Mario V. Wuthrich

RiskLab, ETH Zurich

Prof. Dr.

Department of Mathematics

Ramistrasse 101

Zurich, 8092

Switzerland

SCHOLARLY PAPERS

57

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137

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116

Scholarly Papers (57)

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 315 Posted: 03 Sep 2013 Last Revised: 17 Dec 2020
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 12,629 (375)
Citation 17

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non-life insurance, general insurance, property and casualty insurance, collective risk modeling, individual claim size modeling, approximations for compound distributions, ruin theory, premium calculation principles, tariffication with GLM, credibility theory, claims reserving, solvency

2.

Data Analytics for Non-Life Insurance Pricing

Swiss Finance Institute Research Paper No. 16-68
Number of pages: 249 Posted: 17 Nov 2016 Last Revised: 10 Sep 2020
Mario V. Wuthrich and Christoph Buser
RiskLab, ETH Zurich and AXA-Winterthur
Downloads 8,202 (815)
Citation 16

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non-life insurance pricing, car insurance pricing, generalized linear models, generalized additive models, credibility theory, neural networks, regression trees, CART, bootstrap, bagging, random forest, boosting, telematic data, data science, machine learning, data analytics

3.

Case Study: French Motor Third-Party Liability Claims

Number of pages: 41 Posted: 18 Apr 2018 Last Revised: 05 Mar 2020
Alexander Noll, Robert Salzmann and Mario V. Wuthrich
PartnerRe Ltd - PartnerRe Holdings Europe Limited, SIGNAL IDUNA Reinsurance Ltd and RiskLab, ETH Zurich
Downloads 3,059 (4,561)
Citation 14

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data science, machine learning, predictive modeling, claims frequency, motor insurance, regression trees, boosting machine, neural network, generalized linear models, feature engineering, covariate selection

4.

Machine Learning in Individual Claims Reserving

Swiss Finance Institute Research Paper No. 16-67
Number of pages: 19 Posted: 11 Nov 2016 Last Revised: 29 Mar 2017
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 2,607 (5,957)
Citation 12

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individual claims data, individual claims reserving, micro-level stochastic reserving, regression tree, machine learning

5.

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 1,763 (11,313)
Citation 18

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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

6.

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 1,619 (12,923)
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

7.

Neural Networks Applied to Chain-Ladder Reserving

Number of pages: 26 Posted: 10 May 2017 Last Revised: 19 Jul 2018
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 1,469 (15,089)
Citation 12

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claims reserving, Mack's CL model, individual claims reserving, micro-level reserving, neural networks, individual claims features, claims covariates

8.

Insights from Inside Neural Networks

Number of pages: 64 Posted: 19 Aug 2018 Last Revised: 24 Apr 2020
Andrea Ferrario, Alexander Noll and Mario V. Wuthrich
Dep. Management, Technology, and Economics ETH Zurich, PartnerRe Ltd - PartnerRe Holdings Europe Limited and RiskLab, ETH Zurich
Downloads 1,381 (16,619)
Citation 10

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Neural Networks, Architecture, Over-Fitting, Loss Function, Dropout, Regularization, LASSO, Ridge, Gradient Descent, Class Imbalance, Car Insurance, Claims Frequency, Poisson Regression Model, Machine Learning, Deep Learning

9.

Nesting Classical Actuarial Models into Neural Networks

Number of pages: 27 Posted: 25 Jan 2019
Jürg Schelldorfer and Mario V. Wuthrich
Swiss Re and RiskLab, ETH Zurich
Downloads 1,380 (16,646)
Citation 11

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regression model, generalized linear model, neural network model, embedding layer, representation learning, Poisson regression

10.

From Generalized Linear Models to Neural Networks, and Back

Number of pages: 56 Posted: 09 Dec 2019 Last Revised: 03 Mar 2020
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 998 (26,956)
Citation 11

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generalized linear model, GLM, neural network, regression modeling, exponential dispersion family, deviance loss, balance property, canonical link, representation learning, regularization, LASSO, claims frequency modeling

11.

