GAUSS Junior Talent Prize 2020
Andreas Lichtenstern awarded prize for dissertation
The German Society for Insurance and Financial Mathematics (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik e.V. (DGVFM)) and the Germany Actuary Association (Deutsche Aktuarvereinigung e.V. (DAV)) have awarded Dr. Andreas Lichtenstern of the Technical University Munich (TUM) the GAUSS Junior Talent Prize 2020 for his dissertation "Optimal Investment Strategies for Pension Funds".
Dr. Andreas Lichtenstern completed his PhD at the chair of Rudi Zagst, TUM Professor for Financial Mathematics. His PhD thesis stands out through its high level of actuality and strong practical relevance. For example, one part of the thesis refers to a research project within the ERGO Center of Excellence in Insurance on the tariff partner model as found within the German law for the strengthening of company pensions – better known as the "Nahles-Rente". This aspect was highlighted by the award jury: "The particular innovation of this thesis lies in the solution of previously unanswered mathematical problems on optimal investment strategies for pension funds, and the application of these on the so-called "Nahles-Rente" and its social-partner model", praised Chairman Prof. Alfred Müller.
Optimal Investment Strategies for Pension Funds
The dissertation with the title "Optimal Investment Strategies for Pension Funds" deals with stochastic portfolio optimization problems within a financial market model comprising several risky asset categories. In particular, the models which are treated go beyond the currently applied approaches in regard to a realistic behavioral-driven models for risk preferences of investors and age-related risk aversion. Furthermore, it incorporates buffering mechanisms and regulations for pension adjustments.
From these, Dr. Andreas Lichtenstern derives solutions in the form of optimal quantitative dynamic investment and consumption strategies. Beyond this, he discusses economic interpretations and motivations of the suggested models. Their relevance and importance are visualized with numeric optimization and simulation studies.
In this way, for every problem an optimal investment strategy can be derived under consideration of potential risk and return. In the case of the "Nahles-Rente" optimization delivers a strategy which reduces the risk of potential pension curtailments and at the same time can generate attractive returns.
About the GAUSS Prize
Annually, the German Society for Insurance and Financial Mathematics (DGVFM) and the Germany Actuary Association (DAV) award the renowned GAUSS Prize and up to three GAUSS Junior Talent prizes for exceptional scientific work in the field of insurance and financial mathematics. An expert jury from science and industry awards the prizes to research papers which show a combination of high scientific quality and practical relevancy.
The main prize, with prize money of 3000 Euro, is awarded to the best publication in the internationally renowned science magazine "Europea Actuarial Journal". For the GAUSS Junior Talent prizes, Masters and PhD theses on scientific and practice-orientated themes in the field of financial and actuarial science can be submitted. Each award carries prize money of 2000 Euro.