Statistical foundations of actuarial learning and its applications

DOI10.1007/978-3-031-12409-9MaRDI QIDQ6484745zbMATH OpenFDO

Authors Mario V. Wüthrich, Michael Merz

Publication date 2 August 2022

Published in Springer Actuarial (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-031-12409-9

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Learning and adaptive systems in artificial intelligence (68T05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial mathematics (91G05)

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Cited in

(30)

• Effective Statistical Learning Methods for Actuaries II
• Effective statistical learning methods for actuaries III. Neural networks and extensions
• Machine learning with high-cardinality categorical features in actuarial applications
• Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data
• Ratemaking in a changing environment
• GAMLSS for Longitudinal Multivariate Claim Count Models
• A multi-task network approach for calculating discrimination-free insurance prices
• Detection of interacting variables for generalized linear models via neural networks
• Accurate and explainable mortality forecasting with the LocalGLMnet
• Regularization methods for solving inverse problems: a comprehensive review
• What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
• On duration effects in non-life insurance pricing
• Enhancing actuarial non-life pricing models via transformers
• Blended insurance scheme: a synergistic conventional-index insurance mixture
• Multiple yield curve modeling and forecasting using deep learning
• High-cardinality categorical covariates in network regressions
• Accelerating the computation of Shapley effects for datasets with many observations
• From point to probabilistic gradient boosting for claim frequency and severity prediction
• A tree-based varying coefficient model
• Additive tree latent variable models with applications to insurance loss prediction
• An observation-driven state-space count model for experience rating
• The credibility transformer
• Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
• Neural network Lee–Carter model and the actuarial relevance of longevity risk assessment
• Differential quantile-based sensitivity in discontinuous models
• Modeling lower-truncated and right-censored insurance claims with an extension of the MBBEFD class
• Insurance loss modeling with gradient tree-boosted mixture models
• Closed-form estimators for multivariate regressions models: a single categorical variable approach
• Sensitivity-based measures of discrimination in insurance pricing
• Optimal nonparametric estimation of the expected shortfall risk

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