← All authors Mario V. Wüthrich ETH Zurich (from arXiv:2112.03075, 2021) · ORCID · OpenAlex
112 papers in scope · 111 published · 1 on the econ.EM arXiv · 3,120 citations · h-index 33 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Tsz Chai Fung Ian Weng Chan Spark C. Tseung Andrei L. Badescu X. Sheldon Lin Jingshen Wang Xinwei Ma Sebastian Calcetero-Vanegas Lo-Hua Yuan Waverly Wei Matias D. Cattaneo David Arbour Yingfei Wang Max H. Farrell Michael Jansson Apoorva Lal Victor Chernozhukov Junya Honda Ganesh Karapakula Yusufcan Masatlıoĝlu Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 112)
An observation‐driven state‐space model for claims size modelling
published 2025 · Canadian Journal of Statistics · 1 citations · first circulated 2024
with Jae Youn Ahn, Himchan Jeong
An observation-driven state-space count model for experience rating
published 2025 · Insurance Mathematics and Economics · 1 citations
with Jae Youn Ahn, Himchan Jeong, Lu Yang
Eliciting claims development patterns and costs hidden in backlogs
published 2025 · European Actuarial Journal · 2 citations
with Filip Lindskog
The credibility transformer
published 2025 · European Actuarial Journal · 4 citations · first circulated 2024
with Ronald Richman, Salvatore Scognamiglio
Auto-calibration tests for discrete finite regression functions
published 2025 · European Actuarial Journal · 6 citations · first circulated 2024
Isotonic Regression for Variance Estimation and Its Role in Mean Estimation and Model Validation
published 2024 · North American Actuarial Journal · 7 citations
with Łukasz Delong
What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
published 2024 · Scandinavian Actuarial Journal · 10 citations · first circulated 2023
with Mathias Lindholm, Ronald Richman, Andreas Tsanakas
Smoothness and monotonicity constraints for neural networks using ICEnet
published 2024 · Annals of Actuarial Science · 7 citations · first circulated 2023
with Ronald Richman
High-cardinality categorical covariates in network regressions
published 2024 · Japanese Journal of Statistics and Data Science · 5 citations · first circulated 2023
with Ronald Richman
Accurate and explainable mortality forecasting with the LocalGLMnet
published 2024 · Scandinavian Actuarial Journal · 6 citations · first circulated 2023
with Francesca Perla, Ronald Richman, Salvatore Scognamiglio
A multi-task network approach for calculating discrimination-free insurance prices
published 2023 · European Actuarial Journal · 17 citations · first circulated 2022
with Mathias Lindholm, Ronald Richman, Andreas Tsanakas
Isotonic recalibration under a low signal-to-noise ratio
published 2023 · Scandinavian Actuarial Journal · 29 citations
Deep quantile and deep composite triplet regression
published 2023 · Insurance Mathematics and Economics · 10 citations
Model selection with Gini indices under auto-calibration
published 2023 · European Actuarial Journal · 21 citations · first circulated 2022
LASSO regularization within the LocalGLMnet architecture
published 2022 · Advances in Data Analysis and Classification · 14 citations · first circulated 2021
with Ronald Richman
Ermanno Pitacco (1947–2022)
published 2022 · Astin Bulletin
with Paul Embrechts
On the cost‐of‐capital rate under incomplete market valuation
published 2022 · Journal of Risk & Insurance · 7 citations
with Hansjörg Albrecher, Karl-Theodor Eisele, Mogens Steffensen
published 2022 · North American Actuarial Journal · 4 citations
Interpreting deep learning models with marginal attribution by conditioning on quantiles
published 2022 · Data Mining and Knowledge Discovery · 12 citations · first circulated 2021
What can we learn from telematics car driving data: A survey
published 2022 · Insurance Mathematics and Economics · 31 citations
with Guangyuan Gao, Shengwang Meng
working paper 2021 · arXiv
DISCRIMINATION-FREE INSURANCE PRICING
published 2021 · Astin Bulletin · 59 citations · first circulated 2020
with Mathias Lindholm, Ronald Richman, Andreas Tsanakas
Recent Challenges in Actuarial Science
published 2021 · Annual Review of Statistics and Its Application · 37 citations
with Paul Embrechts
