Data Science Initiative of the Swiss Association of Actuaries SAV

The Swiss Assocation of Actuaries has launched a working party. The goal of this working party is to prepare tutorials in the area of modern actuarial data science, see www.actuarialdatascience.org

• - Tutorial 1: Case study: French motor third-party liability claims.
  


• - Tutorial 2: Insights from inside neural networks.
  


• - Tutorial 3: Nesting classical actuarial models into neural networks.
  


• - Tutorial 4: On boosting: theory and applications.
  


• - Tutorial 5: Unsupervised learning: what is a sports car?
  


• - Tutorial 6: Lee and Carter go machine learning: recurrent neural networks.
  


• - Tutorial 7: The art of natural language processing: classical, modern and contemporary approaches to text document classification.
  


• - Tutorial 8: Peeking into the black box: an actuarial case study for interpretable machine learning.
  


• - Tutorial 9: Convolutional neural network case studies: (1) anomalies in mortality rates (2) image recognition.
  


• - Tutorial 10: LocalGLMnet: a deep learning architecture for actuaries.
  


• - Tutorial 11: Model comparison and calibration assessment: user guide for consistent scoring functions in machine learning and actuarial practice.
  


• - Tutorial 12: Actuarial applications of natural language processing using transformers: case studies for using text features in an actuarial context.
  


• - Tutorial 13: Individual claims generator for claims reserving studies: data simulation.R.
  

Industry Projects

• - Multi-dimensional exponential family for claim size modeling. MSc Thesis Project of Y.-X. Lan jointly with AXA, 2022.
  



• - Insurance claim size modelling with mixture distributions. MSc Thesis Project of D. Frei jointly with AXA, 2021.
  



• - Modelling propensity to type 2 diabetes using medical data. MSc Thesis Project of D. Filippova jointly with Swiss Re, 2020.
  



• - Challenging generalized linear models with neural network features. MSc Thesis Project of J. Thomann jointly with AXA, 2019.
  



• - Word embedding models in insurance. MSc Thesis Project of L.W. Fontana jointly with Mobiliar, 2019.
  



• - Tax modeling in insurance. MSc Thesis Project of S.A. Gubler jointly with Scor, 2019.
  



• - Data analytics for non-life insurance pricing. MSc Thesis Project of J. Abegglen jointly with Swiss Re, 2018.
  



• - Individual claims simulation machine. PhD Project of A. Gabrielli jointly with Suva (Dr. P. Blum), 2018.
  



• - Tax modelling in the Solvency II context. MSc Thesis Project of C. Longhitano jointly with Scor, 2018.
  



• - Stochastic claims reserving based on individual claims covariates. MSc Thesis Project of D. Heins jointly with Helsana, 2017.
  



• - Data science in non-life insurance pricing. MSc Thesis Project of P. Zöchbauer jointly with AXA-Winterthur, 2016.
  



• - Optimal reinsurance cession on multiple excess of loss layers. MSc Thesis Project of L. Gulfi jointly with Swiss Re, 2016.
  



• - Modeling and measuring stochastic volatility. MSc Thesis Project of C. Pelloni jointly with 1741 Asset Management AG, 2014.
  



• - Construction and comparison of mortality tables based on different techniques. MSc Thesis Project of G. Binder jointly with Swiss Re, 2014.
  



• - Asymmetrische Trendfilterung angewandt auf Finanzdaten. MSc Thesis Project of H. Hutter jointly with 1741 Asset Management AG, 2013.
  



• - Modelling operational risk. MSc Thesis Project of G. Barozzi jointly with Swiss Re, 2013.
  



• - Estimation methods of covariance matrices with application in finance. MSc Thesis Project of D. Schwander jointly with 1741 Asset Management AG, 2012.
  



• - Countercyclical regulation in Solvency II: Merits and flaws. by Danielsson, Laeven, Perotti, Wüthrich, Ayadi, Pelsser. VoxEU, June 23, 2012.



• - Private Equity unter Solvenz 2. MSc Thesis Project of I. Ebibi jointly with Partners Group, 2011.
  



• - A prudential regulatory issue at the heart of Solvency II. by Danielsson, de Jong, Laux, Laeven, Perotti, Wüthrich. VoxEU, March 31, 2011.



• - Das Invaliditätsrisiko in der Kollektivlebensversicherung. by König, Weber, Wüthrich. Schweizer Personalvorsorge, 08.11, 32--36.



• - Equal contribution to risk and portfolio construction. MSc Thesis Project of D. Stefanovits jointly with Wegelin Bank, 2010.
  



• - Mathematische Analyse des Risikos Invalidität. MSc Thesis Project of B. König jointly with AXA-Winterthur, 2010.
  



• - Prediction uncertainty in stochastic claims reserving methods. PhD Project of D. Alai jointly with ACE Limited, 2009.