| Publication | Date of Publication | Type |
|---|
High-cardinality categorical covariates in network regressions
Japanese Journal of Statistics and Data Science | 2025-01-22 | Paper |
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
Scandinavian Actuarial Journal | 2024-11-04 | Paper |
Accurate and explainable mortality forecasting with the LocalGLMnet
Scandinavian Actuarial Journal | 2024-09-20 | Paper |
A multi-task network approach for calculating discrimination-free insurance prices
European Actuarial Journal | 2024-08-26 | Paper |
Isotonic recalibration under a low signal-to-noise ratio
Scandinavian Actuarial Journal | 2024-04-10 | Paper |
Lasso regularization within the LocalGLMnet architecture
Advances in Data Analysis and Classification. ADAC | 2023-12-02 | Paper |
Mixture Composite Regression Models with Multi-type Feature Selection
North American Actuarial Journal | 2023-08-01 | Paper |
Model selection with Gini indices under auto-calibration
European Actuarial Journal | 2023-07-13 | Paper |
Ermanno Pitacco (1947–2022)
ASTIN Bulletin | 2023-06-26 | Paper |
The balance property in neural network modelling
Statistical Theory and Related Fields | 2023-03-07 | Paper |
Deep quantile and deep composite triplet regression
Insurance Mathematics \& Economics | 2023-02-22 | Paper |
LocalGLMnet: interpretable deep learning for tabular data
Scandinavian Actuarial Journal | 2023-02-21 | Paper |
Interpreting deep learning models with marginal attribution by conditioning on quantiles
Data Mining and Knowledge Discovery | 2022-09-16 | Paper |
Statistical foundations of actuarial learning and its applications
Springer Actuarial | 2022-08-02 | Paper |
Collective reserving using individual claims data
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
What can we learn from telematics car driving data: a survey
Insurance Mathematics \& Economics | 2022-05-12 | Paper |
Discrimination-free insurance pricing
ASTIN Bulletin | 2022-04-04 | Paper |
Construction of directed assortative configuration graphs
Internet Mathematics | 2022-03-23 | Paper |
Prediction Error of the Multivariate Chain Ladder Reserving Method
North American Actuarial Journal | 2022-01-19 | Paper |
Making Tweedie's compound Poisson model more accessible
European Actuarial Journal | 2021-12-17 | Paper |
Gamma mixture density networks and their application to modelling insurance claim amounts
Insurance Mathematics \& Economics | 2021-11-19 | Paper |
Time-series forecasting of mortality rates using deep learning
Scandinavian Actuarial Journal | 2021-09-13 | Paper |
Bias regularization in neural network models for general insurance pricing
European Actuarial Journal | 2020-11-04 | Paper |
Neural network embedding of the over-dispersed Poisson reserving model
Scandinavian Actuarial Journal | 2020-01-17 | Paper |
Scale-free percolation in continuum space
Communications in Mathematics and Statistics | 2019-10-10 | Paper |
Evaluation of driving risk at different speeds
Insurance Mathematics \& Economics | 2019-09-19 | Paper |
Neural networks applied to chain-ladder reserving
European Actuarial Journal | 2019-09-03 | Paper |
Feature extraction from telematics car driving heatmaps
European Actuarial Journal | 2019-09-03 | Paper |
Claims frequency modeling using telematics car driving data
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
Insurance Mathematics \& Economics | 2019-03-28 | Paper |
Machine learning in individual claims reserving
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Consistent recalibration of yield curve models
Mathematical Finance | 2018-08-16 | Paper |
From ruin theory to solvency in non-life insurance
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Double chain ladder, claims development inflation and zero-claims
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Consistent yield curve prediction
ASTIN Bulletin | 2018-06-04 | Paper |
Covariate selection from telematics car driving data
European Actuarial Journal | 2018-04-03 | Paper |
Machine learning techniques for mortality modeling
European Actuarial Journal | 2018-01-12 | Paper |
Full Bayesian analysis of claims reserving uncertainty
Insurance Mathematics \& Economics | 2017-11-23 | Paper |
Capital allocation for portfolios with non-linear risk aggregation
Insurance Mathematics \& Economics | 2017-01-31 | Paper |
Market-consistent actuarial valuation
EAA Series | 2016-09-29 | Paper |
Case study of Swiss mortality using Bayesian modeling
European Actuarial Journal | 2016-08-22 | Paper |
Premium liability risks: modeling small claims
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Prediction error of the expected claims development result in the chain ladder method
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Estimation of unallocated loss adjustment expenses
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
Parameter reduction in log-normal chain-ladder models
European Actuarial Journal | 2016-01-15 | Paper |
Best-estimate claims reserves in incomplete markets
European Actuarial Journal | 2015-07-29 | Paper |
scientific article; zbMATH DE number 6448268 (Why is no real title available?)
