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401-5005-71L DR D-MATH

Randomization and Dimensionality in Risk Modeling

Lecturers: Prof. Dr. Hansjörg Albrecher
VVZ CR n/a

Last Updated: 2026-02-05 15:47:36

Abstract

Nachdiplom lecture

Content

Over the years, randomization has proven to be a powerful tool in the modeling of risks on several levels: for computational purposes, in uncovering connections between different models, but also in the consideration and generation of physical and/or synthetic scenarios in risk management. A second, and in part connected, theme is the parsimonious and structure-preserving refinement of stochastic models via matrix-valued parameters, and related questions concerning the appropriate and effective dimension of models for a given purpose. This lecture will deal with various recent advances in these fields, and also illustrate concrete applications in insurance and finance, including the optimal design of reinsurance treaties and the probabilistic analysis of the profitability of blockchain mining.

General Information

Language
English
Levels
DR

Examination

Type
no performance assessment

Registration & Places

Signup End
23.09.2021

Course Components

Type Title Time & Place Hours
lecture Randomization and Dimensionality in Risk Modeling
Tuesdays, 10:15 - 12:00 First lecture: 28 September More information and registration (registration deadline: 23 September)
  • Tue 10:15-12:00 (HG G 43)
2 h weekly

Offered In

  • Doctoral Department of Mathematics (More Information at: The list of courses (together with the allocated credit points) eligible for doctoral students is published each semester in the newsletter of the ZGSM. WARNING: Do not mistake ECTS credits for credit points for doctoral studies!)