MSc Actuarial and Financial Mathematics
2022
Anna Flóra Huszárik: Analysis of long-term projections of popular mortality models
(in Hungarian)
Supervisor:
Péter Vékás
Péter Nemesi: Volatility forecasting with mixed data sampling
Supervisor:
István Barra, Gábor Molnár-Sáska
2021
Adolf Árvai: The analysis of the "green premium" on the green bond market
(in Hungarian)
Supervisor:
Dr. Ágnes Vidovics-Dancs
Veronika Dencs: Study on option price of risk target indices
Supervisor:
Ádám L. Farkas, Gábor Molnár-Sáska
Lili Földházi: Pricing average price options
Supervisor:
László Varga
Adrienn Szilvia Kasnyik: Kindergarten allocation in Hungary
(in Hungarian)
Supervisor:
dr. Péter Biró
Réka Kis-Benedek: Pricing of derivative products using LP models
(in Hungarian)
Supervisor:
Kolos Csaba Ágoston
Tibor Kiss: Examining hedging strategies under transaction costs
(in Hungarian)
Supervisor:
Zsolt Bihary
Henrietta Lekli: Schoolchoice in Europe
(in Hungarian)
Supervisor:
Dr. Péter Biró
Dóra Pribeli: Analysis of dynamic hedging performance for interest rate derivatives
Supervisor:
Endre Szecsei, Gábor Molnár-Sáska
Sárosdi Zsombor: Fertility and pensions
(in Hungarian)
Supervisor:
Dr. Banyár József
2020
Tamás Balázsi: Analyzing the term structure of interest rates with global and idiosyncratic factors
(in Hungarian)
Supervisor:
Dr. Ágnes Vidovics-Dancs
Gergő János Garaguly: Analysing efficiency in financial markets from the perspective of ecophysics
(in Hungarian)
Supervisor:
Milán Csaba Badics
Hegel Patrik: Mortality estimation with health state function
(in Hungarian)
Supervisor:
Arató Miklós
Ádám Huszárik: Data-driven underwriting in life insurance
(in Hungarian)
Supervisor:
Dr. Erzsébet Kovács
Kristóf Reizinger: Big data analysis in financial networks: An econometric approach for the detection of SIFIs and the measurement of systemic risk
Supervisor:
Milán Csaba Badics
Simon Nikolett: Profitability testing under IFRS 17
(in Hungarian)
Supervisor:
Hauer Judit
Gábor Szentkereszti: Application of machine learning algorithms in actuarial mathematics
(in Hungarian)
Supervisor:
Dr. Péter Vékás
Péter Tóth: Big Data analytics in health insurance
(in Hungarian)
Supervisor:
Dr. Péter Vékás
2019
Dániel Biró: Contagion and interdependence on the CDS market: a Bayesian Factor Model approach
Supervisor:
Milán Csaba Badics
Fodor Péter: Life insurance's lapse risk in Solvency2
(in Hungarian)
Supervisor:
Gerényi Attila Zoltán
Anna Horvat: Simulation modeling of insurance products
(in Hungarian)
Supervisor:
Péter Vékás
István Huzsvai: Solvency 2: Own risk and solvency assessment
(in Hungarian)
Supervisor:
Enikő Góg, Miklós Arató
Kovács Dániel: A look at the NHL draft from a behavioral economics standpoint
(in Hungarian)
Supervisor:
Dr. Dömötör Barbara Mária
Timea Kövesdiné Tassonyi: Private pension fund membership
(in Hungarian)
Supervisor:
Gábor Borza, György Michaletzky
Bálint Plangár: EMD and wavelet decomposition based denoising and forecasting of crude oil prices
Supervisor:
Milán Csaba Badics
Zsófia Tagscherer: Variance Derivatives and the Effect of Jumps on Them
Supervisor:
Dr. Gábor Molnár-Sáska, Zsófia Iványi
Petra Turi: Evolution of investment strategies
(in Hungarian)
Supervisor:
dr. Zsolt Bihary
Anikó Ungár: The effect of large shocks in financial and economic systems
(in Hungarian)
Supervisor:
Zsolt Bihary
Miklós Milán Vancsa: Empirical Portfolio Selection based on Option Implied Measures
Supervisor:
Milán Csaba Badics
Dávid Virtás: Application of predictive methods and machine learning techniques in the insurance business
(in Hungarian)
Supervisor:
Péter Vékás
Bettina Zsámboki: The evolution of calculating market risk and credit risk in regulation, in particular the CVA risk
(in Hungarian)
Supervisor:
Barbara Mária Dömötör
2018
Edina Antal: Mortality models: comparison and application
(in Hungarian)
Supervisor:
dr. Erzsébet Kovács
Eszter Baranyi: CDO Pricing with Different Correlation Structures
(in Hungarian)
Supervisor:
László Márkus
Gábor Bényi: Errors of mortality predictions
(in Hungarian)
Supervisor:
Miklós Arató
László Bereczki: Prospect theory in insurance
(in Hungarian)
Supervisor:
Kolos Csaba Ágoston
Gábor Bottyán: IFRS 17, a solved problem for non-life portfolio
(in Hungarian)
Supervisor:
András Boncz
Orsolya Gyóni: How much should you trust the Least Squares Method as a Risk Manager?
