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Stochastics I SS 2026

Lecture slides

Publications (list as PDF)

Central Journal of Mathematics

IMSLP

Editorial activities

Schriften zum Risikomanagement, Editors: Prof. Dr Angelika May, Prof. Dr Dietmar Pfeifer, Prof. Dr Jörg Prokop, Prof. Dr Jürgen Taeger

1. Sandra Lüth (2009): Minimum requirements for risk management: A challenge for credit institutions and banking supervision. Oldenburger Verlag für Wirtschaft, Computing Science und Recht (OLWIR), Edewecht, ISBN: 978-3-939704-38-6
2. Benjamin Seegmüller (2011): Establishment and audit of an early risk detection and monitoring system in the co-operative. Oldenburger Verlag für Wirtschaft, Computing Science und Recht (OLWIR), Edewecht, ISBN: 978-3-939704-62-1
3. Christian Jakob (2015): Corporate law requirements for risk management systems. Oldenburger Verlag für Wirtschaft, Computing Science und Recht (OLWIR), Edewecht, ISBN: 978-3-95599-017-6
4. Thomas O. Winkler (2016): Effects of operational risk management on the claims experience of motor vehicle fleets. Oldenburger Verlag für Wirtschaft, Computing Science und Recht (OLWIR), Edewecht, ISBN: 978-3-95599-028-2

Hamburger Reihe C: Insurance and Financial Mathematics, Editor: Prof. Dr Dietmar Pfeifer

1. Annette Kuck (2000): Differentiation of traditional reinsurance of catastrophe risks from selected concepts of alternative risk transfer. Verlag Versicherungswissenschaft, Karlsruhe, ISBN: 3-88487-829-8
2. Volker Röhrs (2000): Sensitivity analyses and adaptive policies for hedging options in discrete time. Verlag Versicherungswissenschaft, Karlsruhe, ISBN: 3-88487-828-X
3. Sascha Wilkens (2000): On the suitability of numerical methods for option pricing. With a detailed introduction to derivatives trading and valuation. Verlag Versicherungswissenschaft, Karlsruhe, ISBN: 3-88487-844-1
4. André Führer (2001): Development of a premium model for trade credit insurance. Verlag Versicherungswissenschaft, Karlsruhe, ISBN: 3-88487-930-8
5. Erhard Kremer (2004): Introduction to the risk theory of generalised maximum loss reinsurance. Verlag Versicherungswissenschaft, Karlsruhe, ISBN: 3-88952-174-9

Mathematical Foundations of Computing Science, Editors: Prof. Dr Dietmar Pfeifer, Prof. Dr Walter Oberschelp, Prof. Dr Rolf Möhring

1. Gerald Schmieder (1994): Analysis. An Introduction for Mathematicians and Computing Science. Vieweg-Verlag, ISBN 978-3-528-05418-2, ISBN 978-3-322-89210-2 (eBook)
2. Helmuth Späth (1994): Numerics. An introduction for mathematicians and computing scientists. Vieweg-Verlag, ISBN 978-3-528-05389-5, ISBN 978-3-322-89220-1 (eBook)
3. Gerhard Hübner (1996): Stochastics. An application-orientated introduction for computer scientists, engineers and mathematicians. Vieweg-Verlag, ISBN 978-3-528-05443-4, ISBN 978-3-663-11522-9 (eBook)
4. Hans-Joachim Bungartz, Michael Griebel, Christoph Zenger (1996): Introduction to Computer Graphics. Fundamentals, Geometric Modelling, Algorithms. Vieweg-Verlag, ISBN 978-3-528-06769-4, ISBN 978-3-322-92925-9 (eBook)
5. Herbert Möller (1997): Algorithmic Linear Algebra. An introduction for mathematicians and computing scientists. Vieweg-Verlag, ISBN 978-3-528-05528-8, ISBN 978-3-322-84939-7 (eBook)

Other publications

1. W. Gaul, D. Pfeifer (Eds.): From Data to Knowledge: Theoretical and Practical Aspects of Classification, Data Analysis and Knowledge Organisation, 1995, Springer, N.Y.
2. Ch. Hennig and D. Pfeifer (Eds.): Datenanalyse und Numerische Klassifikation: Beiträge zur Herbsttagung der AG DA-NK der Gesellschaft für Klassifikation, Hamburg, 5-6.11. 1999. Hamburger Beiträge zur Modellierung und Simulation, Heft 13 (2000)
3. M. Hallin, D. Mason, D. Pfeifer, J. Steinebach (Eds.): Mathematical Statistics and Limit Theorems - Festschrift in Honour of Paul Deheuvels, Springer (2015), Heidelberg

Contributions to BECK's online commentary on the Insurance Supervision Act (VAG) (Erdmann/Diehl/Schradin, eds.)

(with Detje Pfeifer)

§ Section 138 Premium calculation in life insurance; equal treatment

§139 Surplus participation

§Section 140 Provision for premium refunds

§141 Responsible actuary in life insurance

§ Section 142 Trustee in life insurance

$143 Special duties of disclosure in life insurance

§144 Information for occupational pension schemes

§Section 145 Authorisation to issue ordinances

§ Section 336 Continued validity of approved business plans in life insurance

Source

 

Own work

2026

[142] On a new class of distributions (part II). Unpublished grade.