Gamma Mixture Density Networks and their application to modelling insurance claim amounts
published 2021 · Insurance Mathematics and Economics · 19 citations
with Łukasz Delong, Mathias Lindholm
Collective reserving using individual claims data
published 2021 · Scandinavian Actuarial Journal · 25 citations · first circulated 2020
with Łukasz Delong, Mathias Lindholm
Boosting Poisson regression models with telematics car driving data
published 2021 · Machine Learning · 45 citations · first circulated 2020
with Guangyuan Gao, He Wang
Time-series forecasting of mortality rates using deep learning
published 2021 · Scandinavian Actuarial Journal · 84 citations · first circulated 2020
with Francesca Perla, Ronald Richman, Salvatore Scognamiglio
The balance property in neural network modelling
published 2021 · Statistical Theory and Related Fields · 11 citations
Making Tweedie’s compound Poisson model more accessible
published 2021 · European Actuarial Journal · 28 citations · first circulated 2020
with Łukasz Delong, Mathias Lindholm
LocalGLMnet: interpretable deep learning for tabular data
published 2021 · Scandinavian Actuarial Journal · 6 citations
with Ronald Richman
Nagging Predictors
published 2020 · Risks · 71 citations
with Ronald Richman
Neural Networks for the Joint Development of Individual Payments and Claim Incurred
published 2020 · Risks · 11 citations
with Łukasz Delong
Bias regularization in neural network models for general insurance pricing
published 2019 · European Actuarial Journal · 65 citations
Neural network embedding of the over-dispersed Poisson reserving model
published 2019 · Scandinavian Actuarial Journal · 62 citations · first circulated 2018
with Andrea Gabrielli, Ronald Richman
Evaluation of driving risk at different speeds
published 2019 · Insurance Mathematics and Economics · 23 citations
with Guangyuan Gao, Hanfang Yang
On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
published 2019 · Insurance Mathematics and Economics · 34 citations · first circulated 2018
with Peter D. England, Richard Verrall
EDITORIAL: YES, WE CANN!
published 2018 · Astin Bulletin · 42 citations
Neural networks applied to chain–ladder reserving
published 2018 · European Actuarial Journal · 62 citations · first circulated 2017
Feature extraction from telematics car driving heatmaps
published 2018 · European Actuarial Journal · 42 citations · first circulated 2017
with Guangyuan Gao
Claims frequency modeling using telematics car driving data
published 2018 · Scandinavian Actuarial Journal · 76 citations
with Guangyuan Gao, Shengwang Meng
Scale-Free Percolation in Continuum Space
published 2018 · Communications in Mathematics and Statistics · 5 citations
with Philippe Deprez
An Individual Claims History Simulation Machine
published 2018 · Risks · 60 citations
with Andrea Gabrielli
Machine learning in individual claims reserving
published 2018 · Scandinavian Actuarial Journal · 100 citations · first circulated 2016
EDITORIAL
published 2018 · Astin Bulletin
Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks
published 2017 · Risks · 12 citations
with Gareth W. Peters, Rodrigo S. Targino
Consistent recalibration of yield curve models
published 2017 · Mathematical Finance · 16 citations · first circulated 2015
with Philipp Harms, David Stefanovits, Josef Teichmann
Machine learning techniques for mortality modeling
published 2017 · European Actuarial Journal · 72 citations
with Philippe Deprez, Pavel V. Shevchenko
Covariate selection from telematics car driving data
published 2017 · European Actuarial Journal · 58 citations · first circulated 2016
Full Bayesian analysis of claims reserving uncertainty
published 2017 · Insurance Mathematics and Economics · 13 citations · first circulated 2016
with Gareth W. Peters, Rodrigo S. Targino
Macroprudential Insurance Regulation: A Swiss Case Study
published 2016 · Risks · 2 citations
with Philippe Deprez
Capital allocation for portfolios with non-linear risk aggregation
published 2016 · Insurance Mathematics and Economics · 24 citations
with Tim J. Boonen, Andreas Tsanakas
Understanding Reporting Delay in General Insurance
published 2016 · Risks · 32 citations
with Richard Verrall