On the Lifetime and One-Year Views of Reserve Risk, with Application to IFRS 17 and Solvency II Risk Margins

Number of pages: 31 Posted: 15 Mar 2018 Last Revised: 30 May 2019
Peter England, R. J. Verrall and Mario V. Wuthrich
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and RiskLab, ETH Zurich
Downloads 997 (26,956)
Citation 4

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Stochastic Reserving, General Insurance, Bootstrap, Chain-Ladder, Prediction Error, Mean Square Error of Prediction, Cost-of-Capital, Risk Margin, Risk Adjustment, Solvency II, IFRS 17, Value-at-Risk, Tail Value-at-Risk, One-Year View, Proportional Hazards Transform, Coherent Risk Measure

12.

Discrimination-Free Insurance Pricing

Number of pages: 26 Posted: 10 Feb 2020
Stockholm University, QED Actuaries and Consultants, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 895 (31,483)
Citation 5

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discrimination, differentiation, insurance pricing, individual policy char- acteristics, discriminatory covariates, direct discrimination, indirect discrimination, neural networks, complex algorithmic models, causal inference, confounding

13.

A Neural Network Extension of the Lee-Carter Model to Multiple Populations

Number of pages: 21 Posted: 01 Nov 2018 Last Revised: 07 Nov 2018
Ronald Richman and Mario V. Wuthrich
QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 768 (38,853)
Citation 15

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Mortality forecasting, Lee-Carter model, Multiple Populations, Neural Networks

14.

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 678 (45,982)

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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

15.

Lee and Carter go Machine Learning: Recurrent Neural Networks

Number of pages: 30 Posted: 23 Aug 2019 Last Revised: 29 Aug 2019
Ronald Richman and Mario V. Wuthrich
QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 667 (47,048)
Citation 9

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recurrent neural network (RNN), long short-term memory (LSTM), gated recurrent unit (GRU), Lee-Carter (LC) model, mortality forecasting, feed-forward neural network (FNN)

16.

Neural Network Embedding of the Over-Dispersed Poisson Reserving Model

Number of pages: 30 Posted: 14 Dec 2018
Andrea Gabrielli, Ronald Richman and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students, QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 598 (54,208)
Citation 10

Abstract:

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cross-classified over-dispersed Poisson model, neural network, model blending, nested models, learning across portfolios, claims reserving in insurance, chain-ladder reserves, mean square error of prediction

17.

Statistical Review of Nuclear Power Accidents

Number of pages: 13 Posted: 06 Sep 2011 Last Revised: 04 Jul 2012
Marius Hofert and Mario V. Wuthrich
ETH Zurich, RiskLab, Department of Mathematics and RiskLab, ETH Zurich
Downloads 538 (61,909)
Citation 8

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nuclear safety, nuclear power accidents, risk managment, Fukushima, extremes, extreme value theory, Pareto distribution, Hill plot, peaks-over-threshold

18.

Covariate Selection from Telematics Car Driving Data

Number of pages: 18 Posted: 19 Dec 2016
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 534 (62,447)
Citation 1

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telematics data, driving habits, driving styles, regression, categorical classes, pattern recognition, clustering, K-means clustering, unsupervised learning, machine learning

19.

Claims Frequency Modeling Using Telematics Car Driving Data

Scandinavian Actuarial Journal, Forthcoming
Number of pages: 23 Posted: 23 Jan 2018 Last Revised: 23 Sep 2018
Guangyuan Gao, Shengwang Meng and Mario V. Wuthrich
Renmin University of China - School of Statistics, School of Statistics, Renmin University of China and RiskLab, ETH Zurich
Downloads 517 (64,957)
Citation 6

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Telematics Data, K-Means Algorithm, Principal Components Analysis, Bottleneck Neural Network, Generalized Additive Model, v-a Heatmap, Pattern Recognition, Kullback-Leibler Divergence, Claims Frequency Modeling, Car Insurance Pricing

20.

