The Personal Page of Werner Hürlimann
Research interests : Number Theory, Algebra, Probability and Statistics, Actuarial Science and Finance
Some highlights of my scientific contributions
Number Theory and Algebra

[1] Thesis supervisor (M.-A. Knus) and cosupervisor (U. Stammbach)
[2]  From Pythagoras/Fermat to Catalan/Sierpinski
[3]  Algebraic tori, Brauer group, cohomology, Hasse principle
[4]  Hilbert theorem 90/generalizations
[5]  Invariant theory
6Golden ratio in insurance pricing
[7]  Miscellaneous
Probability and Statistics

[1]  Copulas : bivariate extreme value copula, linear Spearman and multidimensional Fréchet copulas, etc.
[2]  Dependence measures : Hutchinson-Lai conjecture between Kendall's tau and Spearman's rho, etc.
[3]  Stochastic orders : higher degree dispersion, right spread and stop-loss transform orders, etc.
[4]  Extremal moment methods : structure of finite atomic random variables, stop-loss ordered extremal
      distributions, etc.
[5]  Pseudo compound Poisson distributions and their applications
[6]  Neyman type confidence intervals : discrete arithmetic case
[7]  Fitting parametric models to insurance and financial data
[8]  Transform theory : general location and affine transform families, etc.
[9]  Coefficient of variation : theory and applications
[10] Maximum likelihood estimation : characterizations, computation, etc.
[11] Parameter orthogonality
[12] Miscellaneous
Actuarial Science and Finance

[1]  Aggregate claims models including Bayesian and volatility models
[2]  Ordering of risks : Life Table, loss ratios, pricing principles, risk measures, analytical bounds, etc.
[3]  Reinsurance : stop-loss contracts, experience rating, solvability, cost of capital, optimisation, etc.
[4]  Catastrophic risk : extreme value theory, order statistics, earthquake life reinsurance, etc.
[5]  Stochastic tariffing in life insurance
[6]  Risk-exchange models
[7]  Asset and liability models including immunization theory
[8]  Economic risk capital : probability models for insurance and market risk, VaR and CVaR measures,
      diversification, risk allocation forms, analytical bounds, optimisation, etc.
[9]  Portfolio theory : alternative approaches, portfolio insurance, optioned portfolio selection, CAPM, etc.
[10 ]Option theory : generalized Black-Scholes formulas via stochastic calculus, derivative pricing,
      hedging, etc.
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