[141] On an asymptotic relationship between symmetric beta and normal distributions. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 20, Issue 1 (2026), 1 - 6 (reprint) Preprint.

2025

[140] A note on multivariate extensions of certain bivariate copulas. Unpublished grade.

[139] On an asymptotic relationship between beta and gamma distributions. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 19, Issue 2 (2025), 189 - 193 (reprint) Preprint.

[138] Entertaining old and new mathematical problems. Unpublished grade.

[137] Tail-dependence properties of some new types of copula models (part II). Fundamental Journal of Mathematics and Mathematical Sciences, Volume 19, Issue 2 (2025), 177 - 187 (reprint) Preprint.

[136] On a new class of distributions. Unpublished grade.

[135] Power inequalities: for which positive a, b is ^ab >^ba? Math. grades of NEFU 32, Vol. 2, 2025, 28 - 32.(Reprint) Preprint.

[134] Some reflections on singular mixture copulas. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 19, Issue 1 (2025), 123 - 130 (reprint) Preprint.

[133] Tail-dependence properties of some new types of copula models. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 19, Issue 1 (2025), 109 - 121 (reprint) Preprint.

[132] A simple recursive representation of the Faulhaber series. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 19, Issue 1 (2025), 89-95 (reprint) (Extended Preprint)

2024

[131] On an approximation of the total aggregate risk distribution in a modified collective risk model. Fundamental Journal of Mathematics and Mathematical Sciences, Volume 18, Issue 2 (2024), 79-86(Preprint) (Reprint)

[130] EXCEL file for the simulation of an insurance line(file description).

[129] An elementary approximate construction of the regular polygon with compass and ruler. Unpublished grade. English Version: On an elementary approximate construction of the regular nonagon with ruler and compass. Fundamental Journal of Mathematics and Mathematical Sciences,Volume 18, Issue 2, 2024, 95-100 (Reprint)

2023

[128] Reflections on a canonical construction principle for multivariate copula models. Fundamental Journal of Mathematics and Mathematical Sciences,Volume 19, Issue 1, 2025, 97-107 (Reprint)(Preprint)

[127] For which complex numbers z is z ^z real? Unpublished grade.

[126] Remarks on Schurig's "algebraic solution" for the casus irreducibilis of a cubic equation. Unpublished grade.

2022

[125] A new approach to frequency modelling in insurance. ZVersWiss (2022).(corrected Preprint)(Reprint incl. Erratum). https://doi.org/10.1007/s12297-022-00539-y

[124] An elementary approximate construction of the regular pentagon with compass and ruler. Unpublished grade.

[123] An elementary approximate construction of the regular heptagon with compass and ruler. Unpublished grade. English Version: On an elementary approximate construction of the regular heptagon with ruler and compass. Fundamental Journal of Mathematics and Mathematical Sciences,Volume 18, Issue 2, 2024, 87-93 (Reprint)

[122] A grade on Cardano's formula. Ann. Math. Phys. 7(1) 064-066 (2024),https://dx.doi.org/10.17352/amp.000107 (extended preprint) (Reprint)

[121] A note on the estimation and simulation of distributions with Bernstein polynomials.Journal of Risk and Financial Studies 2022, Vol.3 No. 1 81- 86(Preprint)(corrected Reprint). https://doi.org/10.47509 /JRFS.2022.v03i01.04 corresponding EXCEL-sheets with File Description

2021

[120] Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (with O. Ragulina). Dependence Modelling, 2021; 9; 327-346.(Preprint) (Reprint) https://doi.org/101515/demo-2021-0115

[119] Insurance Business and Sustainable Development (with V. Langen). In: M. Sarfraz and L. Ivascu (Eds): Risk Management, 3 - 18. InTechOpen, 2021.(Preprint) (Reprint) http://dx.doi.org/10.5772/intechopen.96389

2020

[118] Adaptive Bernstein copulas and risk management (with O. Ragulina). Mathematics 2020, 8, 2221. (Preprint) (original Reprint ) (Correction) (corrected Reprint) https://doi.org/10.3390/math8122221

2019

[117] Model validation using quantile-quantile plots under Solvency II. ZVersWiss (2019), 307-325. (Corrected Preprint) (Reprint incl. Erratum) https://doi.org/10.1007/s12297-019-00451-y

[116]EXCEL- files for the simulation of Partition-of-Unity copulas(file description).

