Mario Valentin Wüthrich: Catalogue data in Spring Semester 2025 |
| 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 | ||||||||||||||||||||
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| 401-3936-00L | Data Analytics for Non-Life Insurance Pricing Does not take place this semester. | 4 credits | 2V | M. V. Wüthrich | ||||||||||||||||||||
| 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. | |||||||||||||||||||||||
| Learning 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 | Further literature: M.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications, Springer 2023. https://link.springer.com/book/10.1007/978-3-031-12409-9 | |||||||||||||||||||||||
| 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. | |||||||||||||||||||||||
Competencies |
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| 401-3938-00L | Experience Rating in Insurance Pricing | 4 credits | 2V | M. V. Wüthrich | ||||||||||||||||||||
| Abstract | This lecture presents several methods for general insurance pricing. It starts from prior rating information discussing generalized linear models and neural networks. These models are extended to a dynamic view by using past claims history. It considers static and dynamic insurance pricing models, including mixed effects models, Bühlmann credibility, state-space models and transformers. | |||||||||||||||||||||||
| Learning objective | The student is familiar with advanced actuarial pricing methods in general insurance as well as with modern machine learning methods for insurance pricing and prediction. The student is able to use statistical and machine learning methods in an actuarial context. | |||||||||||||||||||||||
| Content | We present the following topics: - generalized linear models (GLMs) - neural networks - the balance property and auto-calibration - Bühlmann credibility theory - empirical Bayes methods - dynamic mixed effects models - observation-driven state-space models - deep experience rating - transformers and attention layers | |||||||||||||||||||||||
| Lecture notes | The lecture notes are available from: M.V. Wüthrich. Experience Rating in Insurance Pricing http://ssrn.com/abstract=4726206 Data and code is available from: https://github.com/wueth/Experience-Rating-in-Insurance-Pricing | |||||||||||||||||||||||
| Literature | Further literature: M.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications, Springer 2023. https://link.springer.com/book/10.1007/978-3-031-12409-9 | |||||||||||||||||||||||
| 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. | |||||||||||||||||||||||
| Competencies |
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| 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. | |||||||||||||||||||||||
| Learning 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. | |||||||||||||||||||||||
| 401-4920-00L | Market-Consistent Actuarial Valuation Does 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. | |||||||||||||||||||||||
| Learning 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 | |||||||||||||||||||||||
| Learning objective | Introduction to current research topics in "Insurance Mathematics and Stochastic Finance". | |||||||||||||||||||||||
| Content | https://www.math.ethz.ch/imsf/courses/talks-in-imsf.html | |||||||||||||||||||||||