Classification: 1117: Actuarial mathematics

Publications

Journal article

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. open access (Details)
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)
  Eichler, Andreas, Leobacher, Gunther, Szölgyenyi, Michaela. 2017. Utility Indifference Pricing of Insurance Catastrophe Derivatives. European Actuarial Journal 7, 515-534. open access (Details)
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. 9th World Congress of the Bachelier Finance Society, New York City, United States/USA, 15.07.-19.07. (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. 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)

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)