Classification: 1117: Actuarial mathematics
Publications
Journal article
| 2021 |
Fissler, Tobias, Hlavinova, Jana, Rudloff, Birgit. 2021. Elicitability and Identifiability of Systemic Risk Measures. Finance and Stochastics. 25 (1), 133-165.
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Fissler, Tobias, Ziegel, Johanna F. 2021. On the elicitability of range value at risk. Statistics and Risk Modeling. 38 (1-2), 25-46.
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| 2018 |
Leobacher, Gunther, Szölgyenyi, Michaela. 2018. Convergence of the Euler-Maruyama method for multidimensional SDEs with discontinuous drift and degenerate diffusion coefficient. Numerische Mathematik 138 (1), 219-239.
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| 2017 | Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with drift discontinuous on a set of positive reach. Internationale Mathematische Nachrichten 235, 1-16. | (Details) | |
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Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Utility Indifference Pricing of Insurance Catastrophe Derivatives. European Actuarial Journal 7, 515-534.
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| 2016 | Leobacher, Gunther and Szölgyenyi, Michaela. 2016. A numerical method for SDEs with discontinuous drift. BIT. Numerical Mathematics 56 (1), 151-162. | (Details) | |
| Shardin, Anton A., Szölgyenyi, Michaela. 2016. Optimal control of an energy storage facility under a changing economic environment and partial information. International Journal of Theoretical and Applied Finance 19 (4), 1-27. | (Details) | ||
| 2015 | Szölgyenyi, Michaela. 2015. Dividend maximization in a hidden Markov switching model. Statistics & Risk Modeling, 32, (3-4), 143-158. | (Details) | |
| Leobacher, Gunther, Szölgyenyi, Michaela, Thonhauser, Stefan. 2015. On the Existence of Solutions of a Class of SDEs with Discontinuous Drift and Singular Diffusion. Electronic Communications in Probability 20 (6): S. 1-14. | (Details) | ||
| 2014 | Leobacher, Gunther, Szölgyenyi, Michaela, Thonhauser, Stefan. 2014. Bayesian Dividend Optimization and Finite Time Ruin Probabilities. Stochastic Models 30 (2): S. 216-249. | (Details) | |
| 2013 | Larcher, Gerhard, Del Chicca, Lucia, Szölgyenyi, Michaela. 2013. Modeling and Performance of Certain Put-Write-Strategies. The Journal of Alternative Investments 15 (4): S. 74-86. | (Details) |
Contribution to conference proceedings
| 2013 | Szölgyenyi, Michaela. 2013. Bayesian Dividend Maximization: A Jump Diffusion Model. In Handelingen Contactforum Actuarial and Financial Mathematics Conference, Interplay between Finance and Insurance, February 7-8, 2013, Hrsg. Vanmaele, M., Deelstra, G., De Schepper, A., Dhaene, J., Schoutens, W., Vanduffel, S., Vyncke, D. , S. 77-82. Brüssel: Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten. | (Details) |
Paper presented at an academic conference or symposium
| 2017 | Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs in stochastic control. Stochastic Models and Control 2017, Trier, Deutschland, 22.03.-24.03. | (Details) | |
| Szölgyenyi, Michaela. 2017. Convergence of Euler-Maruyama for SDEs with discontinuous drift. 11th International Conference on Monte Carlo Methods and Applications, HEC Montreal, Kanada, 03.07.-07.07. | (Details) | ||
| Szölgyenyi, Michaela. 2017. Numerical methods for SDEs with discontinuous drift appearing in mathematical finance. Recent Developments in Numerical Methods with Applications in Statistics and Finance, Mannheim, Deutschland, 08.06.-09.06. Invited Talk | (Details) | ||