Supervisor:
Norbert Hári, Gábor Vigh, Gábor Molnár-Sáska
Klaudia Hosszú: IFRS 17, a practical example for a unit-linked portfolio
(in Hungarian)
Supervisor:
András Boncz, Ágnes Backhausz
Edina Kovács: Comparison and backtesting of Value at Risk and Expected Shortfall
(in Hungarian)
Supervisor:
Barbara Dömötör, András Komárik, Gábor Molnár-Sáska
Orsolya Lelkes: Childcare and pension systems: One potential model: The HTET pension system
(in Hungarian)
Supervisor:
József Banyár
Szabolcs Majoros: Multivariate stable distributions and their application in modeling returns
Supervisor:
András Zempléni
Alexandra Maros: Modelling the dependency between frequency and severity of insurance claims
(in Hungarian)
Supervisor:
János Szamoránsky, Ágnes Backhausz
Rahel Johanna Mogyorosi: Game theory models in finance
(in Hungarian)
Supervisor:
Dr. Peter Csoka
Nagy Eszter: Analysis of Ageing and Retirement in European Countries with Generalized Linear Model
(in Hungarian)
Supervisor:
Kovács Erzsébet
Tünde Nász: Analysis of the Kelly Criterion
(in Hungarian)
Supervisor:
Zsolt Bihary
Petra Romvári: Fair valuation of insurance liabilities, time-consistent and market-consistent evaluations
(in Hungarian)
Supervisor:
Miklós Arató
Gergely Bence Szilágyi: Analysing short time asymptotic of stochastic volatility models
Supervisor:
Csaba Kőrössy, Gábor Molnár-Sáska
Kristóf Takács: Characterization and classification of paid-up insurance policies using statistical data mining methods
(in Hungarian)
Supervisor:
Péter Vakhal, Tamás Pröhle
Anikó Török: Survival models in insurance
(in Hungarian)
Supervisor:
Péter Vékás
Julia Toth: Volatility as a tradable instrument
(in Hungarian)
Supervisor:
Dr. Agnes Vidovics-Dancs
2017
Barbara Anna Balázs: Interpretations and degrees of path-dependency
(in Hungarian)
Supervisor:
Ágnes Vidovics-Dancs
László Bondici: Multi-Factor Interest Rate Models and Exotic Options
(in Hungarian)
Supervisor:
György Michaletzky
Csikai Mátyás: Similarities between Sports Betting and Financial Markets
(in Hungarian)
Supervisor:
Badics Milán
Tamás Gilinger: Analysis of the Takeover Markets with Game Theory Methodologies
(in Hungarian)
Supervisor:
Péter Csóka
Roland Horváth: Forecasting Hungarian mortality tables using multi-population models
(in Hungarian)
Supervisor:
Péter Vékás
Mátyás József Kiss: Pricing models in FX markets
(in Hungarian)
Supervisor:
Gábor Molnár-Sáska
Eszter Kunne Szabo: Modeling systemic risk
(in Hungarian)
Supervisor:
Agnes Backhausz
Zoltán Milotai: Frequency and severity models in reserving
Supervisor:
Antalffy-Németh Gabriella
Peter Németh: The pricing process and the challanges of health insurances in the social security system
(in Hungarian)
Supervisor:
Eszter Kovács
Károly Nyitrai : Co-insurance modeling with game theory
(in Hungarian)
Supervisor:
Zsuzsanna Jankó
Sándor Pap : The actuarial principles and the retirement age
(in Hungarian)
Supervisor:
Gábor Borza
Balázs Takács: Malliavin Calculus and an Application to Finance
(in Hungarian)
Supervisor:
György Michaletzky
2016
Ákos Tuzson Árendás: Ruin probabilities in case of INAR claim processes
(in Hungarian)
Supervisor:
Tamás Prőhle
Botond Bende: Statistical analysis of randomly censored data
(in Hungarian)
Supervisor:
Antal Kováts
Peter Bosz: The Heston and Bates-models discretization
(in Hungarian)
Supervisor:
Laszlo Markus
Bettina Bota: Different approaches to the financial position of insurance companies in the Solvency II system.
