Person profile

Univ.-Prof. i.R. Dipl.-Math. Dr.rer.nat.

Uwe Schmock

Phone +43 1 58801-105 10

E-Mailuwe.schmock@tuwien.ac.at

Assigned

E105	E105-01

Business Card

https://orcid.org/0000-0001-9588-8249

Profile

Research profile (German):

Forschung in Finanz- und Versicherungsmathematik, insbesondere Modellierung und Schätzung stochastischer Abhängigkeit mit Anwendungen auf Kredit-, Markt- und Versicherungsrisiko

Research profile (English):

Research in financial and actuarial mathematics, in particular modeling and estimation of stochastic dependence with applications to credit, market and insurance risk

Additional information:

LinkedInProfil: https://www.linkedin.com/in/schmock
Broschüre: http://www.fam.tuwien.ac.at/public/hedging/
Poster: http://www.fam.tuwien.ac.at/public/posters/
Applets: http://www.fam.tuwien.ac.at/public/simulations.php

Link to CV:

http://www.fam.tuwien.ac.at/~schmock/

Publications:

Publications

Keywords

Keyword (German)	Keyword (English)
Abhängigkeitsmodellierung	Dependence Modelling
Numerisch stabile rekursive Methoden	Numerically stable recursive methods
Kreditrisikomodelle	Credit risk models
Zinsstrukturmodelle	Interest rate modelling
Aktuarielle Rechnungsgrundlagen	Best-estimate actuarial parameters
Verbriefung von Risiken	Securitization of risks
Theorie großer und moderater Abweichungen	Theory of large and moderate deviations
Stochastische Analysis	Stochastic Analysis
Optionsbewertung	option pricing
Risiko- und Performanzmaße	risk and performance measures
Extremwerttheorie	Extreme value theory

Research Focal Areas

Research focus	Research field	Keywords	Percentage
Computational Science and Engineering	Risk based Design	Structural Dynamics, Environmental Risk analysis, Disaster modelling, Real time risk forecasting	10
Computational Science and Engineering	Mathematical and Algorithmic Foundations	Computational PDEs, Computational Statistics, Optimization, Systems Theory and Control, Computer Algebra, Computational Geometry, Time-dependent Problems in CSE, Computational Finance, Asymptotic and Hybrid Methods	50
Additional Fields of Research	Fundamental Mathematics Research	Theory of Partial Differential Equations, Analysis of dynamical Systems, Operator Theory, Applied Functional Analysis, Harmonic analysis, Algebra and Discete Mathematics, Logic, Discrete and Convex Geometry, Geometric Analysis, Differential Geometry, Economics (basics), Extremal Problems, Systems and Control Theory, Stochastic Processes, Mathematical Stochastics, Statistical Modeling, statistical methods for fuzzy data, Robust Statistics	40

Faculty focus

Faculty focus	Percentage
Wirtschaftsmathematik und Stochastik	100

Area of expertise according to Statistik Austria

Code	Area of expertise (German)	Area of expertise (English)
1165	Stochastik	Stochastics
1117	Versicherungsmathematik	Actuarial mathematics
1118	Wahrscheinlichkeitstheorie	Probability theory
1137	Finanzmathematik	Financial mathematics
1113	Mathematische Statistik	Mathematical statistics
1104	Angewandte Mathematik	Applied mathematics