| 2016 | Szölgyenyi, Michaela. 2016. A numerical method for multidimensional SDEs with discontinuous drift and degenerate diffusion. 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Stanford, Vereinigte Staaten/USA, 14.08.-19.08. | (Details) | |
| Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. Vienna Congress on Mathematical Finance, Vienna, Austria, 12.09.-14.09. | (Details) | ||
| Szölgyenyi, Michaela. 2016. A strong order 1/2 method for solving multidimensional SDEs appearing in mathematical finance. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15.07.-19.07. | (Details) | ||
| Szölgyenyi, Michaela. 2016. Numerics for controlled processes. German Probability and Statistics Days, Bochum, Deutschland, 01.03.-04.03. | (Details) | ||
| Szölgyenyi, Michaela. 2016. Numerics for multidimensional SDEs with discontinuous drift. Austrian Stochastics Days, Graz, Österreich, 30.06.-01.07. | (Details) | ||
| 2015 | Szölgyenyi, Michaela. 2015. Dividend maximization under changing economic environment and partial information. 9th International Conference on Computational Financial Econometrics, London, Großbritannien, 12.12.-14.12. Invited Talk | (Details) | |
| 2014 | Szölgyenyi, Michaela. 2014. Dividend maximization under Markov switching. Third Austrian Stochastics Days, Leoben, Österreich, 24.09. | (Details) | |
| Szölgyenyi, Michaela. 2014. Existence and uniqueness of solutions of SDEs occurring in stochastic optimal control in risk theory. 11th German Probability and Statistics Days 2014, Ulm, Deutschland, 07.03. | (Details) | ||
| Szölgyenyi, Michaela. 2014. Maximizing dividend payouts in hidden Markov models. Doktorandentreffen Stochastik 2014, Halle (Saale), Deutschland, 07.08. | (Details) | ||
| Szölgyenyi, Michaela. 2014. On dividend maximization in hidden Markov models. 2nd European Actuarial Journal (EAJ) Conference 2014, Wien, Österreich, 10.09. | (Details) | ||
| Szölgyenyi, Michaela. 2014. Solutions to SDEs with discontinuous drift and singular diffusion. Eleventh International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, Leuven, Belgien, 10.04. | (Details) | ||
| 2013 | Szölgyenyi, Michaela. 2013. Dividend Maximization and Ruin Probabilities under Incomplete Information. The 17th International Congress on Insurance: Mathematics and Economics, Kopenhagen, Dänemark, 02.07. | (Details) | |
| Szölgyenyi, Michaela. 2013. Existence of solutions of a class of SDEs corresponding to threshold dividend strategies in risk theory. ÖMG-DMV Congress 2013, Innsbruck, Österreich, 25.09. | (Details) | ||
| Szölgyenyi, Michaela. 2013. Some topics of risk theory in a hidden Markov model. International Workshop on Regime-Switching Models in Finance: Statistics and Optimization, Kaiserslautern, Deutschland, 23.11. | (Details) | ||
| 2012 | Szölgyenyi, Michaela. 2012. Bayesian Dividend Maximization and Finite Time Ruin Probabilities. 1st Austrian Stochastics Days, Linz, Österreich, 24.09. | (Details) |
Poster presented at an academic conference or symposium
| 2016 | Szölgyenyi, Michaela. 2016. A strong order 1/2 method for SDEs with discontinuous drift and degenerate diffusion. International Conference on Monte Carlo Techniques, Paris, Frankreich, 05.07.-08.05. | (Details) | |
| 2013 | Szölgyenyi, Michaela. 2013. Bayesian Dividend Maximization and Finite Time Ruin Probabilities. Conference on Current Topics in Mathematical Finance, Wien, Österreich, 18.04. | (Details) | |
| Szölgyenyi, Michaela. 2013. Dividend Maximization and Finite Time Ruin Probabilities in a Bayesian Setup. Actuarial and Financial Mathematics Conference 2013, Brüssel, Belgien, 07.02. | (Details) |
Working/discussion paper, preprint
| 2022 | Fissler, Tobias, Lorentzen, Christian, Mayer, Michael. 2022. Model Comparison and Calibration Assessment: User Guide for Consistent Scoring Functions in Machine Learning and Actuarial Practice. | (Details) | |