Market Consistent Pricing of Insurance Products

Number of pages: 32 Posted: 15 Mar 2007
Semyon Malamud, Eugene Trubowitz and Mario V. Wuthrich
Ecole Polytechnique Federale de Lausanne, Swiss Federal Institute of Technology Zurich and RiskLab, ETH Zurich
Downloads 489 (69,656)
Citation 14

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insurance, hedging, incomplete markets, utility indifference, market consistent

21.

Unsupervised Learning: What is a Sports Car?

Number of pages: 54 Posted: 22 Aug 2019 Last Revised: 14 Oct 2019
Simon Rentzmann and Mario V. Wuthrich
AXA Switzerland and RiskLab, ETH Zurich
Downloads 469 (73,326)
Citation 3

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PCA, biplot, autoencoder, bottleneck neural network (BNN), K-means clustering, K-medoids clustering, PAM algorithm, EM algorithm, clustering with Gaussian mixture models (GMMs), t-SNE, UMAP, SOM, Kohonen maps

22.

Machine Learning Techniques for Mortality Modeling

Number of pages: 16 Posted: 23 Feb 2017
Philippe Deprez, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zürich - Department of Mathematics, Macquarie University and RiskLab, ETH Zurich
Downloads 461 (74,883)
Citation 6

Abstract:

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mortality modeling, cause-of-death mortality, machine learning, boosting, regression

23.

Feature Extraction from Telematics Car Driving Heatmaps

Number of pages: 16 Posted: 16 Nov 2017
Guangyuan Gao and Mario V. Wuthrich
Renmin University of China - School of Statistics and RiskLab, ETH Zurich
Downloads 426 (82,245)
Citation 6

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Telematics car driving data, driving styles, unsupervised learning, pattern recognition, image recognition, bottleneck neural network, singular value decomposition, principal component analysis, Kullback-Leibler divergence

24.

Time-Series Forecasting of Mortality Rates using Deep Learning

Number of pages: 26 Posted: 04 Jun 2020
University of Naples Parthenope - Department of Management Studies and Quantitative Methods, QED Actuaries and Consultants, University of Naples "Parthenope" and RiskLab, ETH Zurich
Downloads 417 (84,301)
Citation 6

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Mortality Forecasting, Recurrent Neural Networks, Convolutional Neural Networks, Representation Learning, Time-Series Forecasting, Lee Carter Model, Human Mortality Database

25.

Paid-Incurred Chain Reserving Method with Dependence Modeling

Number of pages: 20 Posted: 22 Aug 2011
Sebastian Happ and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 400 (88,495)
Citation 3

Abstract:

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claims reserving, outstanding loss liabilities, ultimate loss prediction, claims payments, claims incurred, incurred losses, prediction uncertainty, paid-incurred chain model, PIC reserving method, general insurance, non-life insurance

26.

Back-Testing the Chain-Ladder Method

Number of pages: 29 Posted: 31 Jul 2018
Andrea Gabrielli and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students and RiskLab, ETH Zurich
Downloads 395 (89,733)

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chain-ladder, individual claims history simulation machine, claims reserving, loss reserving, back-testing, portfolio size, reserve uncertainty

27.

Believing the Bot - Model Risk in the Era of Deep Learning

Number of pages: 40 Posted: 05 Sep 2019
Ronald Richman, Nicolai von Rummell and Mario V. Wuthrich
QED Actuaries and Consultants, QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 344 (105,023)
Citation 5

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Deep learning, Model Risk, Pricing, Mortality Forecasting, Insurance Modelling

28.