[115] New copulas based on general partitions-of-unity (part III) - the continuous case (with A. Mändle, O. Ragulina and C. Girschig). Dependence Modelling (2019), 181 - 201.(Extended Preprint)(Reprint) https://doi.org/10.1515/demo-2019-0009

[114] Multivariate multiple test procedures based on nonparametric copula estimation (with A. Neumann, T. Bodnar and T. Dickhaus). Biometrical Journal 61 (2019), 40 - 61.(Reprint)

2018

[113] Generating VaR scenarios under Solvency II with product beta distributions (with O. Ragulina). RISKS 2018, 6, 122. (Preprint) (Reprint) https://doi.org/10.3390/risks6040122

2017

[112] New copulas based on general partitions-of-unity and their applications to risk management (part II) (with A. Mändle and O. Ragulina). Dependence Modelling (2017), 246 - 255.(Preprint)(Reprint) https://doi.org/10.1515/demo-2017-0014

2016

[111] Does the standard model under Solvency II deliver what it promises? In: R. Koch, M. Weber, G. Winter (eds.): Der Forschung - der Lehre - der Bildung. 100 Years Hamburg Seminar for Insurance Science and Insurance Science Association in Hamburg e.V. (2016), VVW, Karlsruhe, 767 - 788. Corrected version(Preprint)

[110] New copulas based on general partitions-of-unity and their applications to risk management (with H. Awoumlac Tsatedem, A. Mändle and C. Girschig). Dependence Modelling (2016), 123 - 140 . (Preprint) (Reprint) http://dx.doi.org/10.1515/demo-2016-0006

2015

[109] Some Extensions of Singular Mixture Copulas (with D. Lauterbach). In: M. Hallin, D. Mason, D. Pfeifer, J. Steinebach (Eds.): Mathematical Statistics and Limit Theorems - Festschrift in Honour of Paul Deheuvels, Springer (2015), Heidelberg, 271 - 286.(Reprint)

[108] Catastrophe risks and extreme value theory. In: W. Gleißner , F. Romeike (Eds.): Praxishandbuch Risikomanagement. Concepts - Methods - Implementation, 287 - 303, Erich Schmidt Verlag, Berlin (2014).(Preprint)

2014

[107] From Bernstein polynomials to Bernstein copulas (with C. Cottin). Journal of Applied Functional Analysis (2014), 277 - 288.(Reprint)(Preprint)

2013

[106] Singular mixture copulas (with D. Lauterbach). In: P. Jaworski, F. Durante, W.K. Härdle (Eds.): Copulae in Mathematical and Quantitative Finance. Proceedings of the Workshop Held in Cracow, 10-11 July 2012, Lecture Notes in Statistics 213, Springer (2013), Berlin, 165 - 175(Reprint).

[105] Correlation, tail dependence and diversification. In: C. Becker, R. Fried, S. Kuhnt (Eds.): Robustness and Complex Data Structures. Festschrift in Honour of Ursula Gather, 301 - 314, Springer, Berlin (2013).(Reprint)

[104] How do you deal with operational risk? A survey of risk management practices in the German insurance sector (with J. Prokop). Journal of Risk Management in Financial Institutions 6, Number 4 (2013), 444 - 454.(Reprint)

2012

[103] A reservation procedure for legal expenses insurance (with S. Henniges, D. Straßburger and A. Winkel). Journal for the entire insurance science (2012), 581 - 595.(Reprint)

[102] The management of operational risk in insurance companies (with J. Prokop). Market study (in co-operation with Steria Mummert ISS), September 2012.(Reprint)

2011

[101] Proposal for correction of the SCR calculation bias in Solvency II (with M. Hampel). ZVersWiss (2011), 733 - 743.(Reprint)

2010

[100] A probabilistic storm surge risk model for the German North and Baltic Sea coast (with J.-H. Grabbert, J. Deepen, A. Reiner, S. Mai, H. Rodda and A. Kortenhaus).(Preprint) Abstract published in: Geophysical Research Abstracts Vol. 12, EGU2010-14148, 2010. poster

[99] Actuarial science: Property/casualty insurance. Lesson 6 of the written management course "Financial Mathematics" under the technical direction of M. Heinrich and R. Eller. EUROFORUM Verlag, Düsseldorf 2010, 85 p.(Reprint)

2009

[98] Risk theory - an essential basis for insurance and financial mathematics. In: German Actuarial Association (ed.): Making risks calculable. The actuarial profession. VVW Karlsruhe (2009), 73 - 78(Reprint)

[97] Modelling and simulation of dependence structures in nonlife insurance with Bernstein copulas (with D. Straßburger and J. Philipps). International ASTIN-Colloquium, June 1 - 4, 2009, Helsinki.(Preprint)

2008

[96] Stochastic differential equations for financial market models (with D. Straßburger). In: The Art of Modelling: Mathematical-Economic Models. B. Luderer (ed.), Teubner 2008, 351 - 359.(Reprint)

[95] Solvency II: Stability problems with the SCR aggregation formula (with D. Straßburger). Scandinavian Actuarial Journal (2008). No. 1, 61 - 77.(Corrected Preprint)(Taylor & Francis)

2007

[94] Risk management and Solvency II for insurance companies. Market study (with L. Dorenkamp and P. Ott), in co-operation with KPMG Deutsche Treuhand-Gesellschaft Aktiengesellschaft Wirtschaftsprüfungsgesellschaft (2007).(Reprint)

2006

[93] Tally lists in Laplace experiments - on the paradox of non-uniform distribution. Stochastics at school 26 (2006), 23 - 27.(Reprint)

