## Mario Valentin Wüthrich: Catalogue data in Spring Semester 2023 |

Name | Prof. Dr. Mario Valentin Wüthrich |

Address | Wüthrich, Mario V. (Tit.-Prof.) ETH Zürich, HG F 42.2 Rämistrasse 101 8092 Zürich SWITZERLAND |

Telephone | +41 44 632 33 90 |

mario.wuethrich@math.ethz.ch | |

URL | http://www.math.ethz.ch/~wmario |

Department | Mathematics |

Relationship | Adjunct Professor |

Number | Title | ECTS | Hours | Lecturers | |
---|---|---|---|---|---|

401-3936-DRL | Data Analytics for Non-Life Insurance Pricing Only for ETH D-MATH doctoral students and for doctoral students from the Institute of Mathematics at UZH. The latter need to send an email to Jessica Bolsinger (Link) with the course number. The email should have the subject „Graduate course registration (ETH)“. | 1 credit | 2V | M. V. Wüthrich, C. M. Buser | |

Abstract | 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 and gradient boosting machines. | ||||

Objective | The student is familiar with classical actuarial pricing methods as well as with modern machine learning methods for insurance pricing and prediction. | ||||

Content | We present the following chapters: - generalized linear models (GLMs) - generalized additive models (GAMs) - neural networks - credibility theory - classification and regression trees (CARTs) - bagging, random forests and boosting | ||||

Lecture notes | The lecture notes are available from: M.V. Wüthrich, C. Buser. Data Analytics for Non-Life Insurance Pricing http://ssrn.com/abstract=2870308 | ||||

Literature | M.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications http://ssrn.com/abstract=3822407 | ||||

Prerequisites / Notice | 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. | ||||

401-3936-00L | Data Analytics for Non-Life Insurance Pricing | 4 credits | 2V | M. V. Wüthrich, C. M. Buser | |

Abstract | 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 and gradient boosting machines. | ||||

Objective | The student is familiar with classical actuarial pricing methods as well as with modern machine learning methods for insurance pricing and prediction. | ||||

Content | We present the following chapters: - generalized linear models (GLMs) - generalized additive models (GAMs) - neural networks - credibility theory - classification and regression trees (CARTs) - bagging, random forests and boosting | ||||

Lecture notes | The lecture notes are available from: M.V. Wüthrich, C. Buser. Data Analytics for Non-Life Insurance Pricing http://ssrn.com/abstract=2870308 | ||||

Literature | M.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications http://ssrn.com/abstract=3822407 | ||||

Prerequisites / Notice | The exams ONLY take place during the official ETH examination period (no semester end exams), and they will only be taken in person (no remote exams). 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 | 4 credits | 2V | M. V. Wüthrich | |

Abstract | 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. | ||||

Objective | 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. | ||||

Content | 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 | ||||

Prerequisites / Notice | The exams ONLY take place during the official ETH examination period (no semester end exams), and they will only be taken in person (no remote exams). 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-DRL | Market-Consistent Actuarial Valuation Does not take place this semester. Only for ETH D-MATH doctoral students and for doctoral students from the Institute of Mathematics at UZH. The latter need to send an email to Jessica Bolsinger (Link) with the course number. The email should have the subject „Graduate course registration (ETH)“. | 1 credit | 2V | M. V. Wüthrich | |

Abstract | 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. | ||||

Objective | 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. | ||||

Content | 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) | ||||

Literature | Market-Consistent Actuarial Valuation, 3rd edition. Wüthrich, M.V. EAA Series, Springer 2016. ISBN: 978-3-319-46635-4 Wüthrich, M.V., Merz, M. Claims run-off uncertainty: the full picture. SSRN Manuscript ID 2524352 (2015). England, P.D, Verrall, R.J., Wüthrich, M.V. On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins. Insurance: Mathematics and Economics 85 (2019), 74-88. 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 Cheridito, P., Ery, J., Wüthrich, M.V. Assessing asset-liability risk with neural networks. Risks 8/1 (2020), article 16. | ||||

Prerequisites / Notice | The exams ONLY take place during the official ETH examination period, and they will only be taken in person (no remote exams). 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 ValuationDoes not take place this semester. | 4 credits | 2V | M. V. Wüthrich | |

Abstract | 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. | ||||

Objective | 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. | ||||

Content | 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) | ||||

Literature | Market-Consistent Actuarial Valuation, 3rd edition. Wüthrich, M.V. EAA Series, Springer 2016. ISBN: 978-3-319-46635-4 Wüthrich, M.V., Merz, M. Claims run-off uncertainty: the full picture. SSRN Manuscript ID 2524352 (2015). England, P.D, Verrall, R.J., Wüthrich, M.V. On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins. Insurance: Mathematics and Economics 85 (2019), 74-88. 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 Cheridito, P., Ery, J., Wüthrich, M.V. Assessing asset-liability risk with neural networks. Risks 8/1 (2020), article 16. | ||||

Prerequisites / Notice | The exams ONLY take place during the official ETH examination period (no semester end exams), and they will only be taken in person (no remote exams). 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 credits | 1K | B. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich | |

Abstract | Research colloquium | ||||

Objective | Introduction to current research topics in "Insurance Mathematics and Stochastic Finance". | ||||

Content | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html |