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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…