2005

[92] Dependence matters! (with D. Straßburger). International ASTIN-Colloquium, ETH Zurich, September 4- 7, 2005, Switzerland.(Preprint)

2004

[91] Modelling and generating dependent risk processes for IRM and DFA (with J. Neslehova). ASTIN Bulletin 34 (2004), 333 - 360.(Reprint)

[90] Solvency II: new challenges for claims modelling and risk management? In: Risikoforschung und Versicherung - Festschrift für Elmar Helten zum 65. Geburtstag, Verlag Versicherungswirtschaft (2004), 467 - 481.(Preprint)

[89] Maximum Likelihood Estimators in a Statistical Model of Natural Catastrophe Claims with Trend (with A. Kukush and Y. Chernikov). Extremes 7 (2004), 309 - 336.(Reprint)

2003

[88] On the distance between the distributions of random sums (with B. Roos). Journal of Applied Probability 40 (2003), 87 - 106.(Preprint)

[87] On error bounds for the approximation of random sums (with B. Roos). International ASTIN Colloquium, Berlin, August 24 - 27 (2003).(Preprint)

[86] Possibilities and limits of mathematical loss modelling. Zeitschrift für die gesamte Versicherungswissenschaft, Issue 4 (2003), 667 - 696.(Preprint)

[85] Modeling dependence in finance and insurance: the copula approach (with J. Neslehova). Blätter der DGVFM Volume XXVI, Issue 2 (2003), 177 - 191. Including Errata(Corrected Preprint)

[84] Teaching Stochastic Finance in a Multimedia Environment (with Ch. Mohn). Bulletin of the International Statistical Institute 54th Session, Contributed Papers, Volume LX, Book 2, pp. 75-76 (2003).(Preprint)

2002

[83] Size selection and competition for mussels Mytilus edulis, by oystercatchers, Haematopus ostralegus, herring gulls, Larus argentatus, and common eiders, Somateria mollissima (with G. Hilgerloh). Ophelia 56 (2002), 43-54(Reprint).

[82] e-stat: Basic Stochastic Finance at School Level (with Ch. Mohn). In: Proceedings in Computational Statistics, W. Härdle and B. Rönz (Eds.), CompStat 2002, Berlin, p. 321 - 326. Physika Verlag (2002).(Preprint)

2001

[81] Election debacle: BUSH + GORE + CHAOS = RUEGE? Notes on a mathematical brainteaser (with M. Naatz). Stochastics at School 21 (2001), 9 - 13.(Preprint)

[80] On an estimation problem for type I censored spatial Poisson processes (with J. Hurt and P. Lachout). Kybernetika 37 (2001), 103 - 108.(Preprint)

[79] Study 4: Extreme value theory in actuarial consulting: windstorm losses in central Europe. In: R.-D. Reiss, M. Thomas: Statistical Analysis of Extreme Values. With applications to insurance, finance, hydrology and other fields. 2nd ed., Birkhäuser, Basel (2001), 373 - 378.(Reprint)

2000

[78] A simple method to estimate parametric claim size distributions from grouped data (with J. Brix). Blätter der Deutschen Gesellschaft für Versicherungsmathematik XXIV (2000), 495 - 505.(Reprint)

[77] Scientific consulting in the reinsurance business: models, experiences, developments. Zeitschrift für Versicherungwesen 21 (2000), 771 - 777.(Preprint) English version(Preprint)

[76] Estimates for the Syracuse problem via a probabilistic model (with K. Borovkov). Teorija Verojatnosteij i ee Primenenija 45 (2000), 386 - 395.(Preprint)

[75] On the mathematics of derivative financial instruments: Suggestions for teaching stochastics. Stochastics at School 20 (2000), 25 - 37.(Reprint)

[74] On the problem of the minimal area in statistical ecology. In: Ch. Hennig and D. Pfeifer (eds.): Datenanalyse und Numerische Klassifikation: Beiträge zur Herbsttagung der AG DA-NK der Gesellschaft für Klassifikation, Hamburg, 5-6.11. 1999. Hamburger Beiträge zur Modellierung und Simulation, Heft 13 (2000).(Preprint)

1998

[73] Risk Theoretical Concepts under Maple and Excel (with Ch. Hipp). Der Aktuar (1998), Volume 4, Issue 1, 11 - 17.(Preprint)

[72] Statistical tools for monitoring benthic communities (with H.-P. Bäumer, R. Dekker and U. Schleier). Senckenbergiana maritima 29 (1998), 63 - 76.(Reprint)

1997

[71] A statistical model to analyse natural catastrophe claims by means of record values. Proceedings of the XXVIIIth International ASTIN Colloquium, Cairns, Australia, 1997, 45 - 57.(Reprint)

[70] Ökosystemforschung Niedersächsisches Wattenmeer - ELAWAT - Elastizität des Ökosystems Wattenmeer (funding code: 03F0112A). Final report of sub-project B2, title: Investigations on responses of spatio-temporal patterns of organism communities in the Wadden Sea to environmental influences: Contributions of applied statistics to experimental design, implementation and evaluation.(Reprint)

