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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.
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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.
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