Reference Projects

Title	Funding program	Function	Website	From	Until
International, EU – European Union
Advanced Mathematical Methods for Finance (AMaMeF) (European Science Foundation)	ESF - European Science Foundation	participation	www.iac.rm.cnr.it/amamef/	04.04.2005	04.04.2010
International, Other clients / lenders
Methods to Calculate Premiums for High Insurance Layers	others			01.04.1996	01.09.1996
Audit of the Methods for Determining RAC	others			01.07.1998	01.08.1998
Quantification of Longevity Risk	others			01.06.1997	01.08.1997
National, Economy and industry
Secondary Market for Life Insurance Policies	big company			01.07.2008	30.09.2009
National, FFG - Austrian Research Promotion Agency
CD-Laboratory for Portfolio Risk Managment (PRisMa Lab)	structural program		www.prismalab.at	01.10.2005	31.12.2013
National, FWF - The Science Fund
Dependence Modeling for Credit Spreads and Interest Rate Term Structures (FWF)	Single project	Principal Investigator		01.06.2013	01.06.2016
National, Other clients / lenders
Compilation of the Austrian Annuity Valuation Table AVÖ 2005R	Public bodies and funds			01.07.2004	01.12.2005
Efficient and Numerically Stable Implementation of CreditRisk	National Bank of Austria			01.03.2004	31.12.2004
Extensions of CreditRisk	National Bank of Austria			01.05.2005	31.05.2006
Coherent Yield Curve Scenario Generation	National Bank of Austria			01.07.2012	01.07.2015
Sponsorship of Master Thesis	Federation			01.09.2013	31.12.2015
Aggregation of Credit Risk in Times of Financial Crises (Submitted project proposal)	National Bank of Austria			01.08.2015	31.12.2017
National, WWTF - Vienna Science and Technology Fund
Mathematics and Credit Risk (MA 13)	Thematic calls	participation		02.05.2005	02.05.2009
Mathematics of Financial Risk Measurement and Stochastig Dependence	Thematic calls	participation		01.02.2010	01.02.2014

International award

Awarding Organization	Country	Program	Name	From
andere	International Organization	3. prize at the International Physics Olympiad in Moscow	3. prize at the International Physics Olympiad in Moscow	01.01.1979
American Casualty Actuarial Society	United States of America	Charles A. Hachemeister Prize for the best ASTIN paper	Charles A. Hachemeister Prize for the best ASTIN paper	01.01.2000
Board of Directors of the Actuarial Education and Research Fund	United States of America	David Garrick Halmstad Memorial Prize	David Garrick Halmstad Memorial Prize	01.01.2001
Fulbright Commission	United States of America	Full sholarship of the Fulbright Commission (http://www.fulbright.de/)	Full sholarship of the Fulbright Commission (http://www.fulbright.de/)	01.01.1984
University of Gießen	Germany	Offer (first position) for a C3-professorship in mathematics and its applications in industry and economics	Offer (first position) for a C3-professorship in mathematics and its applications in industry and economics	01.01.2001
University of Hamburg	Germany	Offer (first position) for a C4-professorship in financial and actuarial mathematics	Offer (first position) for a C4-professorship in financial and actuarial mathematics	01.01.2001
Studienstiftung des Deutschen Volkes	Germany	Scholar of the German National Academic Foundation (http://www.studienstiftung.de/)	Scholar of the German National Academic Foundation (http://www.studienstiftung.de/)	01.01.1981
andere	Germany	The 1. prize in the Berlin Mathematical Competition	The 1. prize in the Berlin Mathematical Competition	01.01.1979
andere	Germany	The 1. prize in the Berlin Mathematical Competition	The 1. prize in the Berlin Mathematical Competition	01.01.1978

TUW Award

Awarding Organization	Program	Function	Name	From	Until	Website	Project ID
TUW	andere		Best Paper Award 2010 (gemeinsam mit Stefan Gerhold und Richard Warnung) für das Paper "A Generalization of Panjer's Recursion and Numerically Stable Risk Aggregation", Finance and Stochastics 14 (2010), 81-128.	01.01.2011
TUW	andere		Best Paper Award 2012 (gemeinsam mit Verena Goldammer) für das Paper "Generalization of the Dybvig-Ingersoll-Ross Theorem and Asymptotic Minimality", Mathematical Finance 22 (2012), 185-213.	01.01.2013