1996

[69] On asymptotic behaviour of weighted sample quantiles (with K. Borovkov and H. Dehling). Mathematical Methods of Statistics 5 (1996), 173 - 186.(Reprint)

[68] The zero utility principle for scale families of risk distributions (with B. Heidergott). Blätter der Deutschen Gesellschaft für Versicherungsmathematik XXII (1996), 711 - 722.(Reprint)

[67] The "Minimal Area" problem in ecology: a spatial Poisson process approach (with H.-P. Bäumer and U. Schleier). Computational Statistics 11 (1996), 415 - 428.(Preprint)

[66] On improvements of the order of approximation in the Poisson limit theorem (with K. Borovkov). Journal of Applied Probability 33 (1996),146 - 155.(Reprint)

[65] Pseudo-Poisson approximation for Markov chains (with K. Borovkov). Stochastic Processes and Their Applications 61 (1996), 163 - 180.(Preprint)

[64] Modeling spatial distributional patterns of benthic meiofauna species by Thomas and related processes (with H.-P. Bäumer, H. Ortleb, G. Sach and U. Schleier). Ecological Modelling 87 (1996), Modelling of Geo-Biosphere Processes Section, 285 - 294(Reprint).

[63] Modelling dynamics and spatial aggregation of biological populations by stochastic networks (with K. Borovkov and H.-P. Bäumer). Senckenbergiana maritima 27 (1996), 129 - 136.(Reprint)

1995

[62] The index-of-dispersion test revisited (with H. Ortleb, U. Schleier-Langer and H.-P. Bäumer). In: W. Gaul, D. Pfeifer (Eds.): From Data to Knowledge: Theoretical and Practical Aspects of Clasification, Data Analysis and Knowledge Organisation, 1995, 270 - 277. Springer, N.Y..(Reprint)

[61] On record indices and record times (with K. Borovkov). Journal of Statistical Planning and Inference 45 (1995), 65 - 79.(Preprint)

1994

[60] The analysis of spatial data from marine ecosystems (with U. Schleier-Langer and H.-P. Bäumer). In: H.-H. Bock, W. Lenski, and M.M Richter (Eds.): Information Systems and Data Analysis. Prospects - Foundations - Applications. Studies in Classification, Data Analysis, and Knowledge Organisation, 1994, 340 - 349. Springer, N.Y..(Reprint)

[59] Stochastic modelling of spatial dynamic patterns. Applications in ecology (with H.-P. Bäumer, H. Ortleb and U. Schleier-Langer). In: Dutter, R. and Grossmann, W. (Eds.) (1994): COMPSTAT. Proceedings in Computational Statistics. 11th Symposium, Vienna 1994. Physica-Verlag, Heidelberg, 120 - 125. Revised version(Reprint)

1993

[58] A probabilistic variant of Chernoff's product formula. Semigroup Forum 46 (1993), 279 - 285(Reprint)

[57] Moving point patterns: the Poisson case (with H.-P. Bäumer and M. Albrecht). In: O. Opitz and B. Lausen (Eds.): Information and Classification: Concepts, Methods and Applications. Studies in Classification, Data Analysis, and Knowledge Organisation, 1993, 248 - 257. Springer, N.Y..(Reprint)

1992

[56] Independent events in discrete probability models. Stochastics at School 12 (1992), No. 2, 3 - 20(Reprint)

[55] Chain letters - what they promise, what they deliver. Stochastics at school 12 (1992), No. 3, 37 - 47.(Reprint)

[54] Spatial point processes and their application in biology and ecology. In: D.P.F. Möller, O. Richter (eds.): Fortschritte der Simulation in Medizin, Biologie und Ökologie. 5th Ebernburger Gespräch, Bad Münster am Stein, 26 - 28 March 1992, Computing Science Report 92/6 (1992), Clausthal-Zellerfeld University of Technology, 23 - 34(Preprint).

[53] Spatial point processes and their applications to biology and ecology (with H.-P. Bäumer and M. Albrecht). Modelling of Geo-Biosphere Processes 1 (1992), 145 - 161.(Reprint)

[52] Project B3: Contributions of applied statistics to scale issues and experimental design for the investigation of spatial structures and dynamic processes in tidal flats (with H.-P. Bäumer and M. Albrecht). Scientific Symposium Wadden Sea, 15.11. - 18.11.1992, Norderney (UBA report).(Reprint)

1991

[51] Some remarks on Nevzorov's record model. Advances in Applied Probability (1991), 823 - 834.(Reprint)

[50] Poisson approximations of image processes in computer tomography. In: H.-H. Bock, P. Ihm (Eds.): Classification, Data Analysis, and Knowledge Organisation. Models and Methods with Applications. Studies in Classification, Data Analysis, and Knowledge Organisation, 1991, 68 - 71. Springer, N.Y..(Reprint)

[49] Chernobyl and the consequences from the perspective of mathematics. Insights (1991): Research at the University of Oldenburg, 31 - 34.(Reprint).

