Dr. Thomas Viehmann

New company

In May 2018 I have founded MathInf, a great new mathematical, machine learning and actuarial consultancy.

Previously, I was a Senior Manager with B&W Deloitte GmbH, Munich.

Professional affiliation and activities Aktuar DAV, member of the DAV and DGVFM
Member of the DGVFM Committee Forschung und Transfer
Member of the DAV working party on credit risk models
EducationDr. rer. nat. (Ph.D.) in Mathematics, University of Bonn.
Thesis: Uniaxial Ferromagnets is a mathematical study the structure of minimizers of a singular, nonconvex energy functional.
Diplom-Mathematiker, University of Bonn.
During both my Diplom and Ph.D. studies I have been supported by the Studienstiftung des deutschen Volkes (German National Academic Foundation).
Actuarial talks and articles
  • Szenarien, Wünsche, Wirklichkeit, Talk at the max.99 conference of the DAV, September 2017.
  • Simultaneous calibration of an interest model to multiple valuation dates, 21st International Insurance Congress on Insurance: Mathematics and Economics, Vienna, July 2017.
  • Negative Zinsen und hohe Volatilität – Herausforderungen für die Kapitalmarkmodellierung, DAV vor Ort Munich, December 2015, with E. Fink.
  • Negative Zinsen und hohe Volatilität – Herausforderungen für die Kapitalmarkmodellierung, Actuarial Modelling Club at the TU Vienna, June 2015, with A. Rauter.
  • Your scenario set passed all the tests. Is it good?, 2nd Conference of the European Actuarial Journal, Vienna, September 2014.
  • Webinar Kreditrisikomodelle und -modellierung of the Deutsche Aktuar-Akademie, May 2014.
  • Substantial contribution to Ergebnisbericht Kreditrisikomodelle und -modellierung of the Investment committee of the DAV. Excerpt published in Der Aktuar 1/2014, Verlag Versicherungswirtschaft.
  • Herausforderungen der Kapitalmarktmodellierung für die Bewertung von Lebensversicherungs­beständen, DGVFM-Workshop, Risk Management Reloaded conference, Technische Universität München, September 2013.
  • Lecturer in the seminar Risikoaggregation im Kontext von Solvency II, Deutsche Aktuar-Akademie, May 2012.
  • Least Squares Monte Carlo zur SCR-Berechnung, Der Aktuar 4/2011, Verlag Versicherungswirtschaft.
Professional interests and areas of expertise
  • Machine-Learning-based proxy models for economic capital calculations
  • Stochastic multi-population mortality models
  • MCEV calculation und review
  • Stochastic ALM models for risk management and valuation
  • Solvency II
  • Internal models, in particular market risk for life insurance
  • Economic capital calculations and review of methodology and calculations
  • Validation of internal models in life insurance (in particular
  • interest and spread risk)
  • Capital market models for risk measurement and valuation
  • Credit risk modelling
  • Asset modelling in ALM models

May 2018 - Thomas Viehmann