CONSISTENT YIELD CURVE PREDICTION
published 2016 · Astin Bulletin · 8 citations · first circulated 2012
with Josef Teichmann
Modified Munich Chain-Ladder Method
published 2015 · Risks · 2 citations · first circulated 2014
Case study of Swiss mortality using Bayesian modeling
published 2015 · European Actuarial Journal
with Laurent J. Huber
Parameter reduction in log-normal chain-ladder models
published 2015 · European Actuarial Journal · 4 citations
with Richard Verrall
Best-Estimates in Bond Markets with Reinvestment Risk
published 2015 · Risks
with Anne MacKay
Inhomogeneous Long-Range Percolation for Real-Life Network Modeling
published 2015 · Risks · 37 citations · first circulated 2014
with Philippe Deprez, Rajat Subhra Hazra
Best-estimate claims reserves in incomplete markets
published 2014 · European Actuarial Journal · 11 citations
Model Risk in Portfolio Optimization
published 2014 · Risks · 12 citations
with David Stefanovits, Urs Schubiger
Demand of Insurance under the Cost-of-Capital Premium Calculation Principle
published 2014 · Risks · 7 citations
From ruin theory to solvency in non-life insurance
published 2014 · Scandinavian Actuarial Journal · 15 citations
Hedging of long term zero-coupon bonds in a market model with reinvestment risk
published 2014 · European Actuarial Journal · 5 citations
with David Stefanovits
Claims Run-Off Uncertainty: The Full Picture
published 2014 · Swiss Finance Institute Research Paper Series · 24 citations
Double chain ladder, claims development inflation and zero-claims
published 2013 · Scandinavian Actuarial Journal · 18 citations
with María Dolores Martínez Miranda, Jens Perch Nielsen, Richard Verrall
MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
published 2013 · Astin Bulletin · 17 citations · first circulated 2012
with Andreas Tsanakas, Aleš Černý
Indifference pricing for CRRA utilities
published 2013 · Mathematics and Financial Economics · 10 citations
with Semyon Malamud, Eugene Trubowitz
BERNOULLI'S LAW OF LARGE NUMBERS
published 2013 · Astin Bulletin · 22 citations
with Erwin Bolthausen
Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model
published 2013 · Insurance Mathematics and Economics · 3 citations
PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
published 2013 · Astin Bulletin · 19 citations · first circulated 2011
with Sebastian Happ
Modeling accounting year dependence in runoff triangles
published 2012 · European Actuarial Journal · 18 citations
with Robert Salzmann
A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
published 2012 · North American Actuarial Journal · 9 citations
Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving
published 2012 · North American Actuarial Journal · 20 citations
with Richard Verrall
Claims development result in the paid-incurred chain reserving method
published 2012 · Insurance Mathematics and Economics · 8 citations · first circulated 2011
Risk margin for a non-life insurance run-off
published 2011 · Statistics & Risk Modeling · 12 citations
with Paul Embrechts, Andreas Tsanakas
Full and 1‐year runoff risk in the credibility‐based additive loss reserving method
published 2011 · Applied Stochastic Models in Business and Industry · 7 citations
An academic view on the illiquidity premium and market-consistent valuation in insurance
published 2011 · European Actuarial Journal · 16 citations
Chain ladder method: Bayesian bootstrap versus classical bootstrap
published 2010 · Insurance Mathematics and Economics · 38 citations · first circulated 2009
with Gareth W. Peters, Pavel V. Shevchenko
Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
published 2010 · North American Actuarial Journal · 19 citations
Paid–incurred chain claims reserving method
published 2010 · Insurance Mathematics and Economics · 61 citations
Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family
published 2009 · Astin Bulletin · 9 citations
with Daniel H. Alai
Dynamic operational risk: modeling dependence and combining different sources of information
published 2009 · The Journal of Operational Risk · 8 citations · first circulated 2007
with Gareth W. Peters, Pavel V. Shevchenko, GW Peters
Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
