38 citations · 104 across the 32 of their papers we have counts for
3 papers · 1 filter
Deep Quantile and Deep Composite Model Regression
Tobias Fissler, Michael Merz, Mario V. Wüthrich
A main difficulty in actuarial claim size modeling is that there is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body…
Assessing asset-liability risk with neural networks
Patrick Cheridito, John Ery, Mario V. Wüthrich
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfo…
Mixture composite regression models with multi-type feature selection
Tsz Chai Fung, George Tzougas, Mario Wuthrich
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heav…