Brief Curriculum Vitae of Holger Drees

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. Milbrodt

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"

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 

10/2003 -    :  professor for mathematics, in particular insurance mathematics, at the University of Hamburg
 
 
 

Visits
 

08/95 - 01/96	L. de Haan, Erasmus University Rotterdam, supported by a DFG-grant
08/96	R. Leadbetter, University of North Carolina at Chapel Hill
09/97	L. de Haan, Erasmus University Rotterdam
08-10/98	H. Rootzén, Chalmers University Gothenburg
09/99	L. de Haan, Erasmus University Rotterdam

 
 

Teaching
 

WS 1993/94	Schwache Konvergenz stochastischer Prozesse     (Weak Convergence of Stochastic Processes)
SS 1996	Einführung in die univariate Extremwertstatistik  (Introduction to Univariate Extreme Value Statistics)
WS 1998/99	Einführung in die Mathematische Statistik    (Introduction to Mathematical Statistics)
SS 1999	Asymptotische Statistik     (Asymptotic Statistics)
WS 1999/2000	Einführung in die Finanzmathematik     (Introduction to Financial Mathematics)
SS 2001	Personenversicherungsmathematik     (Life Insurance Mathematics) Einführung in die Extremwertstatistik   (Introduction to Extreme Value Statistics)
WS 2001/02	Elementare Wahrscheinlichkeitsrechnung und Statistik    (Elementary Probability Theory and Statistics)
SS 2002	Elementare Wahrscheinlichkeitstheorie        (Elementary Probability Theory)
WS 2002/03	Mathematische Statistik I  (Mathematical Statistics I) Einführung in die Finanzmathematik (Introduction to Financial Mathematics)
SS 2003	Mathematische Statistik II: Asymptotische Statistik     (Mathematical Statistics II: Asymptotic Statistics) Modellierung von Finanzzeitreihen       (Modelling of financial time series)
WS 2003/04	Versicherungsmathematik I      (insurance mathematics I) Versicherungsmathematik III: Modellierung von Finanzzeitreihen     (insurance mathematics III: modelling of financial time series)

 
 

Cooperation with Business

• In a joint project with L. de Haan (Erasmus University Rotterdam) and ING Groep (a Dutch financial group including several insurers), the stochastic behavior of interest rates are examined using extreme value theory in order to assess the risk of drastic interest rate changes over relatively short time periods. In particular, a rapid decrease of interest rates constitutes a severe market risk to life insurance companies, which often guarantee a certain minimum return on investment to the insured.