published 2009 · Astin Bulletin · 82 citations
with Gareth W. Peters, Pavel V. Shevchenko
Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
published 2009 · Astin Bulletin · 33 citations
with Hans Bühlmann, Massimo De Felice, Alois Gisler, Franco Moriconi
Law of large numbers and large deviations for dependent risks
published 2009 · Quantitative Finance · 3 citations
with Ramona Maier
Credibility for the Chain Ladder Reserving Method
published 2008 · Astin Bulletin · 51 citations
with Alois Gisler
Market Consistent Pricing of Insurance Products
published 2008 · Astin Bulletin · 46 citations · first circulated 2007
with Semyon Malamud, Eugene Trubowitz
Statistical and Probabilistic Methods in Actuarial Science
published 2008 · The American Statistician · 9 citations
Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
published 2008 · Extremes · 140 citations
with Paul Embrechts, Dominik D. Lambrigger
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness
published 2008 · Insurance Mathematics and Economics · 96 citations
with Paul Embrechts, Johanna Nešlehová
Uncertainty of the claims development result in the chain ladder method
published 2008 · Scandinavian Actuarial Journal · 36 citations
Bounds on the estimation error in the chain ladder method
published 2008 · Scandinavian Actuarial Journal · 16 citations
Prediction Error of the Multivariate Chain Ladder Reserving Method
published 2008 · North American Actuarial Journal · 53 citations
Diversification for general copula dependence
published 2007 · Statistica Neerlandica · 24 citations
with Stan Alink, Matthias Löwe
Valuation portfolio in non-life insurance
published 2007 · Scandinavian Actuarial Journal · 9 citations
Prediction error in the chain ladder method
published 2007 · Insurance Mathematics and Economics · 6 citations
A "toy" model for operational risk quantification using credibility theory
published 2007 · The Journal of Operational Risk · 27 citations
with Hans Bühlmann, Pavel V. Shevchenko
The quantification of operational risk using internal data, relevant external data and expert opinion
published 2007 · The Journal of Operational Risk · 16 citations
with Dominik D. Lambrigger, Pavel V. Shevchenko
The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
published 2006 · Astin Bulletin · 77 citations
The Mean Square Error of Prediction in the Chain Ladder Reserving Method – Final Remark
published 2006 · Astin Bulletin · 4 citations
The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions
published 2006 · The Journal of Operational Risk · 111 citations
with Pavel V. Shevchenko
Limit distributions of upper order statistics for families of multivariate distributions
published 2005 · Extremes · 2 citations
Report on the 36 th Astin Colloquium, September 4–7, 2005, ETH Zürich and the 15 th Afir Colloquium, September 6–9, 2005, ETH Zürich
published 2005 · Astin Bulletin
Analysis of the Expected Shortfall of Aggregate Dependent Risks
published 2005 · Astin Bulletin · 31 citations
with Stan Alink, Matthias Löwe
Diversification of aggregate dependent risks
published 2004 · Insurance Mathematics and Economics · 68 citations
with Stan Alink, Matthias Löwe
Extreme Value Theory and Archimedean Copulas
published 2004 · Scandinavian Actuarial Journal · 8 citations
Bivariate extension of the Pickands?Balkema?de Haan theorem
published 2004 · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 9 citations · first circulated 2003
Claims Reserving Using Tweedie's Compound Poisson Model
published 2003 · Astin Bulletin · 50 citations
Tail Dependence from a Distributional Point of View
published 2003 · Extremes · 95 citations
with Alessandro Juri
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
published 2003 · Astin Bulletin · 42 citations
Copula convergence theorems for tail events
published 2002 · Insurance Mathematics and Economics · 133 citations
with Alessandro Juri
Annealed survival asymptotics for Brownian motion in a scaled Poissonian potential
published 2001 · Stochastic Processes and their Applications · 14 citations · first circulated 2000
with Franz Merkl
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