| 2015-06-22 | Paper |
Hedging of long term zero-coupon bonds in a market model with reinvestment risk
European Actuarial Journal | 2015-01-22 | Paper |
Statistical modelling and forecasting of outstanding liabilities in non-life insurance
SORT. Statistics and Operations Research Transactions | 2014-09-29 | Paper |
Networks, Random Graphs and Percolation
| 2014-09-08 | Paper |
Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving
North American Actuarial Journal | 2014-07-19 | Paper |
“A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
North American Actuarial Journal | 2014-07-19 | Paper |
Full and 1‐year runoff risk in the credibility‐based additive loss reserving method
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Claims development result in the paid-incurred chain reserving method
Insurance Mathematics \& Economics | 2014-04-10 | Paper |
Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model
Insurance Mathematics \& Economics | 2014-04-03 | Paper |
Market value margin via mean-variance hedging
ASTIN Bulletin | 2014-02-27 | Paper |
Bernoulli's law of large numbers
ASTIN Bulletin | 2014-02-27 | Paper |
Paid-incurred chain reserving method with dependence modeling
ASTIN Bulletin | 2014-02-27 | Paper |
Inhomogeneous Long-Range Percolation for Real-Life Network Modeling
| 2014-01-02 | Paper |
Higher moments of the claims development result in general insurance
ASTIN Bulletin | 2013-12-12 | Paper |
Stochastic claims reserving methods in insurance
| 2013-10-07 | Paper |
Indifference pricing for CRRA utilities
Mathematics and Financial Economics | 2013-08-06 | Paper |
Modeling accounting year dependence in runoff triangles
European Actuarial Journal | 2013-02-05 | Paper |
Financial modeling, actuarial valuation and solvency in insurance
Springer Finance | 2012-08-14 | Paper |
Development pattern and prediction error for the stochastic Bornhuetter-Ferguson claims reserving method
ASTIN Bulletin | 2012-06-11 | Paper |
Paid-incurred chain claims reserving method
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Insurance Mathematics \& Economics | 2012-02-10 | Paper |
Risk margin for a non-life insurance run-off
Statistics & Risk Modeling | 2011-12-23 | Paper |
An academic view on the illiquidity premium and market-consistent valuation in insurance
European Actuarial Journal | 2011-08-25 | Paper |
Accounting year effects modeling in the stochastic chain ladder reserving method
North American Actuarial Journal | 2011-08-23 | Paper |
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
Extremes | 2011-02-22 | Paper |
Uncertainty of the claims development result in the chain ladder method
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Bounds on the estimation error in the chain ladder method
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
Cost-of-capital margin for a general insurance liability runoff
| 2011-02-01 | Paper |
Model uncertainty in claims reserving within Tweedie's compound Poisson models
ASTIN Bulletin | 2011-01-20 | Paper |
Recursive credibility formula for chain ladder factors and the claims development result
ASTIN Bulletin | 2011-01-20 | Paper |
Market-consistent actuarial valuation
EAA Series | 2010-11-17 | Paper |
Taylor approximations for model uncertainty within the Tweedie exponential dispersion family
ASTIN Bulletin | 2009-12-22 | Paper |
Market Consistent Pricing of Insurance Products
ASTIN Bulletin | 2009-06-25 | Paper |
Credibility for the Chain Ladder Reserving Method
ASTIN Bulletin | 2009-06-25 | Paper |
The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
ASTIN Bulletin | 2009-06-15 | Paper |
The Mean Square Error of Prediction in the Chain Ladder Reserving Method – Final Remark
ASTIN Bulletin | 2009-06-15 | Paper |
Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
Insurance Mathematics \& Economics | 2009-05-12 | Paper |
Law of large numbers and large deviations for dependent risks
Quantitative Finance | 2009-04-20 | Paper |
Valuation portfolio in non-life insurance
Scandinavian Actuarial Journal | 2009-02-28 | Paper |
Diversification for general copula dependence
Statistica Neerlandica | 2008-12-01 | Paper |
Prediction error in the chain ladder method
Insurance Mathematics \& Economics | 2008-08-22 | Paper |
Extreme Value Theory and Archimedean Copulas
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
Limit distributions of upper order statistics for families of multivariate distributions
Extremes | 2007-12-16 | Paper |
Market-Consistent Actuarial Valuation
EAA Lecture Notes | 2007-11-16 | Paper |
A heteropolymer in a medium with random droplets
The Annals of Applied Probability | 2007-02-05 | Paper |
Diffusion of a heteropolymer in a multi-interface medium
Journal of Statistical Physics | 2005-05-25 | Paper |
Claims Reserving Using Tweedie's Compound Poisson Model
ASTIN Bulletin | 2005-03-30 | Paper |
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
ASTIN Bulletin | 2005-03-30 | Paper |
Annealed survival asymptotics for Brownian motion in a scaled Poissonian potential.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Diversification of aggregate dependent risks
Insurance Mathematics \& Economics | 2004-11-29 | Paper |
Tail dependence from a distributional point of view
Extremes | 2004-09-24 | Paper |
Bivariate extension of the Pickands-Balkema-de Haan theorem.
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2004-03-15 | Paper |
Copula convergence theorems for tail events.
Insurance Mathematics \& Economics | 2003-11-16 | Paper |
scientific article; zbMATH DE number 1867209 (Why is no real title available?)
| 2003-05-25 | Paper |
Infinite volume asymptotics of the ground state energy in a scaled Poissonian potential
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2002-10-27 | Paper |
Numerical bounds for critical exponents of crossing Brownian motion
Proceedings of the American Mathematical Society | 2001-10-21 | Paper |
Phase transition of the principal Dirichlet eigenvalue in a scaled Poissonian potential
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2001-01-01 | Paper |
Geodesics and crossing Brownian motion in a soft Poissonian potential
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2000-08-30 | Paper |
Superdiffusive behavior of two-dimensional Brownian motion in a Poissonian potential
The Annals of Probability | 2000-05-09 | Paper |
Scaling indentity for crossing Brownian motion in a Poissonian potential
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1999-05-18 | Paper |
Fluctuation results for Brownian motion in a Poissonian potential
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 1999-04-07 | Paper |
