The two German actuarial associations Deutsche Gesellschaft für Versicherungs- und Finanzmathematik e.V. (DGVFM) and the Deutsche Aktuarvereinigung e.V. (DAV) have awarded the prestigious GAUSS Prize and three GAUSS Prizes for Young Academics for outstanding scientific work in the field of insurance and financial mathematics. With the prizes for the 2023 competition, the high-ranking panel of experts from academy, actuarial science and practice honors specialist work that bridges the gap between scientific quality and high practical relevance.
The main prize (endowed with 3,000 euros) goes to Prof. Dr Axel Bücher and Dr Alexander Rosenstock from Ruhr University Bochum for their essay “Micro level prediction of out-standing claim counts based on novel mixture models and neural networks”. In it, the research duo discusses the prediction of the number of outstanding claims in actuarial loss reserving and proposes a new approach based on a model for reporting delays at micro level and using neural networks. “The prediction of the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving,” explains Prof. Dr Alfred Müller, Chairman of the Prize Committee. “The new approach provided here is therefore enormously helpful for actuaries.”
Dr Philipp Aigner from Johannes Gutenberg University Mainz received one of this year’s three GAUSS Prize for Young Academics for his dissertation “Essays on the Scenario-based Measurement of Financial Risks”. The dissertation deals with scenario-based measurement of financial risks. “The question of how overall risks can be allocated to individual risk factors, asset classes, product lines, etc. is a relevant and recurring issue of practical importance for the (risk management) strategy of insurance companies,” said the jury.
Dr Yevhen Havrylenko from the Technical University of Munich receives the prize for Young Academics for his dissertation “Risk limitation and risk sharing in investment and insurance”. This deals with risk limitation and risk sharing in investment and insurance. “In particular, the questions on optimal hedging strategies deal with topics of current practical relevance and are of great mathematical and scientific interest,” said Prof. Dr Müller, praising the work.
Ivo Richert from Kiel University has been awarded the GAUSS Prize for Young Academics for his Master thesis “Quasi-Maximum Likelihood Estimation of Partially Observed Affine and Polynomial Processes”. This is dedicated to estimating the model parameters of a class of stochastic processes that are not fully observable. “The work fills an important gap in the financial and actuarial literature,” says Prof. Ralf Korn, Chairman of the DGVFM. “Consistent estimation of model parameters, as introduced and treated by this work, has great practical relevance for continuous-time models in insurance and financial mathematics and thus for the field.”
All four award-winning works were presented at the DGVFM General Meeting on May 13, 2024 in short presentations, the recordings of which are now available to all actuview users in the channel of DAV and DGVFM.