1990

[48] Stochastics for Computing Science (with R. Mathar). Guides and monographs in Computing Science, Teubner-Verlag, Stuttgart, 1990; 359 pp. (Editors: V. Claus, G. Hotz, K. Waldschmidt).(Reprint)

1989

[47] Introduction to extreme value statistics. Skripten zur Mathematischen Stochastik, Teubner-Verlag, Stuttgart, 1989; 199 p. (J. Lehn, N. Schmitz, W.Weil, Eds.).(Reprint)

[46] Extremal processes, secretary problems and the 1/e-law. Journal of Applied Probability 26 (1989), 722 - 733.(Reprint)

[45] A new semigroup technique in Poisson approximation (with P. Deheuvels and M.L. Puri). Semigroup Forum 38 (1989), 189 - 201.(Reprint)

1988

[44] Poisson approximations of multinomial distributions and point processes (with P. Deheuvels). Journal of Multivariate Analysis 25 (1988), 65 - 89.(Reprint)

[43] Poisson approximations in selected metrics by coupling and semigroup methods with applications (with P. Deheuvels, A.F. Karr and R.J. Serfling). Journal of Statistical Planning and Inference 20 (1988), 1 - 22.(Reprint)

[42] On a relationship between Uspensky's theorem and Poisson approximations (with P. Deheuvels). Annals of the Institute of Statistical Mathematics 40 (1988), 671 - 681.(Reprint)

[41] On a relationship between record times and record values of an i.i.d. sequence. Workshop on Extremes of Random Processes in Applied Probability, Santa Barbara 1987. in: Advances in Applied Probability 20 (1988), 12.(Reprint)

1987

[40] Semigroups and Poisson approximation (with P. Deheuvels). In: New Perspectives in Theoretical and Applied Statistics (M.L. Puri, J.P. Vilaplana and W. Wertz. Eds.) Wiley, N.Y. 1987, 439 - 448.(Reprint)

[39] On a joint strong approximation theorem for record and inter-record times. Theory of Probability and Related Fields 75 (1987), 213 - 221.(Reprint)

[38] A grade on stability of maxima and records of an iid sequence (with U. Gather). Publications de l'Institute de Statistique de l'Université Paris XXXII (1987), 71 - 79.(Reprint)

[37] A survey on strong approximation techniques in connection with records (with Y.-S. Zhang). In: Extreme Value Theory. Proceedings, Oberwolfach 1987, 50 - 58. Lecture Notes in Statistics 51, Springer, N.Y.(Reprint)

[36] Strong approximations of records and record times by Poisson and Wiener processes. 16th Conference on Stochastic Processes and Their Applications, Stanford 1987. in: Stochastic Processes and Their Applications 26 (1987), 209.(Reprint)

[35] A martingale characterisation of mixed Poisson processes (with U. Heller). Journal of Applied Probability 24 (1987), 246 - 251(Reprint)

[34] Remark on the approximation of mixed by simple Poisson processes. Blätter der Deutschen Gesellschaft für Versicherungsmathematik XVIII (1987), 73(Reprint)

[33] On the distance between mixed Poisson and Poisson distributions. Statistics & Decisions 5 (1987), 367 - 379.(Reprint)

[32] Martingale characteristics of mixed Poisson processes. Blätter der Deutschen Gesellschaft für Versicherungsmathematik XVIII (1987), 107 - 110.(Reprint)

[31] On a Poisson model for the simplex algorithm and the "secretary problem". 11th Symposium on Operations Research, Darmstadt 1986. in: Methods of Operations Research 57 (1987), 233 - 242.(Reprint)

1986

[30] A semigroup approach to Poisson approximation (with P. Deheuvels). Annals of Probability 14 (1986), 663 - 676.(Reprint)

[29] Some general probabilistic estimations for the rate of convergence in operator semigroup representations. Applicable Analysis 23 (1986), 111 - 118.(Reprint)

[28] Operator semigroups and Poisson convergence in selected metrics (with P. Deheuvels). Semigroup Forum 34 (1986), 203 - 224.(Reprint)

[27] Extremal processes, record times and strong approximation. Publications de l'Institute de Statistique de l'Université Paris XXXI (1986), 47 - 65.(Reprint)

[26] On the approximation of mixed by simple Poisson processes. Blätter der Deutschen Gesellschaft für Versicherungsmathematik XVII (1986), 429 - 433.(Reprint)

[25] Pólya-Lundberg Process. In: Encyclopedia of Statistical Sciences, Vol. 7. Wiley, N.Y. 1986, 63 - 65.(Reprint)

1985

[24] Approximation-theoretic aspects of probabilistic representations for operator semigroups. Journal of Approximation Theory 43 (1985), 271 - 296.(Reprint)

[23] Probabilistic concepts of approximation theory in connexion with operator semigroups. Journal of Approximation Theory and Its Applications 1 (1985), No. 4, 93 - 118.(Reprint)

[22] A semigroup setting for distance measures in connexion with Poisson approximation. Semigroup Forum 31 (1985), 201 - 205.(Reprint)

[21] Coupling methods in connection with Poisson process approximation. Journal of Operations Research, Ser. A, 29 (1985), 217 - 223.(Reprint)

[20] On a relationship between record values and Ross's model of algorithm efficiency. Advances in Applied Probability 17 (1985), 470 - 471.(Reprint)

[19] On the rate of convergence for some strong approximation theorems in extremal statistics. European Meeting of Statisticians, Marburg 1984. in: Statistics & Decisions (1985), Supp. Iss. No. 2, 99 - 103(Reprint)

[18] An average-case analysis for a continuous random search algorithm. Advances in Applied Probability 17 (1985), 231 - 233.(Reprint)

1984

[17] Stochastic methods in the theory of semigroups of linear operators.Habilitation thesis, RWTH Aachen 1984.

