Prof. Dr. Ralf Werner
Professor für Wirtschaftsmathematik
Rechnerorientierte Statistik und Datenanalyse
| Telefon: | +49 821 598 - 5854 |
| Fax: | +49 821 598 - 2286 |
| E-Mail: | ralf.werner@uni-auni-a.de () |
| Raum: | 3031 (L1) |
| Sprechzeiten: | nach vorheriger Vereinbarung per E-Mail |
| Adresse: | Universitätsstraße 14, 86159 Augsburg |
Publikationen
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1 |
M. Spangler, R. Werner, 2014. German Covered Bonds – Overview and risk analysis of Pfandbriefe. Springer Briefs in Finance. |
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18 |
P. Groetzner, R. Werner, 2022: Multiobjective optimization under uncertainty: A multiobjective robust (relative) regret approach. European Journal of Operational Research. 296(1), pp. 101 – 115 |
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17 |
D. Banholzer, J. Fliege, R. Werner, 2019. On rates of convergence for sample average approximations in the almost sure sense and in mean. Mathematical Programming. |
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16 |
P. Hieber, J. Natolski, R. Werner, 2019. Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios. Scandinavian Actuarial Journal, 6, pp. 478 – 507 |
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15 |
D. Krause, M. Scherer, J. Schwinn, R. Werner, 2018. Membership testing for Bernoulli and tail-dependence matrices. Journal of Multivariate Analysis. |
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14 |
J. Schwinn, R. Werner, 2018. On the effectiveness of primal and dual heuristics for the transportation problem. IMA Journal of Management Mathematics. |
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13 |
J. Natolski, R. Werner, 2018. Mathematical foundation of the replicating portfolio approach. Scandinavian Actuarial Journal, 6, pp. 481 – 504. |
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12 |
J. Natolski, R. Werner, 2017. Mathematical Analysis of Replication by Cash Flow Matching. RISKS 5(1), 13. |
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11 |
M. Hughes, R. Werner, 2016. Choosing Markovian Credit Migration Matrices by Nonlinear Optimisation. RISKS 4(3), 31. |
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10 |
J. Natolski, R. Werner, 2014. Mathematical analysis of different approaches for replicating portfolios. European Actuarial Journal, 4 (2),pp 411 – 435. |
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9 |
J. Fliege, R. Werner, 2014. Robust multiobjective optimization & applications in portfolio optimization. European Journal of Operational Research, 234, pp 422 – 433. |
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8 |
F. Guerra-Vazquez, J-J. Rückmann, R. Werner, 2012. On saddle points in non-convex semi-infinite programming. Journal of Global Optimization, 54 (3), pp 433 – 447. |
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7 |
S. Daum, R. Werner, 2011. A novel feasible discretization method for linear semi-infinite programming applied to basket option pricing. Optimization, 60 (10-11), pp 1379 – 1398. |
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6 |
K. Schöttle, R. Werner, R. Zagst, 2010. Comparison and robustification of Bayes and Black-Litterman models. Mathematical Methods of Operations Research, 71 (3), pp 453 – 476. |
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5 |
K. Schöttle, R. Werner, 2009. Robustness properties of mean-variance portfolios. Optimization, 58 (6), pp 641 – 663. |
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4 |
R. Werner, 2008. Cascading: an adjusted exchange method for robust conic programming. Central European Journal of Operations Research, 16 (2), pp 179 – 189. |
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3 |
A. Kalemanova, B. Schmid, R. Werner, 2007. The normal inverse Gaussian distribution for synthetic CDO pricing. Journal of Derivatives, 14 (3), pp 80 – 93. |
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2 |
K. Schöttle, R. Werner, 2006. Towards reliable efficient frontiers. Journal of Asset Management, 7 (2), pp 128 – 141. |
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1 |
H. Hörnlein, M. Kočvara, R. Werner, 2001. Material Optimization: Bridging the Gap between Conceptual and Preliminary Design. Aerospace Science and Technology, 5 (8), pp 541 – 554. |
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9 |
D. Brigo, C. Fries, J. Hull, M. Scherer, D. Sommer, R. Werner, 2016. FVA and electricity bill valuation adjustment – much of a difference?. In Z. Grbac, K. Glau, M. Scherer, R. Zagst (eds.) Challenges in Derivatives Markets, Springer Proceedings in Mathematics & Statistics. |
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8 |
J. Helmers, J. Rückmann, R. Werner, 2016. Tight semi-model-free bounds on (bilateral) CVA. In Z. Grbac, K. Glau, M. Scherer, R. Zagst (eds.) Challenges in Derivatives Markets, Springer Proceedings in Mathematics & Statistics. |
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7 |
J. Natolski, R. Werner, 2016. Replicating portfolios – interplay between objective function and numeraire. In K. Dörner, I. Ljubic, G. Pflug, G. Tragler (eds.). Operations Research Proceedings 2015, Springer, Heidelberg. |
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6 |
