Mario V. Wuthrich

RiskLab, ETH Zurich

Prof. Dr.

Department of Mathematics

Ramistrasse 101

Zurich, 8092

Switzerland

SCHOLARLY PAPERS

54

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37,654

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67

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99

Scholarly Papers (54)

1.

Non-Life Insurance: Mathematics & Statistics

Number of pages: 307 Posted: 03 Sep 2013 Last Revised: 07 Jan 2020
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 10,732 (447)
Citation 16

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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: 241 Posted: 17 Nov 2016 Last Revised: 05 Jun 2019
Mario V. Wuthrich and Christoph Buser
RiskLab, ETH Zurich and AXA-Winterthur
Downloads 6,318 (1,124)
Citation 8

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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.

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 2,328 (6,257)
Citation 8

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

4.

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 1,769 (9,914)
Citation 4

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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

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 1,537 (12,361)
Citation 17

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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 1,517 (12,648)
Citation 5

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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 1,256 (16,947)
Citation 6

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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 982 (24,480)
Citation 6

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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.

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 857 (29,716)

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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

10.

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 803 (32,562)
Citation 7

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

11.

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 544 (54,523)
Citation 10

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

12.

Discrimination-Free Insurance Pricing

Number of pages: 26 Posted: 10 Feb 2020
Stockholm University, QED Actuaries and Consultants, City University London - Cass Business School and RiskLab, ETH Zurich
Downloads 524 (57,227)
Citation 2

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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.

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 508 (59,477)
Citation 6

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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

14.

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 508 (59,477)
Citation 7

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

15.

Covariate Selection from Telematics Car Driving Data

Number of pages: 18 Posted: 19 Dec 2016
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 494 (61,622)

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

16.

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 479 (64,000)
Citation 13

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

17.

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 475 (64,710)
Citation 5

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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

18.

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 433 (72,403)
Citation 4

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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

19.

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 424 (74,239)
Citation 1

Abstract:

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

20.

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 386 (82,835)
Citation 3

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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

21.

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 383 (83,613)
Citation 4

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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)

22.

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 369 (87,310)
Citation 3

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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

23.

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 280 (118,394)

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

24.

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 275 (120,626)

Abstract:

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

25.

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 253 (131,586)

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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

26.

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 238 (139,791)
Citation 1

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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

27.

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 233 (142,720)

Abstract:

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

28.

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 223 (148,940)

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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

29.

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 217 (152,851)
Citation 1

Abstract:

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

30.

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
City University London - Cass Business School, RiskLab, ETH Zurich and Business School, City, University of London
Downloads 214 (154,805)
Citation 5

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

31.

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 205 (161,149)
Citation 2

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

32.

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 199 (165,696)
Citation 1

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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

33.

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 191 (171,997)
Citation 1

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

34.

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 171 (189,768)

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

35.

Corona COVID-19 Analysis: Switzerland and Europe

Number of pages: 17 Posted: 15 Apr 2020 Last Revised: 20 Apr 2020
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 171 (189,768)

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corona virus propagation, peak prediction, Gompertz' law

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 166 (194,665)

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

37.

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 160 (200,855)

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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.

38.

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, City University London - Cass Business School and RiskLab, ETH Zurich
Downloads 139 (225,477)
Citation 2

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

39.

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 111 (266,967)
Citation 4

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

40.

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 111 (266,967)

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

41.

Sequential Monte Carlo Sampling for State Space Models

Number of pages: 24 Posted: 25 Apr 2016
Mario V. Wuthrich
RiskLab, ETH Zurich
Downloads 85 (318,109)

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

42.

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 80 (329,872)

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

43.

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 63 (376,085)

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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

44.

Nagging Predictors

Number of pages: 23
Ronald Richman and Mario V. Wuthrich
QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 63

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

45.

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 55 (401,786)

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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

46.

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 54 (405,161)

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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

47.

Boosting Poisson Regression Models with Telematics Car Driving Data

Number of pages: 25 Posted: 04 Jun 2020
Guangyuan Gao, He Wang and Mario V. Wuthrich
Renmin University of China - School of Statistics, affiliation not provided to SSRN and RiskLab, ETH Zurich
Downloads 45 (437,844)

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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

48.

Making Tweedie's Compound Poisson Model More Accessible

Number of pages: 34 Posted: 01 Jul 2020
Lukasz Delong, Mathias Lindholm and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics, Stockholm University and RiskLab, ETH Zurich
Downloads 13 (608,635)

Abstract:

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

49.

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

Number of pages: 40 Posted: 10 Apr 2020
Lukasz Delong and Mario V. Wuthrich
Warsaw School of Economics (SGH) - Institute of Econometrics and RiskLab, ETH Zurich
Downloads 13 (608,635)

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

50.

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

51.

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

52.

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

53.

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

54.

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 City University London - Cass Business School

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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