5 papers
A tree-based varying coefficient model
Henning Zakrisson, Mathias Lindholm
The paper introduces a tree-based varying coefficient model (VCM) where the varying coefficients are modelled using the cyclic gradient boosting machine (CGBM) from Delong et al. (…
Mortality Forecasting using Variational Inference
Patrik Andersson, Mathias Lindholm
This paper considers the problem of forecasting mortality rates. A large number of models have already been proposed for this task, but they generally have the disadvantage of eith…
A Discussion of Discrimination and Fairness in Insurance Pricing
Mathias Lindholm, Ronald Richman, Andreas Tsanakas +1
Indirect discrimination is an issue of major concern in algorithmic models. This is particularly the case in insurance pricing where protected policyholder characteristics are not…
A multi-task network approach for calculating discrimination-free insurance prices
Mathias Lindholm, Ronald Richman, Andreas Tsanakas +1
In applications of predictive modeling, such as insurance pricing, indirect or proxy discrimination is an issue of major concern. Namely, there exists the possibility that protecte…
Insurance valuation: a computable multi-period cost-of-capital approach
Hampus Engsner, Mathias Lindholm, Filip Lindskog
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financia…