Convolutional Neural Network Case Studies: (1) Anomalies in Mortality Rates (2) Image Recognition

Number of pages: 24 Posted: 08 Oct 2020
Daniel Meier and Mario V. Wuthrich
Swiss Reinsurance Company and RiskLab, ETH Zurich
Downloads 321 (113,453)
Citation 2

Abstract:

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convolutional neural network, CNN, regression, classification, mortality rates

29.

Individual Claims History Simulation Machine

Number of pages: 34 Posted: 06 Mar 2018
Andrea Gabrielli and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students and RiskLab, ETH Zurich
Downloads 268 (137,246)

Abstract:

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claims reserving, individual claims, claims cash flows, micro-level stochastic reserving, loss reserving, claims simulation, neural network reserving, individual claims features, individual claims covariates, chain-ladder

30.

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 263 (139,899)

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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

31.

The Quantification of Operational Risk Using Internal Data, Relevant External Data and Expert Opinion

The Journal of Operational Risk 2(3), pp.3-27, 2007.
Number of pages: 30 Posted: 24 Nov 2014
Dominik Lambrigger, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zürich, Macquarie University and RiskLab, ETH Zurich
Downloads 237 (155,002)
Citation 1

Abstract:

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Operational Risk, Basel II, Loss Distribution Approach, Bayesian inference, Advanced Measurement Approach, Quantitative Risk Management, generalized inverse Gaussian distribution

32.

The Structural Modelling of Operational Risk Via Bayesian Inference: Combining Loss Data with Expert Opinions

The Journal of Operational Risk 1(3), pp. 3-26, 2006
Number of pages: 26 Posted: 24 Nov 2014
Pavel V. Shevchenko and Mario V. Wuthrich
Macquarie University and RiskLab, ETH Zurich
Downloads 234 (156,857)
Citation 3

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operational risk, loss distribution approach, Bayesian inference, Basel II Advanced Measurement Approaches, compound process, quantitative risk management

33.

Market Value Margin via Mean-Variance Hedging

The final version of this article has appeared as: Tsanakas A., Wüthrich, M., Cerny, A. (2013), 'Market value margin via mean-variance hedging', ASTIN Bulletin, 43(3), p.301-322.
Number of pages: 21 Posted: 20 Sep 2012 Last Revised: 03 Jan 2014
Andreas Tsanakas, Mario V. Wuthrich and Aleš Černý
The Business School (formerly Cass), City, University of London, RiskLab, ETH Zurich and Bayes Business School (formerly Cass), City, University of London
Downloads 219 (167,112)
Citation 5

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Cost-of-capital, market consistent valuation, market value margin, mean-variance hedging, Solvency II

34.

Full Bayesian Analysis of Claims Reserving Uncertainty

Number of pages: 20 Posted: 24 May 2016
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 211 (173,063)
Citation 1

Abstract:

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Chain-Ladder Method, Claims Reserving Uncertainty, Claims Development Result, Mack's Formula, Merz-WüThrich's Formula, Conditional Mean Square Error of Prediction, Runoff Uncertainty, Full Bayesian Chain-Ladder Model

35.

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 (173,857)
Citation 3

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

36.

Convolutional Neural Network Classification of Telematics Car Driving Data

Number of pages: 18 Posted: 01 Nov 2018
Guangyuan Gao and Mario V. Wuthrich
Renmin University of China - School of Statistics and RiskLab, ETH Zurich
Downloads 208 (175,499)
Citation 2

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telematics car driving data, driving styles, pattern recognition, image recognition, convolutional neural networks

37.

Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks

Number of pages: 53 Posted: 03 May 2017
Gareth Peters, Rodrigo Targino and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and RiskLab, ETH Zurich
Downloads 200 (181,976)
Citation 2

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Capital Allocation, Premium and Reserve Risk, Solvency Capital Requirement (SCR), Sequential Monte Carlo (SMC), Swiss Solvency Test (SST)

38.