[16] On a probabilistic representation theorem of operator semigroups with bounded generator. Journal of Mathematical Research and Exposition 4 (1984), No. 1, 79 - 81.(Reprint)

[15] A grade on probabilistic representations of operator semigroups. Semigroup Forum 28 (1984), 335 - 340.(Reprint)

[14] Probabilistic representations of operator semigroups - a unifying approach. Semigroup Forum 30 (1984), 17 - 34.(Reprint)

[13] Limit laws for inter-record times from non-homogeneous record values. Journal of Organisational Behavior and Statistics 1 (1984), 69 - 74.(Preprint)

[12] A note on moments of certain record statistics. Journal of Probability Theory and Related Areas 66 (1984), 293 - 296.(Reprint)

[11] A note on random time changes of Markov chains. Scandinavian Actuarial Journal (1984), 127 - 129.(Reprint)

1983

[10] A semigroup-theoretic proof of Poisson's limit law. Semigroup Forum 26 (1983), 379 - 382.(Preprint)

[9] On the recursive generation of Markov chains. In: Transactions of the 9th Prague Conference on Information Theory, Statistical Decision Functions and Random Processes 1982. Academia (1983), 121 - 125.(Preprint)

[8] A grade on the occurence times of a Pólya-Lundberg process. Advances in Applied Probability 15 (1983), 886.(Reprint)

[7] On a general probabilistic representation formula for semigroups of operators. Journal of Mathematical Research and Exposition 2 (1982), No. 4, 93 - 98.(Reprint)

[6] Characterisations of exponential distributions by independent nonstationary record increments. Journal of Applied Probability 19 (1982), 127 - 135.(Reprint)

[5] The structure of elementary pure birth processes. Journal of Applied Probability 19 (1982), 664 - 667.(Reprint)

[4] An alternative proof of a limit theorem for the Pólya-Lundberg process. Scandinavian Actuarial Journal (1982), 176 - 178.(Reprint)

1981

[3] Asymptotic expansions for the mean and variance of logarithmic inter-record times. Methods of Operations Research 39 (1981), 113 - 121.(Reprint)

1980

[2] "Record Values" in a stochastic model with non-identical distributions. Dissertation, RWTH Aachen 1980.

1978

[1] An application of record values to stochastic simulation. II Symposium on Operations Research, RWTH Aachen 1977. in: Methods of Operations Research 29 (1978), 738 - 749.(Reprint)

Own musical works

1-Trio for two violins and piano (1967 / 2021)

2-Memories (1969 / 2021)

3-Dreams (1969 / 2021)

4-Sonata for violin and piano (1968 / 2021)

5-Fuga legata (1969 / 2021)

6-Sonatine for piano (1980)

7-Violin Sonatina (1990)

8-Piano trio (202)

9-Summer 2020

10-Flute quartet (2021)

11-Menuet (2022)

Grades and more can be found here.

The Oldenburg Insurance Days have been held once a year since 2007 in co-operation with the Association for the Promotion of Insurance and Financial Mathematics; the main topics are risk management and the implementation of regulatory requirements, especially for smaller insurance companies. You can find reports on this in the press here.



1stOldenburg Insurance Day (August 2007)

Dr Marcus Wrede, BaFin, Bonn:
Framework Directive of Solvency II: Effects (and exceptions) for smaller insurers



2.Oldenburger Versicherungstag (October 2008):

Dr Bernhard Schareck, President of GDV, Berlin:
Changes in the insurance market: prospects and opportunities for the insurance industry, taking into account smaller and medium-sized insurance companies

Frank Romeike, RiskNET, Oberaudorf:
Implementing MaRisk pragmatically and transforming risks into opportunities

Christine Mehls and Florian Stelter, BaFin, Bonn:
MaRisk (VA) in the light of the proportionality principle



3.Oldenburg Insurance Day (August 2009):

Christine Mehls and Florian Stelter, BaFin, Bonn:
MaRisk (VA) - Implementation in practice

Prof. Dr Jörg Prokop:
Risk management at banks according to Basel II - Can the insurance industry learn from this?



