M.Sc. Gabriela Zeller
Technical University of Munich
Chair of Mathematical Finance (Prof. Zagst)
Postal address
Postal:
Parkring 11/II
85748 Garching b. München
- Phone: +49 (89) 289 - 17417
- Office hours: nach Vereinbarung
- gabi.zeller@tum.de
Short CV
Gabriela began her studies within the undergraduate program in mathematics (minor economics) at the Technische Universität München in October 2012. After studying abroad at CIMAT in Guanajuato (Mexico) and KTH in Stockholm (Sweden), she joined the elite graduate program Finance and Information Management (FIM) at the Technische Universität München and the Universities of Augsburg and Bayreuth in October 2016. In the framework of a research project at the University of Calgary, she graduated with her master's thesis on "Hawkes Processes in Insurance". During her studies, Gabriela gained practical experience through two internships within the Financial Services division of KPMG. In July 2019, Gabriela started her PhD at the ERGO Center of Excellence in Insurance at the Chair of Mathematical Finance.
Publications in Journals
2021
- Hawkes Processes in Insurance: Risk Model, Application to Empirical Data and Optimal Investment. Insurance: Mathematics and Economics 101, 2021, 107-124 more…
- A comprehensive model for cyber risk based on marked point processes and its application to insurance. European Actuarial Journal, 2021 more…
Book Contributions and Conference Proceedings
2021
- Die Cyberversicherung: ein integraler Bestandteil des Cyberrisikomanagements. In: FIRM Jahrbuch 2021. FIRM, 2021, 22-26 more…
2019
- Emil Julius Gumbel (1891-1966) – 1. In: Cultura Científica e Neo-Realismo. Edições Colibri, 2019 more…
2018
- Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution. In: Innovations in Insurance, Risk- and Asset Management. World Scientific , 2018 more…
2017
- One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates. In: Soft Methods for Data Science. Springer International Publishing, 2017, 205-212 more…
2016
- FVA and electricity bill valuation adjustment – much of a difference? Springer Verlag, 2016, 147-168 more…
- Legale Risiken in Anleiheprospekten. In: FIRM Jahrbuch 2016. Frankfurter Institut für Risikomanagement und Regulierung, 2016, 83-84 more…
- Emil J. Gumbel - Ein Statistiker der Extreme. RISIKO MANAGER (05/2016), 2016, 33-39 more…
2015
- A two-sided Gamma-OU-BNS model for multicurrency FX markets. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
- A survey of dynamic representations and generalizations of the Marshall–Olkin distribution. Proceedings in Mathematics & Statistics, 2015, 1-13 more…
- Factor copulas constructed from stochastic processes. Oberwolfach Reports (20), 2015, 47-49 more…
- Was verraten Index-Optionen über zukünftige Abhängigkeiten? RISIKO MANAGER (11), 2015, 1-7 more…
- The mean of Marshall-Olkin dependent exponential random variables. Proceedings in Mathematics & Statistics, 2015, 33-50 more…
- Implied Recovery Rates - Auction and Models. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
- CVA für Kontrahenten- Ausfallrisiken. RISIKO MANAGER (15/16), 2015, 6-10 more…
2014
- Model risk and uncertainty – Illustrated with examples from mathematical finance. In: Risk - A Multidisciplinary Introduction. Springer, 2014, - more…
- Was sind Lévy-Prozesse? RISIKO MANAGER (15), 2014, 6-13 more…
- Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 more…
- Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals. In: Topics in Statistical Simulation. Springer, 2014 more…
2012
- Die Welt ist nicht normal (verteilt). RISIKO MANAGER (25), 2012, 6-11 more…
- An analytical characterization of the exchangeable wide-sense geometric law. In: Advances in Intelligent Systems and Computing. Springer Verlag, 2012, - more…
- CIID Default Models and Implied Copulas. In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer Verlag, 2012, 201-230 more…
2011
2010
- Cross asset portfolio derivatives. In: Alternative Assets and Strategies. World Scientific, Singapore, 2010, 175-197 more…
- Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, 2010, - more…
- On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas. In: Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, Berlin/Heidelberg, 2010, 299-311 more…
- Jarrow-Lando-Turnbull model. In: Encyclopedia of Quantitative Finance. Wiley, 2010, 985-987 more…
- Modeling and pricing credit derivatives. In: Contemporary Mathematics (Mathematics in Finance). American Mathematical Society, 2010, 111-146 more…
2009
- The robust calibration of a structural-default model with jumps. In: Proceedings of the 3rd International Conference on Risk Management and Global e-Business. Inha University, Incheon, Korea, 2009, 945-954 more…