3 papers
cs.LG2022
Neural calibration of hidden inhomogeneous Markov chains -- Information decompression in life insurance
Mark Kiermayer, Christian Weiß
Markov chains play a key role in a vast number of areas, including life insurance mathematics. Standard actuarial quantities as the premium value can be interpreted as compressed,…
q-fin.RM2021
Modeling surrender risk in life insurance: theoretical and experimental insight
Mark Kiermayer
Surrender poses one of the major risks to life insurance and a sound modeling of its true probability has direct implication on the risk capital demanded by the Solvency II directi…
q-fin.RM2019
Grouping of Contracts in Insurance using Neural Networks
Mark Kiermayer, Christian Weiß
Despite the high importance of grouping in practice, there exists little research on the respective topic. The present work presents a complete framework for grouping and a novel m…