News

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.

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!

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.

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!

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.

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.

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.

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 23^d 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