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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Glanzer, M & Pflug, G 2020, 'Multiscale stochastic optimization: modeling aspects and scenario generation', Computational Optimization and Applications: an international journal, Jg. 75, Nr. 1, S. 1-34. https://doi.org/10.1007/s10589-019-00135-4
Pflug, G, Kaniovski, Y & Kaniovskyi, Y 2020, 'Analysis of credit-rating migrations with genetic algorithms', International Journal of Bio-Inspired Computation, Jg. 16, Nr. 4, S. 264-274. https://doi.org/10.1504/IJBIC.2020.112348
Hochrainer, S, Pflug, G, Colon, C, Poledna, S, Boza, G, Linnerooth-Bayer, J & Brännström, A 2020, 'Measuring, modeling and managing systemic risk: The missing aspect of human agency.', Journal of Risk Research, Jg. 23, Nr. 10, S. 1301-1317. https://doi.org/10.1080/13669877.2019.1646312
Birghila, C & Pflug, G 2019, 'Optimal XL-insurance under Wasserstein-type ambiguity', Insurance: Mathematics and Economics, Jg. 88, S. 30-43. https://doi.org/10.1016/j.insmatheco.2019.05.005
Cooper, MW, Brown, ME, Hochrainer-Stigler, S, Pflug, G, McCallum, I, Fritz, S, Silva, J & Zvoleff, A 2019, 'Mapping the effects of drought on child stunting', Proceedings of the National Academy of Sciences of the United States of America (PNAS), Jg. 116, Nr. 35, S. 17219-17224. https://doi.org/10.1073/pnas.1905228116
Glanzer, M, Pflug, G & Pichler, A 2019, 'Incorporating statistical model error into the calculation of acceptability prices of contingent claims', Mathematical Programming, Jg. 174, Nr. 1-2, S. 499-524. https://doi.org/10.1007/s10107-018-1352-7
Guzmics, S & Pflug, G 2019, 'Modelling cascading effects for systemic risk: Properties of the Freund copula.', Dependence Modeling, Jg. 7, Nr. 1, S. 24-44. https://doi.org/10.1515/demo-2019-0002
Pflug, G & Maggioni, F 2019, 'Guaranteed Bounds for General Non-Discrete Multistage Risk-Averse Stochastic Optimization Programs', SIAM Journal on Optimization, Jg. 29, Nr. 1, S. 454-483. https://doi.org/10.1137/17M1140601
Geiersbach, C & Pflug, G 2019, 'Projected Stochastic Gradients for Convex Constrained Problems in Hilbert Spaces', SIAM Journal on Optimization, Jg. 29, Nr. 3, S. 2079–2099. <https://doi.org/10.1137/18M1200208>
Hochrainer-Stigler, S, Pflug, G, Dieckmann, U, Rovenskaya, E, Thurner, S, Poledna, S, Boza, G, Linnerooth-Bayer, J & Brännström, A 2018, 'Integrating Systemic Risk and Risk Analysis Using Copulas', International Journal of Disaster Risk Science, Jg. 9, Nr. 4, S. 561-567. https://doi.org/10.1007/s13753-018-0198-1
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