Univ.-Prof. Dipl.-Ing. Dr.techn. Stefan Michael Thonhauser

Welcome to my homepage

During the period 07.2020-062025 research was supported by Risk Modelling: Analysis, Simulation and Optimization (FWF 10.55776/P33317). Supplementary material to the project's results can be found here.

General information concerning the Austrian Actuarial Education can be found at the webpage of AVÖ, at Graz University of Technology several specific lectures are part of the NAWI Graz studies in the field of mathematics.The Life long Learning unit of TU Graz offers some complementary courses (Techno-Economics).

Talks etc. can be found at Forschungsportal of TU Graz.

Orcid: 0000-0001-9826-5530

 

List of Publications

Preprints 

Journal articles

• Enzi & Thonhauser (2025): Optimal reinsurance in a competitive market. Mathematical Methods of Operations Research 102, 131-161.

• Palmowski, Pojer & Thonhauser (2023): Exact asymptotics of ruin probabilities with linear Hawkes arrivals. Stochastic Processes and their Applications 182, 104571.

• Hasenbichler, Müller & Thonhauser (2025): The mean field market model revisited. European Actuarial Journal 15, 445-467.

• Strini & Thonhauser (2023): Time-inconsistent view on a dividend problem with penalty. Scandinavian Actuarial Journal (8), 811-833.

• Pojer & Thonhauser (2023): The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions. Methodology and Computing in Applied Probability 25(1), 17.

• Pojer & Thonhauser (2023): Ruin probabilities in a Markovian shot-noise model. Journal of Applied Probability 60(2), 542-556. 

• Desmettre, Hochgerner, Omerovic & Thonhauser (2022): A mean-field extension of the LIBOR market model. International Journal of Theoretical and Applied Finance 25(1), 2250005.

• Strini & Thonhauser (2020): On computations in renewal risk models - analytical and statistical aspects. Risks 8(1), 24. 

• Leobacher, Kritzer, Szölgyenyi & Thonhauser (2019): Approximation methods for piecewise deterministic Markov processes and their costs. Scandinavian Actuarial Journal (4), 308-335.

• Preischl & Thonhauser (2019): Optimal reinsurance for Gerber-Shiu functions in the Cramer-Lundberg model. Insurance: Mathematics and Economics 87), 82-91.

• Strini & Thonhauser (2019): On a dividend problem with random funding. European Actuarial Journal 2, 607-633.
   
• Cani & Thonhauser (2017): An optimal reinsurance problem in the Cramer-Lundberg model. Mathematical Methods of Operations Research  85(2), 179-205.
   
• Balaz, Iaco, Strauch, Thonhauser & Tichy (2016): An extremal problem in uniform distribution theory. Uniform Distribution Theory 11(2), 1-21.
   
• Iaco, Thonhauser & Tichy (2015): Distribution functions, extremal limits and optimal transport. Indagationes Mathematicae 26(5), 823-841.
   
• Leobacher, Szölgyenyi & Thonhauser (2015): On the existence of solutions of a class of SDEs with discontinuous drift and singular diffusion. Electronic Communications in Probability 20(6), 1-14.
   
• Leobacher, Szölgyenyi & Thonhauser (2014): Bayesian dividend optimization and finite time ruin probabilities. Stochastic Models 30(2), 216-249.
   
• Eisenberg, Grandits & Thonhauser (2014): Optimal consumption under deterministic income. Journal of Optimization Theory and Applications 160(1), 255-279.
   
• Thonhauser (2013): Optimal investment under transaction costs for an insurer. European Actuarial Journal 3(2), 359-383.
   
• Albrecher, Cheung & Thonhauser (2013): Randomized observation times for the compound Poisson risk model: the discounted penalty function. Scandinavian Actuarial Journal (6), 424-452.
   
• Albrecher, Cheung & Thonhauser (2011): Randomized observation times for the compound Poisson risk model: dividends. ASTIN Bulletin 41(2), 645-672.
   
• Albrecher, Bäuerle & Thonhauser (2011): Optimal dividend payout in random discrete time. Statistics and Risk Modelling 28(3), 251-276.
   
• Grandits & Thonhauser (2011): Risk averse asymptotics in a Black-Scholes market on a finite time horizon. Mathematical Methods of Operations Research 74(1), 21-40.
   
• Thonhauser & Albrecher (2011): Optimal dividend strategies for a compound Poisson risk process under transaction costs and power utility. Stochastic Models 27(1), 120-140.
   
• Albrecher & Thonhauser (2009): Optimality results for dividend problems in insurance. RACSAM Rev. R. Acad. Cien. Serie A. Mat. 103(2), 295-320.
   
• Albrecher & Thonhauser (2008): Optimal dividend strategies for a risk process under force of interest. Insurance: Mathematics & Economics 43, 134-149.
   
• Albrecher, Hartinger & Thonhauser (2007): On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model. ASTIN Bulletin 37(2), 203-233.
   
• Thonhauser & Albrecher (2007): Dividend maximization under consideration of the time value of ruin. Insurance: Mathematics & Economics 41 (1), 163-184.
   
• Albrecher & Thonhauser (2007): Discussion of ''On the Merger of Two Companies'' by H. Gerber and E. Shiu. North American Actuarial Journal 11(2), 157-159.
   
• Albrecher & Thonhauser (2006): Discussion of ''Optimal Dividend Strategies in the Compound Poisson Model'', by H. Gerber & E. Shiu. North American Actuarial Journal 10 (3), 68-71.

Reviewed articles in conference proceedings and books

• Nachbagauer & Thonhauser (2024): Regularity of a best-of option's payoff. In Problèmes diophantiens: déterminisme, aléa et applications, Panoramas et Synthèses. Societe Mathematique de France 2024, pp 292-215.

• Enzi & Thonhauser (2024): Numerical computation of risk functionals in PDMP risk models. In Monte Carlo and Quasi-Monte Carlo Methods: MCQMC 2022.Springer Verlag 2024, pp. 223-239.
   
• Preischl, Thonhauser & Tichy (2018): Integral equations, quasi-Monte Carlo methods and risk modeling. In Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan. Springer Verlag 2018, pp. 1054-1074.

• Albrecher & Thonhauser (2012): On optimal dividend strategies in insurance with a random time horizon. In Stochastic processes, finance and control, Festschrift for Robert Elliott. Advances in Statistics, Probability and Actuarial Science, Vol.1, World Scientific, 2012, pp. 157-180.

Teaching

A complete list of actual and past lectures at TU Graz can be found at online.tugraz.