emer. o. Univ.-Prof. Mag. Dr. Georg Pflug

HEAD OF COMPUTATIONAL RISK MANAGEMENT GROUP

FORSCHUNGSSCHWERPUNKTE

  • multistage stochastic optimization
  • ambiguity in stochstic optimization models
  • stochastic models in energy, finance and insurance
  • approximation and bounding of stochastic optimization problems
  • modeling of catastrophic events and their cooccurrence
  • stochastic approximation in infinite dimensional spaces
  • models of systemic risk

BIOGRAPHIE

Positions
Study of Law, Mathematics and Statistics at the University of Vienna, Magister iuris (1974), Ph.D in Mathematics (1976). Assistant Professor University of Vienna (1976-81). Professor, University of Giessen, Germany (1981-1989). Full Professor, University of Vienna (1989-now), Head of the Computational Risk Management Group at the University of Vienna. 

Visting Professor at the University of Bayreuth (1979), Michigan State University (1985), University of California Davis (1993), Université de Rennes (1994), Technion Haifa, Israel (1996), Princeton University (2001), University of California Davis (2006).

Editor-in-Chief: Statistics and Risk Modeling (2008-2014). 

Associate Editor: Statistics and Probability Letters (2000-2007);  Stochastic Programming Electronic Publication Series; Central European Journal of Operations Research; Austrian Journal of Statistics, Mathematics of Operations Research (1994-1997); Mathematical Methods of OR; Computational Optimization and Applications; Computational Management Science; Energy Systems: Optimization, Modeling, Simulation and Economic Aspects; Journal of Stochastic Analysis, Financial Mathematics and Applications; Operations Research; Statistics and Risk Modeling.

Member, Council of Scientists, INTAS, Brussels (1999-2002); Fellow, International Statistical Institute; Member, executive board of the international committee on stochastic programming (COSP - 2004-2007); Member, Central Research Committee, University of Bolzano/Bozen (2010-2014), Council of Scientists (Kuratorium), Austrian Science Fund (FWF), Scientific Advisory Board IMPA (Rio de Janeiro).

Author of 5 books, editor of 8 books, and more than 100 publications in refereed journals, such as: Annals of Statistics, Annals of OR, Probability Theory, J Statist. Planning and Inference, J. ACM, Parallel Computing, The Computer Journal, Math. Programming, Mathematics of Optimization, SIAM J. on Optimization, Computational Optimization and Applications, J. Applied Probability, Stoch. Processes and Applications, Graphs and Combinatorics, J. Theoretical Computer Science, Journal of Banking and Finance, Quantitative Finance, Risk Analysis, Finance and Stochastics, European Journal of Operational Research, Insurance Mathematics and Economics, etc.

Google Scholar Citations: more than 9000 (3500 since 2016), h-Index: 43, i10-Index:107

Erdös Number: 3: (Erdös -> Prekopa -> Ruszczynski -> Pflug)

Former Speaker of the Vienna Graduate School on Computational Optimization.

PUBLIKATIONEN SEIT 2006
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Pflug, G & Kaniovski, Y 2009, 'Approximating credit portfolio loss distributions using empirical estimates for correlated rating transitions', Stochastic Programming E-Print Series.
Hochrainer, S, Pflug, G & Mechler, R 2009, 'Climate change and financial adaptation in Africa. Investigating the impact of climate change on the robustness of index-based microinsurance in Malawi', Mitigation and Adaptation Strategies for Global Change: an international journal devoted to scientific, engineering, socio-economic and policy responses to environmental change, Jg. 14, Nr. 3, S. 231-250.
Pflug, G & Broussev, N 2009, 'Electricity Swing Options: Behavioral Models and Pricing', European Journal of Operational Research, Jg. 197, Nr. 39, S. 1041-1050.
Pflug, G, Heidergott, B & Vasquez-Abad, F 2009, 'Gradient estimation by measure valued differentiation', Finance and Stochastics, Nr. 14, S. 502-526.
Pflug, G, Heidergott, B & Vazquez-Abad, F 2009, 'Gradient estimation for discrete-event systems by measure-valued differentiation', ACM Transactions on Multimedia Computing Communications and Applications, Jg. 20, Nr. 1.
Hochrainer, S & Pflug, G 2009, 'Natural Disaster Risk Bearing Ability of Governments: Consequences of kinked utility', Journal of Natural Disaster Science, S. 11-21. https://doi.org/10.2328/jnds.31.11
Pflug, G & Kilianova, S 2009, 'Optimal pension fund management under multi-period risk minimization', Annals of Operations Research, Jg. 166, Nr. 1, S. 261-270. https://doi.org/10.1007/s10479-008-0405-3
Pflug, G, Mitra, G & Dempster, M (Hrsg.) 2009, Quantitative Fund Management. CRC Press Taylor & Francis Group, London.
Pflug, G & Hochreiter, R (Hrsg.) 2009, Special Issue on Financial Optimization. Computational Management Science, Bd. 6, Springer-Verlag Berlin.
Bertocchi, M, Pflug, G & Vladimirou, H 2009, 'Special issue on Stocastic Dynamic Modeling of Investments and Risks in Financial Markets Preface', Annals of Operations Research, Jg. 165, Nr. 1, S. 1-4.
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