Selected Manuscripts (non peer-reviewed)
- Boosting Poisson regression models with telematics car driving data
(with G. Gao, H. Wang). SSRN Manuscript, ID 3596034, 2020.
- Time-series forecasting of mortality rates using deep learning
(with F. Perla, R. Richman, S. Scognamiglio). SSRN Manuscript, ID 3595426, 2020.
- Collective reserving using individual claims data
(with L. Delong, M. Lindholm). SSRN Manuscript, ID 3582398, 2020.
- Discrimination-free insurance pricing
(with M. Lindholm, R. Richman, A. Tsanakas). SSRN Manuscript, ID 3520676, 2020.
- From generalized linear models to neural networks, and back.
SSRN Manuscript, ID 3491790, 2019.
- Claims run-off uncertainty: the full picture
(with M. Merz). SSRN Manuscript, ID 2524352, 2014.
Code available through ChainLadder 0.2.0 on CRAN:
- Modelling the claims development result for solvency purposes
(with M. Merz). CAS E-Forum, Fall 2008, 542--568.
(full list of publications: ▸ see)
- A neural network extension of the Lee-Carter model to multiple populations
(with R. Richman). To appear in Annals of Actuarial Science.
- Neural network embedding of the over-dispersed Poisson reserving model
(with A. Gabrielli and R. Richman). Scandinavian Actuarial Journal 2020/1 (2020), 1--29.
- 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
- Neural networks applied to chain-ladder reserving
European Actuarial Journal 8/2 (2018), 407--436.
- 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.