| Fissler, Tobias, Pesenti, Silvana M. 2022. Sensitivity Measures Based on Scoring Functions. | (Details) | ||
| 2021 | Fissler, Tobias, Hoga, Yannick. 2021. Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. | (Details) | |
| Fissler, Tobias, Merz, Michael, Wüthrich, Mario V. 2021. Deep Quantile and Deep Composite Model Regression. | (Details) |
Dissertation
| 2015 | Szölgyenyi, Michaela. 2015. Dividend maximization in hidden Markov models and analysis of associated stochastic differential equations. Dissertation, Johannes Kepler Univesität Linz. | (Details) |
Master thesis
| 2015 | Szölgyenyi, Michaela. 2015. Optimal control of an energy storage facility in a hidden Markov model. Masterarbeit, JKU Linz. | (Details) | |
| 2011 | Szölgyenyi, Michaela. 2011. Performance analysis of certain put-write strategies with different methods. Masterarbeit, JKU Linz. | (Details) |
Unpublished lecture
| 2017 | Szölgyenyi, Michaela. 2017. Numerical methods for SDEs in financial and insurance mathematics. Hearing for Associate Professor position, TU Graz, Austria, 26.06. | (Details) | |
| Szölgyenyi, Michaela. 2017. Utility indifference pricing of catastrophe derivatives in a PDMP model. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 03.05. | (Details) | ||
| Szölgyenyi, Michaela. 2017. Convergence of numerical methods for SDEs with applications in insurance mathematics. Job talk, ETH Zürich, Switzerland, 18.01. | (Details) | ||
| Szölgyenyi, Michaela. 2017. A numerical method for SDEs appearing in insurance and financial mathematics. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 11.01. | (Details) | ||
| 2016 | Szölgyenyi, Michaela. 2016. The first numerical method for multidimensional SDEs with discontinuous drift. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 20.04. | (Details) | |
| 2015 | Szölgyenyi, Michaela. 2015. Energy storage optimization under partial information. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 01.10. | (Details) | |
| Szölgyenyi, Michaela. 2015. Stochastic differential equations in stochastic optimization. Brown Bag Seminar of the Institute of Statistics and Mathematics, Wien, Österreich, 01.05. | (Details) | ||
| 2014 | Szölgyenyi, Michaela. 2014. On maximizing dividends and solving related SDEs. Research Seminar, Cottbus, Deutschland, 30.10. | (Details) | |
| Szölgyenyi, Michaela. 2014. On stochastic differential equations appearing in risk theory. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.10. | (Details) | ||
| Szölgyenyi, Michaela. 2014. Dividend maximization under incomplete information and associated SDEs. Research Seminar, Lausanne, Schweiz, 09.05. | (Details) | ||
| Szölgyenyi, Michaela. 2014. On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Seminar des Instituts für Stochastik, Linz, Österreich, 01.01. | (Details) | ||
| 2013 | Szölgyenyi, Michaela. 2013. Bayesian dividend maximization and associated SDEs. Vienna Seminar in Mathematical Finance and Probability, Wien, Österreich, 14.11. | (Details) | |
| 2012 | Szölgyenyi, Michaela. 2012. Bayesian dividend maximization. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.11. | (Details) | |
| Szölgyenyi, Michaela. 2012. Dividend optimization - literature overview and problem formulation. Seminar des Instituts für Finanzmathematik, Linz, Österreich, 01.02. | (Details) | ||
| 2011 | Szölgyenyi, Michaela. 2011. Regime Switching and Hidden Markov Models. Seminar des Instituts für Aktuarwissenschaften, Lausanne, Schweiz, 11.11. | (Details) |
Projects
- No projects found.
- Gimpl-Heersink, Lisa (Former researcher)
- Szölgyenyi, Michaela (Former researcher)
- Tirler, Günter (Former researcher)