Research Output per year
Fingerprint Dive into the research topics where Stefan Michael Thonhauser is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Dividend
Mathematics
Insurance
Engineering & Materials Science
Transaction Costs
Mathematics
Compound Poisson
Mathematics
Risk Theory
Mathematics
Optimal Investment
Mathematics
Penalty Function
Mathematics
Piecewise Deterministic Markov Process
Mathematics
Network
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Research Output 2006 2019
Approximation methods for piecewise deterministic Markov processes and their costs
Thonhauser, S. M., Leobacher, G., Kritzer, P. A. & Szölgyenyi, M., 2019, In : Scandinavian Actuarial Journal. 2019, 4, p. 308-335 28 p.Research output: Contribution to journal › Article › Research › peer-review
Open Access
Piecewise Deterministic Markov Process
Approximation Methods
Smoothing Techniques
Insurance
Costs
On a dividend problem with random funding
Strini, J. A. & Thonhauser, S., 13 Jun 2019, In : European Actuarial Journal.Research output: Contribution to journal › Article › Research › peer-review
Open Access
Dividend
Transaction Costs
Optimal Strategy
Ruin Theory
Risk Process
Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model
Preischl, M. J. & Thonhauser, S., 2019, In : Insurance / Mathematics & economics. 87, 87, p. 82-91 10 p.Research output: Contribution to journal › Article › Research › peer-review
Gerber-Shiu Function
Reinsurance
Optimal Stochastic Control
Ruin Probability
Control Function
Integral Equations, Quasi-Monte Carlo Methods and Risk Modelling
Thonhauser, S. M., Tichy, R. & Preischl, M. J., 2018, Contemporary Computational Mathematics - a celebration of the 80th birthday of Ian Sloan. Dick, J., Kuo, F. & Woźniakowski, H. (eds.). Cham: Springer Verlag, p. 1051-1074 21 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review
An optimal reinsurance problem in the Cramér–Lundberg model
Thonhauser, S. M. & Cani, A., 2017, In : Mathematical Methods of Operations Research. 85, 2, p. 179-205 24 p.Research output: Contribution to journal › Article › Research › peer-review
Activities 2006 2019
Dynamic reinsurance and QMC integration
Stefan Michael Thonhauser (Speaker)2019
Activity: Talk or presentation › Invited talk at conference or symposium › Science to science
Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
Stefan Michael Thonhauser (Speaker)11 Jul 2019
Activity: Talk or presentation › Talk at conference or symposium › Science to science
Risk theoretic applications of PDMPs
Stefan Michael Thonhauser (Speaker)19 Mar 2019
Activity: Talk or presentation › Talk at workshop, seminar or course › Science to science
Approximation methods for PDMPs and applications in risk theory
Stefan Michael Thonhauser (Speaker)14 Sep 2018
Activity: Talk or presentation › Talk at conference or symposium › Science to science
Rigorosum von Georg Wehowar (Dissertation: Equilibrium Models for Asset Bubbles)
Stefan Michael Thonhauser (Agent)29 Nov 2018
Activity: Examination or supervision › External examination
Prizes
2. Gauss Preis 2011 der DAV und DGVFM
Stefan Michael Thonhauser (Recipient), 27 Apr 2012
Prize: Prizes / Medals / Awards
Projects 2005 2009
FWF - Modelle für Versicherung - Mathematical Models for Insurance Risk
Mayer, P., Thonhauser, S. M., Kortschak, D. & Albrecher, H.
1/01/06 → 30/09/09
Project: Research project