o. Univ.-Prof. Mag. Dr. Georg Pflug
HEAD OF COMPUTATIONAL RISK MANAGEMENT GROUP
Institut für Statistik und Operations Research
Fakultät für Wirtschaftswissenschaften
Universität Wien
Büro 6.307
Oskar-Morgenstern-Platz 1
1090 Wien, Austria
georg.pflug@univie.ac.at
+43 1 4277 38630
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 7000 (3200 since 2013), h-Index: 37, i10-Index:97
Erdös Number: 3: (Erdös -> Prekopa -> Ruszczynski -> Pflug)
Speaker of the Vienna Graduate School on Computational Optimization.
PUBLIKATIONEN
PUBLIKATIONEN SEIT 2006
Pflug, G & Maggioni, F 2018, 'Guaranteed Bounds for General Non-Discrete Multistage Risk-Averse Stochastic Optimization Programs', SIAM Journal on Optimization, Jg. 29, Nr. 1, S. 454-483.
Bomze, I, Dörner, KF, Hartl, R, Leopold-Wildburger, U, Pflug, G, Rauner, M, Stummer, C, Tragler, G & Wakolbinger, T 2018, 'Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr', Central European Journal of Operations Research, Jg. 26, Nr. 2, S. 259 - 263.
Birghila, C, Pflug, G & Hochrainer-Stigler, S 2018 'Risk layering under ambiguity: an application to farmers exposed to drought risk'.
Pflug, G & Pichler, A 2018, 'Systemic risk and copula models', Central European Journal of Operations Research, Jg. 26, Nr. 2, S. 465-483. doi.org/10.1007/s10100-018-0525-z
Escobar, DD & Pflug, G 2018, 'The distortion principle for insurance pricing: properties, identification and robustness', Annals of Operations Research, Jg. 95, Nr. 10, S. 1950-1972. doi.org/10.1007/s10479-018-3119-1
Pflug, G, Maier, S & Polak, JW 2018, 'Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties', European Journal of Operational Research.
Boreiko, D, Kaniovski, S, Kaniovski, Y & Pflug, G 2017, 'Identification of hidden Markov chains governing dependent credit-rating migrations', Communications in Statistics - Theory and Methods , Jg. 48, Nr. 1, S. 75-87 . doi.orghttps://www.tandfonline.com/doi/abs/10.1080/03610926.2017.1342841?journalCode=lsta20
Boreiko, D, Kaniovski, S, Kaniovski, Y & Pflug, G 2017, 'Traces of business cycles in credit-rating migrations', PLoS ONE, Jg. 12, Nr. 4, e0175911. doi.org/10.1371/journal.pone.0175911
Pflug, G, Timonina, A & Hochrainer, S 2017, 'Incorporating model uncertainty into optimal insurance contract design', Insurance: Mathematics and Economics, S. 68-74. doi.org/10.1016/j.insmatheco.2016.11.008
Pflug, G, Gaupp, F, Hochrainer, S, Hall, J & Dadson, S 2017, 'Dependency of Crop Production between Global Breadbaskets', Risk Analysis: an international journal, Jg. 37, Nr. 11, S. 2212-2228.