicious buffet was set up. After the break, the students were given a tour of the call center rooms and learned how the utilization of the call center is estimated with the help of call distributions. The last talk was about the use of artificial intelligence within customer service and demonstrated the growing importance of machine learning techniques in the insurance industry.
Moreover, during the event one could feel that both ERGO representatives and TUM students tremendously enjoyed the in-person event and the networking opportunities.
All in all, a successful day! Many thanks to ERGO, the ERGO Activity Team and the TUM Chair of Mathematical Finance for making this event possible!
Written by: Katharina Papst, TUM B.Sc. Mathematics student & excursion participant.
Prof. Dr. Matthias Scherer is DAV Trusted Lecturer
The examination boards of the German Actuarial Association (DAV) for the subjects "Insurance Mathematics" and "Financial Mathematics and Risk Management" confirmed the activity of Prof. Dr. Matthias Scherer as DAV Trusted Lecturer (DAV-Vertrauensdozent) for the next three years. This implies that we are allowed to recognize partial examinations for becoming an actuary on the basis of lectures in the Master "Mathematical Finance and Actuarial Science". Further information can be found here.
Best presentation award at the 11th Conference in Actuarial Science and Finance in Samos
The Conference in Actuarial Science and Finance takes place every two years as part of a joint collaboration between the University of the Aegean, Katholieke Universiteit Leuven, Kobenhavns Universitet and New York University. It is a forum for state-of-the-art results in the areas of insurance, finance and risk management, and attracts top academicians and practitioners from every corner of the world.
The scientific committee of the 11th Edition of the conference, held in Karlovasi (island of Samos, Greece) awarded Gabriela A. Zeller, PhD candidate at Chair of Mathematical Finance of the Technical University of Munich, with the 1st prize of the Best Presentation Awards for young researchers. Her joint work with Prof. Matthias Scherer (TUM) titled “Optimal price structure of cyber insurance policies with risk mitigation services” analyses under which conditions it can be profitable for an insurance company to subsidize pre- and post-incident services within cyber insurance policies.
Quant Finance Master’s Guide 2022
The professors of our department are always working to make the Master's programme "Mathematical Finance and Actuarial Science" visible in international rankings. We are very pleased that the master's programme is the only German academic programme to be listed in the Risk Magazine ranking ( https://www.risk.net/quantitative-finance/7905251/quant-finance-masters-guide-2022 ). You can find out whether the TU Munich is actually the best German university for prospective quants on the website of efinancialcareers (https://www.efinancialcareers.de/nachrichten/2022/05/ist-die-tu-munchen-die-beste-deutsche-uni-fur-angehende-quants ).
Adjunct professorship at the Technical University of Munich
At the suggestion of the Faculty of Mathematics, PD Dr. Aleksey Min was appointed as an apl. professor at the Technical University of Munich in February 2022. Our chair congratulates Prof. Dr. Aleksey Min on this title and wishes him further success in research and teaching.