Collective Reserving using Individual Claims Data

Number of pages: 35 Posted: 19 May 2020
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 185 (195,241)
Citation 2

Abstract:

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claims reserving, general insurance, individual claims data, micro-level reserving, neural networks, IBNR claims, RBNS claims, chain-ladder method, over-dispersed Poisson model

39.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Number of pages: 27 Posted: 22 Mar 2021
Michael Merz, Ronald Richman, Andreas Tsanakas and Mario V. Wuthrich
University of Hamburg, QED Actuaries and Consultants, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 177 (202,930)
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

40.

Bias Regularization in Neural Network Models for General Insurance Pricing

Number of pages: 23 Posted: 28 Mar 2019
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 165 (215,415)
Citation 7

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generalized linear model; exponential dispersion family; neural network; gradient descent method; unbiasedness; regression tree

41.

Consistent Re-Calibration in Yield Curve Modeling: An Example

Swiss Finance Institute Research Paper No. 15-26
Number of pages: 22 Posted: 14 Jul 2015
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 164 (216,524)

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yield curve modeling, term structure model, affine term structure model, interest rate model, spot rate model, Vasicek model, Hull-White extension, Heath-Jarrow-Morton framework, HJM, calibration, consistent re-calibration, CRC.

42.

Capital Allocation for Portfolios with Non-Linear Risk Aggregation

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 21 May 2016 Last Revised: 16 Nov 2016
Tim J. Boonen, Andreas Tsanakas and Mario V. Wuthrich
University of Amsterdam, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 146 (238,398)
Citation 3

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Capital allocation, Euler rule, fuzzy core, Aumann-Shapley value, risk measures

43.

Dynamic Operational Risk: Modeling Dependence and Combining Different Sources of Information

The Journal of Operational Risk 4(2), pp. 69-104, 2009
Number of pages: 47 Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich
Downloads 128 (264,411)

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dependence modelling, copula, compound process, operational risk, Bayesian inference, Markov chain Monte Carlo, Slice sampling.

44.

Sequential Monte Carlo Sampling for State Space Models

Number of pages: 24 Posted: 25 Apr 2016
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 90 (336,632)

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State space models, sequential Monte Carlo sampling, SMC, Kalman filter

45.

A 'Toy' Model for Operational Risk Quantification Using Credibility Theory

The Journal of Operational Risk 2(1), pp. 3-19, 2007
Number of pages: 18 Posted: 24 Nov 2014
Hans BuŸhlmann, Pavel V. Shevchenko and Mario V. Wuthrich
ETH Zurich - Department of Mathmatics, Macquarie University and RiskLab, ETH Zurich
Downloads 84 (351,062)

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quantitative risk management, operational risk, loss distribution approach, credibility theory, combining different data sources, Basel II Advanced Measurement Approaches

46.

Chain Ladder Method: Bayesian Bootstrap Versus Classical Bootstrap

Number of pages: 37 Posted: 05 Jun 2017
Gareth Peters, Mario V. Wuthrich and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, RiskLab, ETH Zurich and Macquarie University
Downloads 75 (375,163)
Citation 1

Abstract:

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claims reserving, distribution-free chain ladder, mean square error of prediction, Bayesian chain ladder, approximate Bayesian computation, Markov chain Monte Carlo, adaption, annealing, bootstrap

47.

Driving Risk Evaluation Based on Telematics Data

Number of pages: 20 Posted: 13 Dec 2018
Guangyuan Gao, Mario V. Wuthrich and Hanfang Yang
Renmin University of China - School of Statistics, RiskLab, ETH Zurich and Renmin University of China - School of Statistics
Downloads 71 (386,648)

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Telematics data; Driving habit; Driving style; v-a heatmap; Acceleration pattern; K-mediods algorithm; Principal components analysis; Generalized additive model; Generalized linear model; Variable selection; Collinearity; Poisson regression; Deviance statistics; Claims frequency modeling; Car

48.

