401-3936-00L  Data Analytics for Non-Life Insurance Pricing

SemesterSpring Semester 2018
LecturersC. M. Buser, M. V. Wüthrich
Periodicityyearly recurring course
Language of instructionEnglish



Catalogue data

AbstractWe 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.
ObjectiveThe student is familiar with classical actuarial pricing methods as well as with modern machine learning methods for insurance pricing and prediction.
ContentWe 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
Lecture notesThe lecture notes are available from:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2870308
Prerequisites / NoticeThis 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.

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersM. V. Wüthrich, C. M. Buser
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationwritten 120 minutes
Written aidsNone / Keine
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
401-3936-00 VData Analytics for Non-Life Insurance Pricing
On 20 February 2018 the course will start in ML D 28.
2 hrs
Tue16-18HG F 5 »
20.02.16-18ML D 28 »
C. M. Buser, M. V. Wüthrich

Groups

No information on groups available.

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Data Science MasterInterdisciplinary ElectivesWInformation
Doctoral Department of MathematicsGraduate SchoolWInformation
Mathematics (General Courses)Actuary SAA Education at ETH ZurichWInformation
Mathematics BachelorSelection: Financial and Insurance MathematicsWInformation
Mathematics MasterSelection: Financial and Insurance MathematicsWInformation
Quantitative Finance MasterMathematical Methods for FinanceWInformation