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Selected Manuscripts (non peer-reviewed)
- The credibility transformer
(with R. Richman and S. Scognamiglio). arXiv:2409.16653, 2024.
- Presentation Slides
- Claims processing and costs under capacity constraints
(with F. Lindskog). arXiv:2409.09091, 2024.
- The balance property in insurance pricing
(with M. Lindholm). SSRN Manuscript, ID 4925165, 2024.
- Auto-calibration tests for discrete finite regression functions
arXiv:2408:05993, 2024.
- Sensitivity-based measures of discrimination in insurance pricing
(with M. Lindholm, R. Richman, A. Tsanakas). SSRN Manuscript, ID 4897265, 2024.
- Reflections on deep learning and the actuarial profession(al)
(with R. Harris, R. Richman). SSRN Manuscript, ID 4672447, 2024.
- A classification of observation-driven state-space count models for panel data
(with J.Y. Ahn, H. Jeong, Y. Lu). arXiv:2308.16058, 2023.
- Conditional expectation network for SHAP
(with R. Richman). SSRN Manuscript, ID 4514891, 2023.
- Claims run-off uncertainty: the full picture
(with M. Merz). SSRN Manuscript, ID 2524352, 2014.
Code available through ChainLadder 0.2.0 on CRAN:
http://cran.r-project.org/web/packages/ChainLadder/
- Modelling the claims development result for solvency purposes
(with M. Merz). CAS E-Forum, Fall 2008, 542--568.
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Selected Recent Publications
(full list of publications: ▸ see)
- Model selection with Gini indices under auto-calibration
European Actuarial Journal 13/1 (2023), 469--477.
- LocalGLMnet: interpretable deep learning for tabular data
(with R. Richman). Scandinavian Actuarial Journal 2023/1 (2023), 71--95.
- Discrimination-free insurance pricing
(with M. Lindholm, R. Richman, A. Tsanakas). ASTIN Bulletin 52/1 (2022), 55--89.
- Collective reserving using individual claims data
(with L. Delong, M. Lindholm). Scandinavian Actuarial Journal 2022/1 (2022), 1--28.
- Boosting Poisson regression models with telematics car driving data
(with G. Gao, H. Wang). Machine Learning 111/1 (2022), 243--272.
- Time-series forecasting of mortality rates using deep learning
(with F. Perla, R. Richman, S. Scognamiglio). Scandinavian Actuarial Journal 2021/7 (2021), 572--598.
- On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
(with P.D. England, R.J. Verrall). Insurance: Mathematics and Economics 85 (2019), 74--88.
R Shiny app
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