Fit for TUMorrow Day 2024

Friday, November 8, 2024 from 09:00 a.m. - 6:00 p.m. Details will follow in time.

87th meeting of the German ASTIN Group

Together with Roland Voggenauer, Matthias Scherer moderated the "87th Conference of the German ASTIN Group" at the DAV Annual Conference in Berlin on 25 April 2024. The very varied programme included presentations on the topics of "Cyber Insurance Modelling", "Analytics in Health Insurance with AI", "Agricultural Insurance in the Light of Climate Change", "From Pricing to Climate Actuary", the "Report of the Claims Committee" and an overview of the "DGVFM Database Project".

We congratulate Ben Spies on his successful promotion!

Ben Spies successfully defended his doctoral thesis entitled "Using Affine GARCH Models in Portfolio Optimisation" on 9 April 2024.The thesis was supervised by Professor Rudi Zagst and Professor Marcos Escobar-Anel.Ben will continue his work at the Chair of Financial Mathematics until May. We wish Ben all the best for his future career!

Workshop “Stochastic Modelling in Insurance, Asset Management, and Banking”

From 20 to 22 February 2024, a workshop took place at the TUM Academy Centre Raitenhaslach, which was organised in cooperation between the Financial and Actuarial Mathematics research group and the University of Calgary. The workshop focused on stochastic modelling in the fields of insurance, asset management and banking and provided a platform for international experts to discuss new research results and trends from practice. The agenda of the workshop was very diverse, discussing topics such as the application of artificial intelligence and machine learning in the banking sector, affine option pricing models, the optimisation of insurance portfolios and energy markets. We would like to thank the TUM Academy Center Raitenhaslach for the excellent organisation and hospitality. The combination of idyllic surroundings and the historical significance of the centre provided the ideal setting for an inspiring exchange and will certainly be remembered in particular by our guests from overseas.

Research seminar in the Montafon

In March 2024, doctoral students, post-docs and professors from the Financial and Actuarial Mathematics research group, the Chair of Energy Trading and Financial Services at the University of Duisburg-Essen and the Chair of Business Mathematics at the University of Augsburg gathered for a joint research seminar in Montafon in the Austrian Alps. Under the expert guidance of Prof. Dr Rudi Zagst, Prof. Dr Matthias Scherer, Prof. Dr Christoph Knochenhauer, Prof. Dr Rüdiger Kiesel and Prof. Dr Ralf Werner, the latest topics and challenges from the research areas were presented and discussed. In a pleasant and relaxed atmosphere, the seminar provided an excellent platform for the exchange of ideas, the discussion of complex problems and the joint development of solutions. Once again this year, special thanks go to the sisters of the Maria-Hilf convalescent home, whose excellent catering and warm hospitality contributed significantly to the success of the event.

Congratulations to Henrik Sloot on the completion of his doctorate!

Henrik Sloot successfully defended his doctoral thesis entitled "Stochastic representations of Marshall–Olkin distributions and upper semilinear copulas." on December 20, 2023. His doctorate was supervised by Prof. Dr. Matthias Scherer. We wish Henrik all the best for his further career!

Berlin Prize in Insurance Science 2023 awarded to Yevhen Havrylenko

The Association for the Promotion of Insurance Science in Berlin (Der Verein zur Förderung der Versicherungswissenschaft in Berlin e.V. awarded the Berlin Prize in Insurance Science to Yevhen Havrylenko for his excellent doctoral dissertation “Risk limitation and risk sharing in investment and insurance”. Yevhen Havrylenko wrote his dissertation under the supervisor of Prof. Rudi Zagst and defended it in February 2023. The prize recognizes the excellence of research in insurance science and targets habilitation theses and doctoral dissertations. A distinguished evaluation committee, consisting of a minimum of three professors and three representatives from the insurance industry, decided about the recipients of the award and the individual prize amounts. The prize was awarded on 21 November 2023 during the 32nd public event of the Association for the Promotion of Insurance Science in Berlin. The event was hosted by Allianz in their Allianz Forum near the Brandenburg Gate. We congratulate Yevhen Havrylenko on this achievement!

Fit for TUMorrow Day 2023

250 Students. 25 Companies. 95 Company Representatives. 21 Workshops.

On Friday, November 24, 2023, the Fit for TUMorrow Day 2023 took place in the Magistrale of the TUM School of CIT. Once again this year, students and alumni had the opportunity to meet directly with leading companies from the finance and insurance sector at our company fair. At individual booths, they were able to talk to employees, ask questions about practical know-how and discuss topics such as final theses, internships and career prospects. In one-on-one meetings with employees, there was also an opportunity to discuss specific questions about the job or the company. In addition, a number of exciting workshops were held on current economic issues and the challenges facing the financial and insurance industry. These workshops allowed students to engage with the speakers and deepen their knowledge of the topic being discussed.

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!

Munich Risk and Insurance Days 2023

The Munich Risk and Insurance Days workshop, held at the Technical University of Munich on 5 and 6 October, was a resounding success. 
High-calibre speakers from academia and industry, including Valeria Bignozzi, Corrado de Vecchi, Stefan Graf, Gero Junike, Rüdiger Kiesel, Felix Liebrich, Jan-Frederik Mai, Pietro Millossovich, Alfred Müller, Oliver Pfaffel, Michael Preischl, Magdalena Ramada, Wim Schoutens, Gerhard Stahl, Steven Vanduffel, Stefan Weber and Ralf Werner, provided interesting and varied insights not only into current developments in risk management but also in the fields of finance and actuarial mathematics. The numerous participants contributed to in-depth discussions and created an ideal platform for dialogue between theory and practice.
Special thanks go to our sponsor, the Verein zur Förderung der Versicherungswissenschaft in München e.V., and to the organisers of the event, Florian Brück, Andrei Craciunescu, Bettina Haas, Matthias Scherer, Constantin Siggelkow, Corrado De Vecchi and Dominik de Witte.

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, 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. 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. 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, 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 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.