Mario Valentin Wüthrich: Katalogdaten im Frühjahrssemester 2018 |
| Name | Herr Prof. Dr. Mario Valentin Wüthrich |
| Adresse | Wüthrich, Mario V. (Tit.-Prof.) ETH Zürich, HG F 42.2 Rämistrasse 101 8092 Zürich SWITZERLAND |
| Telefon | +41 44 632 33 90 |
| mario.wuethrich@math.ethz.ch | |
| URL | http://www.math.ethz.ch/~wmario |
| Departement | Mathematik |
| Beziehung | Titularprofessor |
| Nummer | Titel | ECTS | Umfang | Dozierende | |
|---|---|---|---|---|---|
| 401-3936-00L | Data Analytics for Non-Life Insurance Pricing | 4 KP | 2V | C. M. Buser, M. V. Wüthrich | |
| Kurzbeschreibung | We study statistical methods in supervised learning for non-life insurance pricing such as generalized linear models, generalized additive models, Bayesian models, neural networks, classification and regression trees, random forests, gradient boosting machines and support vector machines. Moreover, we present unsupervised learning methods applied to telematics car driving data. | ||||
| Lernziel | The student is familiar with classical actuarial pricing methods as well as with modern machine learning methods for insurance pricing and prediction. | ||||
| Inhalt | We present the following chapters: - generalized linear models (GLMs) - generalized additive models (GAMs) - credibility theory - classification and regression trees (CARTs) - bagging, random forests and boosting - support vector machines (SVMs) - unsupervised learning methods - telematics car driving data | ||||
| Skript | The lecture notes are available from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2870308 | ||||
| Voraussetzungen / Besonderes | This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch Good knowledge in probability theory, stochastic processes and statistics is assumed. | ||||
| 401-3956-00L | Economic Theory of Financial Markets Findet dieses Semester nicht statt. | 4 KP | 2V | M. V. Wüthrich | |
| Kurzbeschreibung | This lecture provides an introduction to the economic theory of financial markets. It presents the basic financial and economic concepts to insurance mathematicians and actuaries. | ||||
| Lernziel | This lecture aims at providing the fundamental financial and economic concepts to insurance mathematicians and actuaries. It focuses on portfolio theory, cash flow valuation and deflator techniques. | ||||
| Inhalt | We treat the following topics: - Fundamental concepts in economics - Portfolio theory - Mean variance analysis, capital asset pricing model - Arbitrage pricing theory - Cash flow theory - Valuation principles - Stochastic discounting, deflator techniques - Interest rate modeling - Utility theory | ||||
| Voraussetzungen / Besonderes | The exams ONLY take place during the official ETH examination period. This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch. Knowledge in probability theory, stochastic processes and statistics is assumed. | ||||
| 401-4920-00L | Market-Consistent Actuarial Valuation | 4 KP | 2V | M. V. Wüthrich, H. Furrer | |
| Kurzbeschreibung | Introduction to market-consistent actuarial valuation. Topics: Stochastic discounting, full balance sheet approach, valuation portfolio in life and non-life insurance, technical and financial risks, risk management for insurance companies. | ||||
| Lernziel | Goal is to give the basic mathematical tools for describing insurance products within a financial market and economic environment and provide the basics of solvency considerations. | ||||
| Inhalt | In this lecture we give a full balance sheet approach to the task of actuarial valuation of an insurance company. Therefore we introduce a multidimensional valuation portfolio (VaPo) on the liability side of the balance sheet. The basis of this multidimensional VaPo is a set of financial instruments. This approach makes the liability side of the balance sheet directly comparable to its asset side. The lecture is based on four sections: 1) Stochastic discounting 2) Construction of a multidimensional Valuation Portfolio for life insurance products (with guarantees) 3) Construction of a multidimensional Valuation Portfolio for a run-off portfolio of a non-life insurance company 4) Measuring financial risks in a full balance sheet approach (ALM risks) | ||||
| Literatur | Market-Consistent Actuarial Valuation, 2nd edition. Wüthrich, M.V., Bühlmann, H., Furrer, H. EAA Series Textbook, Springer, 2010. ISBN: 978-3-642-14851-4 Wüthrich, M.V., Merz, M. Claims Run-Off Uncertainty: The Full Picture SSRN Manuscript ID 2524352 (2015). Wüthrich, M.V., Embrechts, P., Tsanakas, A. Risk margin for a non-life insurance run-off. Statistics & Risk Modeling 28 (2011), no. 4, 299--317. Financial Modeling, Actuarial Valuation and Solvency in Insurance. Wüthrich, M.V., Merz, M. Springer Finance 2013. ISBN: 978-3-642-31391-2 | ||||
| Voraussetzungen / Besonderes | The exams ONLY take place during the official ETH examination period. This course will be held in English and counts towards the diploma of "Aktuar SAV". For the latter, see details under www.actuaries.ch. Knowledge in probability theory, stochastic processes and statistics is assumed. | ||||
| 401-5910-00L | Talks in Financial and Insurance Mathematics  | 0 KP | 1K | P. Cheridito, P. Embrechts, M. Schweizer, M. Soner, J. Teichmann, M. V. Wüthrich | |
| Kurzbeschreibung | Forschungskolloquium | ||||
| Lernziel | Einfuehrung in aktuelle Forschungsthemen aus dem Bereich "Insurance Mathematics and Stochastic Finance". | ||||
| Inhalt | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html | ||||