Gamma Mixture Density Networks and their application to modelling insurance claim amounts

Number of pages: 38 Posted: 23 Nov 2020 Last Revised: 14 Apr 2021
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 37 (514,840)
Citation 2

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Expectation-Maximization, neural networks, boosting, mixtures of distributions

49.

Nagging Predictors

Risks 2020, 8(3), 83; https://doi.org/10.3390/risks8030083
Posted: 16 Jul 2020 Last Revised: 22 Mar 2021
Ronald Richman and Mario V. Wuthrich
QED Actuaries and Consultants and RiskLab, ETH Zurich

Abstract:

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bagging, neural networks, network aggregation, insurance pricing, regression modeling

50.

Making Tweedie's Compound Poisson Model More Accessible

Eur. Actuar. J. (2021). https://doi.org/10.1007/s13385-021-00264-3
Posted: 01 Jul 2020 Last Revised: 17 Feb 2021
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich

Abstract:

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compound Poisson model, gamma claim sizes, Tweedie's distribution, exponential dispersion family, generalized linear models, neural network

51.

Boosting Poisson Regression Models with Telematics Car Driving Data

Mach Learn (2021). https://doi.org/10.1007/s10994-021-05957-0
Posted: 04 Jun 2020 Last Revised: 22 Mar 2021
Guangyuan Gao, He Wang and Mario V. Wuthrich
Renmin University of China - School of Statistics, affiliation not provided to SSRN and RiskLab, ETH Zurich

Abstract:

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Densely connected neural network, Convolutional neural network, Combined actuarial neural network, Claims frequency modeling, Telematics car driving data, Poisson regression, Generalized linear model, Regression tree, Telematics heatmap

52.

Neural Networks for the Joint Development of Individual Payments and Claim Incurred

Risks 2020, 8(2), https://doi.org/10.3390/risks8020033
Posted: 10 Apr 2020 Last Revised: 26 Feb 2021
Lukasz Delong and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics and RiskLab, ETH Zurich

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Neural networks, individual claims, Reported But Not Settled claims, claims simulations

53.

Assessing Asset-Liability Risk With Neural Networks

Risks 2020, 8, 16.
Posted: 13 Jan 2020 Last Revised: 10 Feb 2020
Patrick Cheridito, John Ery and Mario V. Wuthrich
ETH Zurich, ETH Zürich and RiskLab, ETH Zurich

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Asset-asset liability risk, risk capital, solvency calculation, value-at-risk, expected shortfall, neural networks, importance sampling

54.

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

ASTIN Bulletin 39(1), pp.1-33, 2009
Posted: 23 Nov 2014
Gareth Peters, Pavel V. Shevchenko and Mario V. Wuthrich
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Macquarie University and RiskLab, ETH Zurich

Abstract:

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Claims reserving, model uncertainty, Tweedie's compound Poisson model, Bayesian analysis, model selection, model averaging, Markov chain Monte Carlo

55.

Dependence Modeling in Multivariate Claims Run-Off Triangles

Annals of Actuarial Science, Forthcoming
Posted: 22 Dec 2011 Last Revised: 05 Jul 2012
Michael Merz, Mario V. Wuthrich and Enkelejd Hashorva
University of Hamburg, RiskLab, ETH Zurich and University of Lausanne, Actuarial Department

Abstract:

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

56.

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

57.

Risk Margin for a Non-Life Insurance Run-Off

The final version of this article has appeared as: Wuethrich M. V., Embrechts, P., Tsanakas, A. (2011), 'Risk margin for a non-life insurance run-off', Statistics & Risk Modeling, 28, p. 299-317.
Posted: 15 Aug 2011 Last Revised: 03 Jan 2014
Mario V. Wuthrich, Paul Embrechts and Andreas Tsanakas
RiskLab, ETH Zurich, Swiss Federal Institute of Technology Zurich and The Business School (formerly Cass), City, University of London

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claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation