Cooperations and graduates
Co-operations and graduates
- "Robust Risk Estimation" at VW Foundation
- Specialised general approach of infinitesimal, robust statistics to requirements in extreme value statistics
- Applications in operational risk, health economics and hydrology
- Position P.R.: Coordinator
- Co-applicants: R. Korn, Fraunhofer ITWM, Kaiserslautern and TU Kaiserslautern,
- M. Kohl, Furtwangen University,
- B. Spangl, BOKU Vienna,
- S. Desmettre, TU Kaiserslautern
- Period 2011-2015 (first phase), extended 2015-2016
- "Regimeswitching in continuous-time financial market models: Statistics and problem-specific model selection"
- Position P.R.: Coordinator at the Fraunhofer ITWM, Kaiserslautern
- Co-applicants: J. Sass, J. Franke (both TU Kaiserslautern),
- Period 2013-2014
Cooperation partners/co-authors in industry and research
- Sascha Desmettre, TU Kaiserslautern
- Matthias Kohl, Furtwangen University
- Ralf Korn, TU Kaiserslautern
- Bernhard Spangl, BOKU Vienna
- Helmut Rieder, University of Bayreuth
- Stephan Morgenthaler, EPF Lausanne
- Frank Thomas Seifried, University of Trier
- Jörn Saß, TU Kaiserslautern
- Jürgen Franke, TU Kaiserslautern
- Nataliya Horbenko, KfW Bankengruppe
- Daria Pupashenko, Hannover Re
- Alexander Szimayer, University of Hamburg
- Valentin Todorov, UNIDO Vienna
- Robert Hable, TH Deggendorf
- Taehan Bae, University of Regina
- Tilman Sayer, Fraunhofer ITWM
- Christina Erlwein-Sayer, Fraunhofer ITWM
- Bernhard Kübler, HeLaBa
- Gerald Kroisandt, Saarbrücken University of Applied Sciences
- Georgi Dimitrov, DZ Bank
- Florian Camphausen, ECB
- Bachelor thesis Katarina Cavar (2012): Choice of optimisation methods for the calibration of a SABR model according to design of experiments principlesLucas Alfasser (2012): Choice of optimisation methods for the calibration of a Heston model according to design of experiments principles
- Master's/Diploma thesesMarcoProchnow (2017): Genetic algorithms in robust statistics.Marius Pluhar (2017): Modern model selection criteria for predictive models in the insurance context.Ercan Topaloglu (2017): Model selection in predictive models with heterogeneous data, especially with structural missings.Christopher Schwarting (2017): Statistical problem reduction techniques for fMRI data.Eduard Schweizer (2017): Statistical anonymisation at the collective level -- an empirical study.Cathia Göbel (2017): Applications of multivariate statistics in statistical model selection in chemical engineering under positivity and sparseness constraints.Eva-Maria Ficker (2017): Mixed models and their application to optically recorded neural data.Benedikt Bekermann (2016): Quantiles and convexity: transferability of corresponding statements from the expected value to the median.Nils Koschollek (2016): Inclusion of intraday volatility in GARCH models.Daniel Bauer (2013): Dynamic Principal Component Analysis Applied to Term Structure Models.Berta Zeiler (2012): Elliott's Filter Algorithm For HMM's With Correlated Observations. Judith Koyoeu (2012): Robust regression in generalised linear models.
- Doctoral thesesDariaPupashenko (2015): Robustness for regression models with asymmetric error distributions with applications in extreme value statistics. Nataliya Horbenko (2011): Robust approaches for operational risks of banks. Published by Dr Hut, 2011.