Membership in committee

Committee	Description	Location	Function	From-To	Comment
Committees at the TU Wien	Akademischer Senat	Austria		-
scientific circle	Aufsichtsrat der Österreichischen Förderungsgesellschaft der Versicherungsmathematik GmbH	Austria	Member	08/2010 - 05/2014
scientific circle	Austrian Actuarial Society	Austria	Chairman	05/2008 - 05/2014	Vizepräsident
scientific committee/curatorship/institute	Austrian Actuarial Society	Austria	Member	01/2003 -	Advisory Board of the Austrian Actuarial Society
	Bachelier Finance Society (http://www.bachelierfinance.org/)			-
	Educational Committee of the Austrian Actuarial Society	Austria		01/2010 - 04/2014
scientific committee/curatorship/institute	Fachgruppe Stochastik der DMV	Germany	Member	01/2003 -	Member of Fachgruppe Stochastik der DMV
Committees at the TU Wien	Fakultätsrat	Austria	Member	09/2008 -
	German National Mathematical Society			-
scientific circle	Scientific Association for Insurance, Financial, and Operational Risk Management (INFORM)	Austria	Member	01/2004 -
Committees at the TU Wien	Studienkommission	Austria		-
Committees at the TU Wien	Studienkommission Lehramt Mathematik, Darstellende Geometrie, Physik und Chemie	Austria	Member	10/2016 - 09/2019
	Swiss Association of Actuaries	Switzerland		-
scientific circle	Österreichischer Förderungsverein der Versicherungsmathematik (ÖFdV)	Austria	Chairman	05/2008 - 07/2012

Journal participation

Title	Classification	Referenced	Function	From-To
ASTIN Bulletin	SCIE (Science Citation Index Expanded)	Yes	Editorial board	01/2018 - 12/2020
ASTIN Bulletin	SCIE (Science Citation Index Expanded)	Yes	Editorial board	01/2003 -
Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik	unclassified	Yes	Editorial board	01/2003 - 12/2006
European Actuarial Journal	unclassified	Yes	Editorial board	01/2011 - 12/2021
Statistics and Decisions	unclassified	Yes	Associate Editor	01/2003 -

R&D Accomplishments

Description	From	Until
Creation of a rule book
Erstellung der Rechnungsgrundlagen (Generationensterbetafeln) für die private Rentenversicherung im Auftrag der Aktuarvereinigung Österreichs	07/2004	05/2005

