Michael Merz

University of Hamburg

Allende-Platz 1

Hamburg, 20146

Germany

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 41,945

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5

CROSSREF CITATIONS

12

Scholarly Papers (11)

1.

Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Swiss Finance Institute Research Paper No. 15-34
Number of pages: 322 Posted: 23 Aug 2015
Mario V. Wuthrich and Michael Merz
RiskLab, ETH Zurich and University of Hamburg
Downloads 1,772 (11,281)
Citation 18

Abstract:

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Claims reserving, non-life insurance run-off, chain-ladder method, Bornhuetter-Ferguson method, claims modeling, claims development result, risk margin, run-off uncertainty, conditional mean square error of prediciton

2.

Claims Run-Off Uncertainty: The Full Picture

Swiss Finance Institute Research Paper No. 14-69
Number of pages: 45 Posted: 15 Nov 2014 Last Revised: 03 Jul 2015
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 1,629 (12,862)
Citation 8

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Claims reserving, chain-ladder method, gamma-gamma Bayesian chain-ladder model, conditional mean square error of prediction, claims development result, one-year uncertainty, run-off uncertainty, Mack’s formula, Merz- Wüthrich formula, risk margin, R package ChainLadder

3.

Statistical Foundations of Actuarial Learning and its Applications

Number of pages: 338 Posted: 21 Apr 2021
Mario V. Wuthrich and Michael Merz
RiskLab, ETH Zurich and University of Hamburg
Downloads 730 (41,807)

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Insurance modeling, actuarial modeling, statistical modeling, regression, generalized linear models, neural networks, mixture models, expectation-maximization algorithm, maximum likelihood estimation, regularization, forecast dominance, scoring

4.

Modified Munich Chain-Ladder Method

Swiss Finance Institute Research Paper No. 14-65
Number of pages: 20 Posted: 30 Aug 2014
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 264 (139,853)

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Munich chain-ladder method, claims reserving, prediction uncertainty, mean square error of prediction, multivariate Gaussian model, claims paid and claims incurred

5.

Best-Estimate Claims Reserves in Incomplete Markets

Swiss Finance Institute Research Paper No. 14-64
Number of pages: 21 Posted: 17 Aug 2014 Last Revised: 12 Nov 2014
Sebastian Happ, Michael Merz and Mario V. Wuthrich
University of Hamburg, University of Hamburg and RiskLab, ETH Zurich
Downloads 210 (174,488)
Citation 3

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best-estimate reserves, dynamic hedging, sequential local risk minimization, state-price deflator, incomplete market, technical provisions, risk margin

6.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Number of pages: 27 Posted: 22 Mar 2021
University of Hamburg, QED Actuaries and Consultants, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 181 (199,676)
Citation 1

Abstract:

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explainable AI (XAI), model-agnostic tools, deep learning, attribution, accumulated local e ects (ALE), partial dependence plot (PDP), locally interpretable model-agnostic explanation (LIME), variable importance, post-hoc analysis

7.

Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result

Number of pages: 22 Posted: 16 May 2012 Last Revised: 26 Nov 2016
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg
Downloads 178 (202,635)

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, claims development result

8.

Predicting the Claims-Development-Result in the Chain-Ladder Method for Correlated Run-Off Portfolios

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), 439-461, DOI: 10.1007/s12297-008-0035-5
Posted: 20 May 2012
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, claims development result

9.

Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), DOI:10.1007/s12297-008-0035-5
Posted: 20 May 2012
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, predictive distribution

10.

Dependence Modeling in Multivariate Claims Run-Off Triangles

Annals of Actuarial Science, Forthcoming
Posted: 22 Dec 2011 Last Revised: 05 Jul 2012
University of Hamburg, RiskLab, ETH Zurich and University of Lausanne, Actuarial Department

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general insurance, non-life insurance, claims reserving, aggregation of run-off portfolios, claims inflation, outstanding loss liabilities

11.

Claims Development Result in the Paid-Incurred Chain Reserving Method

Insurance: Mathematics and Economics, Forthcoming
Posted: 17 Aug 2011 Last Revised: 04 Jul 2012
Sebastian Happ, Michael Merz and Mario V. Wuthrich
University of Hamburg, University of Hamburg and RiskLab, ETH Zurich

Abstract:

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stochastic claims reserving, PIC method, outstanding loss liabilities, claims payments, incurred losses, prediction uncertainty, conditional mean square error, claims development result, solvency