J. Natolski, R. Werner, 2015. Improving optimal terminal value replicating portfolios. In K. Glau et al. (eds.), Innovations in Quantitative Risk Management, pp 289 – 301, Springer Proceedings in Mathematics & Statistics 99. |
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5 |
M. Spangler, R. Werner, 2012. Coping With Long Term Model Risk in Market Risk Models. In C. J. Luz, F. Valente (eds). ICORES 2012 Proceedings, pp 239 – 246, SciTePress. |
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4 |
C. Kenyon, R. Werner, 2012. Reassessing recovery rates – floating recoveries. In D. Klatte, H.-J. Lüthi, K. Schmedders (eds.). Operations Research Proceedings 2011, pp 185 – 190, Springer, Heidelberg. |
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3 |
J. Haase, R. Werner, 2010. A generalized stopping problem with application in counterparty risk modelling. In A. B. Piunovskiy (ed.), Modern Trends in Controlled Stochastic Processes: Theory and Applications, pp. 196 – 215, Luniver Press. |
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2 |
K. Schöttle, R. Werner, 2004. Improving the most general methodology to create a valid correlation matrix. C.A. Brebbia (ed) in Risk Analysis IV; WIT Press. |
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1 |
R. Werner, 2001. Material Optimization with a Penalty Barrier Multiplier Method. In K.-H. Hoffmann, R. Hoppe, V. Schulz (eds.) Fast Solutions of Discretized Optimization Problems, pp 265 – 280, ISNM 138, Birkhäuser, Berlin. |
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5 |
K. Schöttle, R. Werner, R. Zagst, 2010. Robustification of Bayesian Portfolio Allocation. In K. Böcker (ed.), Rethinking Risk Measurement and Reporting: Volume I, Risk Books. |
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4 |
M. Spangler, R. Werner, 2010. Potential future market risk. In D. Rösch, H. Scheule (eds.), Model Risk – Identification, Measurement and Management, pp 315 – 337, Risk Books |
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3 |
K. Schöttle, R. Werner, 2010. On the benefits of robust asset allocation for CPPI strategies. In R. Kiesel, M. Scherer, R. Zagst (eds.), Alternative Investments and Strategies, pp 289 – 320, World Scientific. |
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2 |
R. Hafner, A. Pütz, R. Werner, 2003. Index tracking under transaction costs: rebalancing passive portfolios. The Euromoney, Global Portfolio Trading Handbook. |
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1 |
R. Werner, 2002. A First Approach to Robust Parameter Estimation in the Hull-White Model. RiskLab Germany Solutions Series 3/2002. |
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5 |
K. Schöttle, R. Werner, 2007. Calibration of correlation matrices - SDP or not SDP. www.gloriamundi.org |
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4 |
H. Hörnlein, M. Kocvara, R. Werner. MOPED – An Integrated Designer Tool for Material Optimization. Preprint 279, Institut für Angewandte Mathematik, FAU Erlangen. |
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3 |
R. Werner. Free Material Optimization: The Single Load Case – A Finite Element Method Analysis. Preprint 267, Institut für Angewandte Mathematik, FAU Erlangen. |
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2 |
M. Kocvara, M. Stingl, R. Werner. MOPED User’s Guide – Version 1.02. Preprint 262, Institut für Angewandte Mathematik, FAU Erlangen. |
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1 |
R. Werner. Free Material Optimization - The Single Load Case. Preprint 251, Institut für Angewandte Mathematik, FAU Erlangen. |
Editor
- Springer Series Mathematische Optimierung und Wirtschaftsmathematik
Lebenslauf
Beruflicher Werdegang
| seit 08/2012 | Professor für Wirtschaftsmathematik, Universität Augsburg |
| 09/2010 bis 07/2012 | Professor für Mathematische Modellierung, Hochschule München |
| seit 07/2010 | Scientific Advisor für DEVnet |
| 07/2006 bis 06/2010 | Deutsche Pfandbriefbank AG, Abteilungsleiter „Risk Methods & Valuation“ |
| 04/2005 bis 06/2006 | Allianz SE, Senior Risk Analyst |
| 10/2001 bis 03/2005 | Risklab GmbH, Financial Engineer |
| 05/1997 bis 09/2001 | SchmidtBank KgaA, Financial Engineer & Eigenhändler |
| 08/1997 bis 06/2000 | Wissenschaftlicher Mitarbeiter, FAU Erlangen |
Qualifikationen
| 05/2011 | Habilitation an der Fakultät für Wirtschaftswissenschaften, Karlsruher Institut für Technologie |
| 03/2001 | Promotion an der Fakultät für Mathematik, Friedrich-Alexander-Universität Erlangen |
| 04/2001 | Börsenhändler (Frankfurter Wertpapier Börse) |
| 12/2000 | Eurexhändler |
| 07/1997 | Diplom Mathematik (Nebenfach Informatik) Friedrich-Alexander-Universität Erlangen-Nürnberg |
Weitere Kontaktdaten
Koordinator Betriebspraktikum
Prof. Dr. Ralf Werner betreut das Betriebspraktikums (Termine nur nach vorheriger Vereinbarung per E-Mail) - Informationen zum Betriebspraktikum finden Sie im weiterführenden Link
DAV-Korrespondent
Sie möchten Aktuar werden oder interessieren sich für die Aktuarsausbildung? Hier finden Sie weiteren Informationen zum Beruf des Aktuars, zur Aktuarsausbildung und zu Anrechnungsmöglichkeiten mathematischer Vorlesungen am Institut für Mathematik der Universität Augsburg.