Events / Conferences

Category	Collaboration	Event name	From	Until	Function/Comments
Conference / Event	Sprecher_in	42nd Annual Meeting of the Actuarial Association of Europe	10/2019	10/2019	42nd Annual Meeting of the Actuarial Association of Europe, Hotel & Palais Strudlhof, Vienna, Austria;Moderation of Panel Discussion: "Old and New Risks for Financial Institutions", October 10, 2019.
Conference / Event	Organisator_in	VCMF 2019 - 2nd Vienna Congress on Mathematical Finance	09/2019	09/2019	VCMF 2019 - 2nd Vienna Congress on Mathematical Finance, September 9-11, 2019, WU Vienna, Austria.
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Lausanne, Schweiz)	08/2001	08/2001	"Integrated Risk Management", eintägiger Kurs für das FAME Certificate
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Boston, USA)	06/2002	06/2002	"Practical Techniques and Strategies for Managing Model Risk", halbtägiges Seminar vor dem Kongress "Risk 2002 USA"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Centurion, Südafrika)	07/2003	07/2003	"Practical Techniques and Strategies for Managing Model Risk"; dreitägige Vortragsreihe, Workshop on Practical Techniques and Strategies for Managing Model Risk
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Side Resort Hitel, Side, Antalya Türkei)	04/2006	04/2006	Achtstündiger Kurs über "Modelling Dependent Credit Risks with Extensions of CreditRisk+ and Application to Operational Risk", im Workshop on Risk Analysis and Management
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Cortona, Italien)	07/2006	08/2006	Dreiwöchiger Sommerkurs über fortgeschrittene Finanzmathematik
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Université Louis Pasteur, Straßburg, Frankreich)	09/2001	02/2002	Einmonatige Gastprofessur für den Kurs "Interest Rate and Credit Risk Models"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Université Louis Pasteur, Straßburg, Frankreich)	03/2000	08/2000	Einmonatige Gastprofessur für den Kurs "Interest Rate and Credit Risk Models"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Université Louis Pasteur, Straßburg, Frankreich)	09/2003	02/2004	Einmonatige Gastprofessur für den Kurs "Term Structure and Credit Risk Models"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Universität Perugia,Italien)	07/2002	08/2002	Fünfwöchiger Sommerkurs über Finanzmathematik
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Vorlesung über Finanzmathematik (Universität Salzburg)	03/2007	08/2007	Gastprofessur
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Vorlesung über Finanzmathematik (Universität Salzburg)	03/2009	08/2009	Gastprofessur
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Vorlesung über Finanzmathematik (Universität Salzburg)	10/2004	03/2005	Gastprofessur
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Vorlesung über Finanzmathematik (Universität Salzburg)	03/2015	06/2015	Gastprofessur
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Vorlesung über Finanzmathematik (Universität Salzburg)	03/2012	08/2012	Gastprofessur
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Gastprofessur an der Univ. Salzburg für Stochastische Analysis (WS 2019/20)	10/2019	01/2020	Gastprofessur an der Univ. Salzburg für Stochastische Analysis (WS 2019/20)
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (TU Wien)	05/2007	05/2007	Kurs "Introduction to Model and Credit Risk", Executive MBA "Mergers and Acquisitions"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (TU Wien)	06/2009	06/2009	Kurs "Introduction to Model and Credit Risk", Executive MBA "Mergers and Acquisitions"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (TU Wien)	05/2008	05/2008	Kurs "Introduction to Model and Credit Risk", Executive MBA "Mergers and Acquisitions"
Postgraduate courses / Summer School	Sprecher_in	Summer School (Universität Zürich)	09/1994	02/1995	Lehrbeauftragter für den Kurs "Angewandte Stochastik"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Universität Zürich)	09/2001	02/2002	Lehrbeauftragter für den Kurs "Finanzmathematik I"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Universität Zürich)	03/2002	08/2002	Lehrbeauftragter für den Kurs "Finanzmathematik II"
Postgraduate courses / Summer School	Sprecher_in	Summer School (Universität Zürich)	03/1992	08/1992	Lehrbeauftragter für den Kurs "Maßtheorie"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Universität Basel, Schweiz)	09/1999	02/2000	Lehrbeauftragter für den Kurs "Wahrscheinlichkeitstheorie und Statistik I"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Universität Basel, Schweiz)	03/2000	08/2000	Lehrbeauftragter für den Kurs "Wahrscheinlichkeitstheorie und Statistik II"
Postgraduate courses / Summer School	Organisator_in	Vienna International Summer School on Stochastic Claims Reserving Methods in Insurance	07/2011	07/2011	Organisation
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School on Stochastic Finance for Insurance, Dimitsana, Griechenland	09/2003	09/2003	Vortragsreihe (u.a. "Modelling Dependent Credit Risks", "Modelling Frequency and Severity of Rare Events")