4thOldenburg Insurance Day (October 2010):

Julia Schüller, PwC, Frankfurt:
Future utilisation of reinsurance and structuring of risk management taking into account the individual risk profile

Prof Dr Dietmar Pfeifer:
The impact of reinsurance on capital requirements under Solvency II



5.Oldenburg Insurance Day (September 2011):

Sibylle Schulz, BaFin, Bonn:
The application of the principle
of proportionality from a supervisory perspective

Margarita Winter, GDV, Berlin:
Proportionality - the German insurance industry's perspective

Lars Dieckhoff, EU Commission, Brussels:
Solvency II status of consultations

Oskar Ulreich, FMA, Vienna:
Aspects of future supervision under Solvency II

6th Oldenburg Insurance Day (September 2012):

Bernd Zens, DEVK, Cologne:
Investments in the environment of the ongoing financial and sovereign debt crisis

Tim Ockenga, GDV, Berlin:
Investments between regulatory requirements and the low interest rate environment

Prof Dr Mirko Kraft, Coburg University of Applied Sciences:
Investment regulation from an academic perspective

7th Oldenburg Insurance Day (October 2013):

Holger Tausendfreund, Munich Re:
Damage found in wastewater pipes and disinfection measures for drinking water pipes - increasing claims expenditure in the VGV due to regulatory requirements?

Ewa Kozlowski, IRV, Bern, Switzerland:
Risk assessment and prevention in buildings insurance - experiences of cantonal buildings insurers in Switzerland

Stephan Schützeck, AON Benfield, Hamburg:
Risk assessments in the VGV on the basis of geophysical windstorm models - new developments



8.Oldenburg Insurance Day (March 2015)

Prof. Dr Jens Gal, University of Frankfurt:
The implementation of Solvency II: The risk of national over-saddling

Hergen Eilert, BaFin, Bonn:
Current developments in Pillar 2: Governance functions

Dr Stanislava Saria, FMA, Vienna:
Implementation of proportionality in Austria

9th Oldenburg Insurance Day (October 2015):

Dr Helge Hartig, GDV, Berlin:
VAG 2016: Outsourcing - legal basis and guidance from GDV

Dr Andreas Hasse, R+V-Versicherung, Wiesbaden:
AVAG 2016: Outsourcing - a classification proposal from practice

Prof. Dr Dietmar Pfeifer, University of Oldenburg:
Actuarial function: proposals for pragmatic implementation

10th Oldenburg Insurance Day (September 2016):

Prof Dr Dietmar Pfeifer, University of Oldenburg:
First experiences with the actuarial function

Anne Moorbrink, Treuwerk Academy:
Qualification requirements for key functions

1. Thoughts on pensions in the public sector (2000)
2. VaR vs. expected shortfall. Risk Measures under Solvency II (2004)
3. Insurance Risk Management for catastrophic events (Cherry Bud Workshop, Yokohama, 2005)
4. Actuarial practice: Does climate change cause higher storm risks? (Uni im Rathaus, RWTH Aachen 2008)
5. IHK further education in risk management (insurance) (2009/2010)
6. The organisation of risk management for small VVaG - new challenges due to MaRisk and Solvency II - (5th HZV Symposium, Hamburg, 2010)
7. Modelling and simulation of high-dimensional dependencies of underwriting risks (University of Ulm 2011)
8. Derivatives & Co (Maths for school)
9. Can risks from technical and economic developments be reliably assessed? A contribution to the discussion from the perspective of mathematical statistics (Lions Club Oldenburg, 2012)
10. FMA Supervisory Conference Vienna: Regulation in Transition - Workshop 2
11. Conference in Honour of Paul Deheuvels (Paris, 20.6 - 21.6.2013)
12. Conference of the student body Mathematics/Computing Science of the Cusanuswerk "Mathematics of Natural Disasters" (Eichsfeld, 28 May - 1 June 2014)
13. Second advanced trainingday of the DGVFM (Hanover, 21 May 2015)
14. Day of Mathematics (8 September 2016)
15. Farewell lecture. Summer term 2016, University of Oldenburg
16. Challenges of applying a consistent Solvency II framework. EIOPA Advanced Seminar: Quantitative Techniques in Financial Stability. 8-9 December 2016, Frankfurt
17. Data driven partition-of-unity copulas with applications to risk management. CEQURA Conference on Advances in Financial and Insurance Risk Management, Sept. 25 - 26, 2017, Munich
18. Partitions-of-Unity Copulas with applications to risk management. Workshop for young mathematicians, Loccum conference centre, 10 - 12 October 2019
19. Model Validation with Q-Q-Plots under Solvency II. CEQURA Conference on Advances in Financial and Insurance Risk Management Sept. 25, 2020, Munich
20. The European way to sustainable insurance - the ESG Challenge. Keynote Speech, ASTIN Online Colloquium May 2021
21. A grade on the estimation and simulation of distributions with Bernstein polynomials. CEQURA Conference on Advances in Financial and Insurance Risk Management Oct. 7, 2022, Munich
22. Generating unfavourable VaR scenarios with patchwork copulas. Mathematical Colloquium, Institute of Mathematics, University of Oldenburg, 17 Jan. 2024.

23. Monte Carlo methods. vfvf lunchtime seminar: Concepts of actuarial mathematics simply explained. University of Oldenburg, 18.6.2024. EXCEL file for this

Stochastics

Risk Theory

Spatial statistics

Analytical principles of stochastics

Discrete stochastic financial mathematics

Statistical Ecology

Quantitative Risk Management (slides, English)

Special topics of risk management

Monte Carlo methods