(in Hungarian)
Supervisor:
Dr. Gábor Hanák
Csikai Mátyás: Similarities between Sports Betting and Financial Markets
(in Hungarian)
Supervisor:
Badics Milán
Csaba Drahos: Random fields in finance
(in Hungarian)
Supervisor:
László Márkus
Fanni Hegyi: Annual cost rate of life insurance products
(in Hungarian)
Supervisor:
Szabolcs Kemény
Dániel Hermán: Predicting the expectation of retired payments from personal parameters
(in Hungarian)
Supervisor:
Ákos Ribényi, Gabriella Keszthelyi
Jakab Juhász: Comparation of methods for calculating IBNR claims reserves
(in Hungarian)
Supervisor:
Miklós Arató
László Botond Kar: Clinical studies in actuarial relations
(in Hungarian)
Supervisor:
Miklós Arató
Mihály Kis: Solvency capital requirement of catastrophe risk
(in Hungarian)
Supervisor:
Antal Kováts
Máté János Knódel: Individual claim reserving models
(in Hungarian)
Supervisor:
Miklós Arató
Noémi Mázsár: Network modells for the systemic risk of banks
(in Hungarian)
Supervisor:
Péter Csóka
Péter Pogonyi: Non-life Reserving Based on Individual Claim Information with Simulation Method
(in Hungarian)
Supervisor:
Róbert Pónuzs
Imre Puskás: Credit Risk Modeling with Hybrid Machine Learning Method
(in Hungarian)
Supervisor:
Milán Csaba Badics
Ernő Solymosi: Variance derivatives
(in Hungarian)
Supervisor:
Gábor Molnár-Sáska
Kristof Szabo: Pricing derivatives with nonparametric models
(in Hungarian)
Supervisor:
Milan Csaba Badics
Attila András Víg: Pricing Models for Inflation Derivatives
(in Hungarian)
Supervisor:
Ágnes Vidovics-Dancs
2015
Tamás Bakó: Analysis of bitcoin networks
(in Hungarian)
Supervisor:
Dr. István Csabai, Dr. Edina Berlinger
Ágnes Bertalan: The effect of degression on the hungarian pension system
(in Hungarian)
Supervisor:
Gábor Borza
Bonifác Herczeg: Capital allocation for illiquid portfolio
(in Hungarian)
Supervisor:
Péter Csóka
Ádám Tamás Hosszú: Difficulties of short rate model callibration in low-yield environment
(in Hungarian)
Supervisor:
Dávid Bozsó
Gábor Kondor: Dynamic Indices
(in Hungarian)
Supervisor:
Csaba Böde, Balázs Márkus
Gábor Koronka: Solvency capital allocation methods in insurance business
(in Hungarian)
Supervisor:
Gábor László Malicskó
Enikő Gréta Kránicz: Credit Derivative Pricing with Stochastic Volatility Models
(in Hungarian)
Supervisor:
Dr. Gábor Molnár-Sáska
Erika Mercs: The impact of reinsurance on capital requirement under Solvency 2
(in Hungarian)
Supervisor:
Dávid Bozsó
Balázs Márton Süli: Yield Curve Modeling
Supervisor:
Dr. András Zempléni
Ágnes Szabó: Behavioral economics in actuarial mathematics
(in Hungarian)
Supervisor:
Dr. Miklós Pintér
Dávid Szabó: VaR calculation methods
(in Hungarian)
Supervisor:
Miklós Arató
2014
András Bebes: An Overview of the Classification of Risk Measures According to Various Risk Management Preferences
(in Hungarian)
Supervisor:
Dr. Péter Csóka
Anikó Fábián: Estimation of ruin probability with Cramér-Lundberg approximations
(in Hungarian)
Supervisor:
György Michaletzky
György Fegyveres: Methods of yield curve modelling through the comparison of spline and Nelson-Siegel type models
(in Hungarian)
Supervisor:
Dr. János Száz, Ágnes Vidovics-Dancs
Tamás Gombár: Mathematical and empirical properties of high frequency financial data
(in Hungarian)
Supervisor:
László Márkus
Réka Gondos: Reinsurance and Solvency II.