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Université Louis Pasteur, Straßburg, Frankreich)	09/1998	02/1999	Zweimonatige Gastprofessur für die Kurse "Bonds and Interest Rate Options" und "Securitization and Model Risk"
Postgraduate courses / Summer School	eingeladene_r Sprecher_in	Summer School (Sydney, Australien), "Quantitative Methods in Finance"	12/2008	12/2008	zweitägiger Workshop: "Modelling and Numerical Aggregation of Risks((with Applications to Credit and Operational Risks)"
Scientific Conference / Symposium	Organisator_in	SVOR/ASRO/RiskLab-Tutorial in Thun	10/2001	10/2001	"Current Trends in Financial Modelling"
Scientific Conference / Symposium	Organisator_in	IME 2017	07/2017	07/2017	21st International Congress on Insurance: Mathematics and Economics & IME Educational Workshop (Vienna, 2017-07-03 to 2017-07-07)
Scientific Conference / Symposium	Organisator_in	EAJ 2014	09/2014	09/2014	2nd European Actuarial Journal Conference & EAJ Educational Workshop (Vienna, 2014-09-08 to 2014-09-12)
Scientific Conference / Symposium	Organisator_in	ALM 2014	09/2004	09/2004	Austrian Workshop on Asset Liability Management in Insurance (Vienna, 2004-09-23 to 2004-09-25)
Scientific Conference / Symposium	Organisator_in	WWTF 2006	01/2006	01/2006	Half-Day Workshop on Credit Risk and Risk Transfer (Vienna, 2006-01-25)
Scientific Conference / Symposium	Organisator_in	AMaMeF 2007	09/2007	09/2007	International Workshop and Mid-Term Conference on Advanced Mathematical Methods for Finance (Vienna, 2007-09-17 to 2007-09-22)
Scientific Conference / Symposium	Organisator_in	Risk Day 1999 (Zürich)	10/1999	10/1999	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	ETH RIsk Day (Zürich)	09/1998	09/1998	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	Risk Day 2000 (ETH Zürich)	10/2000	10/2000	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	Risk Day 2001 (ETH Zürich)	10/2001	10/2001	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	Risk Day 2002 (ETH Zürich)	10/2002	10/2002	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	Risk Day 2003 (ETH Zürich)	10/2003	10/2003	Mini-Conference on Risk Management in Finance and Insurance
Scientific Conference / Symposium	Organisator_in	PRisMa 2005	09/2005	09/2005	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2006	09/2006	09/2006	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2008	09/2008	09/2008	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2009	09/2009	09/2009	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2010	10/2010	10/2010	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2011	10/2011	10/2011	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2012	10/2012	10/2012	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	PRisMa 2013	09/2013	09/2013	One-Day Workshop on Portfolio Risk Management
Scientific Conference / Symposium	Organisator_in	Workshop on Long-Term Financial Risks (ETH Zürich)	06/2000	06/2000	Organisation
Scientific Conference / Symposium	Organisator_in	RiskLab Workshop on Credit Risk (ETH Zürich)	05/2000	05/2000	Organisation
Scientific Conference / Symposium	Organisator_in	RiskLab Workshop on Risk Management (ETH Zürich)	02/2001	02/2001	Organisation
Scientific Conference / Symposium	Organisator_in	RiskLab Workshop on Risk Management (ETH Zürich)	06/2001	06/2001	Organisation
Scientific Conference / Symposium	Organisator_in	Introductory Course: S-PLUS Essentials for Finance (ETH Zürich)	10/2002	10/2002	Organisation
Scientific Conference / Symposium	Organisator_in	Introductory Course: S-PLUS Essentials for Finance (ETH Zürich)	10/2003	10/2003	Organisation
Scientific Conference / Symposium	Organisator_in	Workshop on Extremal Events and Dependence Modelling with Applications to Financial Risk Management (Swiss Re, Rüschlikon)	11/2001	11/2001	Organisation, Vortrag
Scientific Conference / Symposium	Organisator_in	VCMF 2016	09/2017	09/2017	Vienna Congress on Mathematical Finance & VCMF Educational Workshop (Vienna, 2016-09-12 to 2016-09-16)
Scientific Conference / Symposium	Organisator_in	Lange Nacht der Forschung, Wien	10/2005	10/2005	Von A wie Aktie bis S wie Sterbewahrscheinlichkeit
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	03/2008	03/2008	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	11/2008	11/2008	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	07/2009	07/2009	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop at Bank Austria	01/2006	01/2006	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	01/2010	01/2010	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	05/2006	05/2006	Organisation
TU Wien-internal event	Organisator_in	One-day internal workshop at TU Vienna for scientific evaluation of the Christian Doppler Laboratory for Portfolio Risk Management	10/2010	10/2010	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	09/2006	09/2006	Organisation
TU Wien-internal event	Organisator_in	Internal PRisMa Lab Workshop	03/2007	03/2007	Organisation
TU Wien-internal event	Organisator_in	One-day internal workshop at TU Vienna for scientific evaluation of the Christian Doppler Laboratory for Portfolio Risk Management	09/2007	09/2007	Organisation