Research interests: Actuarial Science and Data Analytics applied to Insurance Problems.

Selected Manuscripts (non peer-reviewed)

• Isotonic recalibration under a low signal-to-noise ratio
  (with J. Ziegel). arXiv:2301.0269, 2023.




• A discussion of discrimination and fairness in insurance pricing
  (with M. Lindholm, R. Richman, A. Tsanakas). SSRN Manuscript, ID 4207310, 2022.




• A multi-task network approach for calculating discrimination-free insurance prices
  (with M. Lindholm, R. Richman, A. Tsanakas). SSRN Manuscript, ID 4155585, 2022.




• 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.

Selected Publications

(full list of publications: ▸ see)

• Model selection with Gini indices under auto-calibration
  European Actuarial Journal in press.




• 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.




• Convolutional neural network classification of telematics car driving data
  (with G. Gao). Risks 7/1 (2019), 6.




• 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





• Machine learning in individual claims reserving
  Scandinavian Actuarial Journal 2018/6 (2018), 465--480.




• Full Bayesian analysis of claims reserving uncertainty
  (with G.W. Peters, R.S. Targino). Insurance: Mathematics and Economics 73 (2017), 41--53.




• Paid-incurred chain reserving method with dependence modeling
  (with S. Happ). ASTIN Bulletin 43 (2013), no. 1, 1--20.




• Dependence modeling in multivariate claims run-off triangles
  (with M. Merz and E. Hashorva). Annals of Actuarial Science 7 (2013), no. 1, 3--25.




• Cost-of-capital margin for a general insurance liability runoff
  (with R. Salzmann). ASTIN Bulletin 40 (2010), no. 2, 415--451.




• Market consistent pricing of insurance products
  (with S. Malamud and E. Trubowitz). ASTIN Bulletin 38 (2008), no. 2, 483--526.