Markus Huggenberger

Photo credit: Siegfried Herrmann

University of Mannheim
Fakultät für Betriebswirtschaftslehre Schloss
Eastwing – Room O 222

Phone: +49 621 181–1679
Fax: +49 621 181–1681
E-mail: markus.huggenbergeruni-mannheim.de

Consultation hour(s):
by appointment

Education
2016: Graduation as Dr. rer. pol., University of Mannheim
2011: Diploma in Mathematics (M.Sc. equivalent), University of Mannheim
2008: Diploma in Business Administration (M.Sc. equivalent), University of Mannheim
Research Interests
Risk Measurement and Risk Management
(see here for a collection of Matlab functions developed for our textbook)
Insurance
Derivatives
Asset Pricing
Publications
The Fundamental Theorem of Mutual Insurance (with Peter Albrecht),
Insurance: Mathematics and Economics 75, July 2017, 180 – 188.
Working Papers and Current Projects
Forward-Looking Tail Risk Measures (with Chu Zhang and Ti Zhou)
Multivariate Crash Risk (with Fousseni Chabi-Yo and Florian Weigert)
Tail Risk Hedging and Regime Switching (with Peter Albrecht and Alexandr Pekelis), Online Appendix [.pdf]
Option-Implied Solvency Capital Requirements (with Jan Bauer)
Capital Allocation and Regime Switching
Teaching
FIN 660 Quantitative Risk Management (Lecture and Exercises)
Exercise sessions and case studies in FIN 913 Advanced Quantitative Risk Management
Exercise sessions in FIN 560 Risk Management of Insurance Companies
Exercise sessions in FIN 561 Investment Management of Insurance Companies