(in Hungarian)
Supervisor:
István Kerényi
Hegedűs Endre: Dependence modeling in non-life claims reserving
(in Hungarian)
Supervisor:
Arató Miklós
Blanka Kiss: Liquidity risk
(in Hungarian)
Supervisor:
Vilmos Prokaj
Bettina Klimaj: Lundberg approximations with insurance applications: Estimation of the time of ruin
(in Hungarian)
Supervisor:
György Michaletzky
János Sándor Luptovics: The effect of using longevity bonds on the solvency capital calculated under the Solvency II
(in Hungarian)
Supervisor:
Dávid Bozsó
Orsolya Nagy: IBNR reserves calculation methods
(in Hungarian)
Supervisor:
Ágnes Rádonyi
Berta Nánássi: Modelling of joint annuities with copula functions
(in Hungarian)
Supervisor:
Erzsébet Kovács
Barbara Orbán: Stochastic Claims Reserving Methods in Non-Life Insurance
(in Hungarian)
Supervisor:
Gabriella Antalffy-Németh
András Stark: The role of joint distributions in operational risk
(in Hungarian)
Supervisor:
Péter Medvegyev, Örs Szilágyi
Mónika Szikszai: Valuation of CDS index options
(in Hungarian)
Supervisor:
Gábor Molnár-Sáska
Dóra Edit Talabér: Modeling of claim counts' distribution
(in Hungarian)
Supervisor:
Vilmos Prokaj
Beáta Tóth: Conversion of savings to life annuities
(in Hungarian)
Supervisor:
Kolos Csaba Ágoston
Nikolett Töttösi: Detecting asset price bubbles
(in Hungarian)
Supervisor:
András Zempléni
2013
Teréz Balogh: An analysis of factors affecting insurance agent's performance
(in Hungarian)
Supervisor:
Miklós Arató
Péter Bayer: Ambiguity neutrality
Supervisor:
Miklós Pintér
Gábor Czigány: Game theory and finances
(in Hungarian)
Supervisor:
Dr. Péter Csóka
Hutvágner Ivett: The comparison of the sweden and the german pension systems
(in Hungarian)
Supervisor:
Viszkievicz András
Péter Kerényi: Risk capital allocation and examination of the Shapley value risk capital allocation method with simulation tools
(in Hungarian)
Supervisor:
Péter Csóka
Péterné Szabari: The modeling of insurances public procurement with cooperative game theory methods
(in Hungarian)
Supervisor:
Miklós Pintér
Beata Tunde Szabo: CDO pricing: the Gaussian copula and correlation expansions
(in Hungarian)
Supervisor:
Dr. Gabor Molnar-Saska
David Zoltan Szabo: Spectral risk measures for determining the risk of holding stocks
(in Hungarian)
Supervisor:
Dr. Peter Csoka
Gábor Szalai: Fleets in the automobile insurance
(in Hungarian)
Supervisor:
Erika Kelemen
András Tóth: Generalized linear models in insurance
(in Hungarian)
Supervisor:
János Szamoránsky
Viktória Varga: Possible techniques for the integration of a risk premium based on income contingent student loan system - In particular the effects of cross-financing
(in Hungarian)
Supervisor:
Dr. Edina Berlinger
2012
Viktória Csépány : Extreme sports in accident insurance
(in Hungarian)
Supervisor:
Miklós Arató
Bea Eitner: Estimated balance of the National Health Insurance Fund
(in Hungarian)
Supervisor:
Ákos Ribényi , András Viszkievicz
Ákos Englert: The spatial median
(in Hungarian)
Supervisor:
Károly Mályusz
Judit Faragó: Actuarial models in disability insurance
(in Hungarian)
Supervisor:
Erzsébet Kovács, László Szegő
Orsolya Kocsis: The effect of dependences into the incolvency probabilities
(in Hungarian)
Supervisor:
Miklós Arató
Attila Lukács: Forecasting of Hungarian mortality rates
(in Hungarian)
Supervisor:
Erzsébet Kovács
László Szepesváry: Modelling market and life insurance risks in Solvency 2
(in Hungarian)
Supervisor:
Péter Vékás
Tolnai, Katalin Viktória: Risk Measuring in Non-life Insurance in Solvency 2
(in Hungarian)
Supervisor:
Lilli, Róbert
Krisztina Török: Solvency II: Presentation of the life and health insurance risk modules by example of a unit-linked insurance
(in Hungarian)
Supervisor:
Péter Vékás
Gábor Tóth: Max-stable processes and their application to modelling extreme insurance risks
(in Hungarian)
Supervisor:
András Zempléni
Viktor Varga: Structural analysis of income on the hungarian generation of 1968
(in Hungarian)
Supervisor:
Edina Berlinger
2011
Zsuzsanna Jankó: Generalized stable matchings: theory and applications
Supervisor:
Tamás Fleiner
Vivien Éva Radocha: Pension Point Systems
(in Hungarian)
Supervisor:
Erzsébet Kovács
Laszlo Sajtos: nalyzing the relationship of financial datasets, especially detecting the effects of crisis.
(in Hungarian)
Supervisor:
Andras Zempleni
András Szigethy: Influence of reinsurance on ruin probability
(in Hungarian)
Supervisor:
Miklós Arató
Edina Tárnok: Modelling of husband's and wife's life-span in case of multi-life insurance policies
(in Hungarian)
Supervisor:
Péter Vékás