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Department of Mathematics

Photo: UHH/Denstorf

Prof. Dr. Holger Drees

unihamburg-portrait-prof-holger-drees-180x240

Professor of Actuarial Mathematics

Address

University of Hamburg
Faculty of Mathematics, Informatics and Natural Sciences
Department of Mathematics
ST – Mathematical Statistics and Stochastic Processes
Bundesstraße 55
20146 Hamburg

Office

Room: T15

Office hours

During the semester: Tuesdays, 1 – 2 pm

Contact

Tel: +49 40 42838-4935
ORCID: 0000-0003-4035-0497

Research interests

  • actuarial mathematics
  • modeling of financial time series
  • non- and semiparametric statistics, in particular extreme value statistics
  • empirical processes

Teaching

You will find up-to-date information on present courses in the teaching section of Extreme Value Theory and Actuarial Mathematics or in STiNE.

Professional activities

Associate Editor of:

Theses

Theses

  1. Diploma: Über den Kolmogorov-Smirnov Test beim Signalerkennungsproblem mit Gaußschem weißem Rauschen. University of Dortmund.
  2. PhD: Refined estimation of the extreme value index. University of Siegen.
  3. Habilitation: Estimating the Extreme Value Index (PS), University of Cologne.

Papers

Curriculum Vitae

1965 born in Hagen (Westf.)
1985 –1990 study of mathematics at the University of Dortmund;
diploma thesis on the „Kolmogorov-Smirnov test in signal detection problems with Gaussian white noise“ under supervision of H. Milbrod
1990–1993 „wissenschaftlicher Mitarbeiter“ (scientific co-worker) at the University of Siegen;
PhD-thesis on „Refined estimation of the extreme value index“ under supervision of R.-D. Reiss
1993–1994 „wissenschaftlicher Mitarbeiter“ at the University of Cologne
1994–2000 „wissenschaftlicher Assistent“ (scientific assistant) at the University of Cologne
1998 habilitation with thesis „Estimating the extreme value index (.ps)“
1999 venia legendi in mathematics by the Faculty of Mathematics and Natural Sciences of the University of Cologne
04/2000–03/2002 Heisenberg-grant by DFG at the University of Heidelberg
04/2001–03/2002 substitute for a chair at the Mathematical Institute of the University of Cologne
04/2002–09/2003 professor for applied mathematics at the University of Saarland
since 10/2003 professor for mathematics, in particular insurance mathematics, at the University of Hamburg