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
E-mailmario.wuethrich@math.ethz.ch
URLhttp://www.math.ethz.ch/~wmario
DepartmentMathematics
RelationshipAdjunct Professor

NumberTitleECTSHoursLecturers
401-3936-DRLData Analytics for Non-Life Insurance Pricing Restricted registration - show details
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 (info@zgsm.ch) with the course number. The email should have the subject „Graduate course registration (ETH)“.
1 credit2VM. V. Wüthrich, C. M. Buser
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 and gradient boosting machines.
Learning 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)
- neural networks
- credibility theory
- classification and regression trees (CARTs)
- bagging, random forests and boosting
Lecture notesThe lecture notes are available from:
M.V. Wüthrich, C. Buser. Data Analytics for Non-Life Insurance Pricing
http://ssrn.com/abstract=2870308
LiteratureM.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications
http://ssrn.com/abstract=3822407
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.
401-3936-00LData Analytics for Non-Life Insurance Pricing4 credits2VM. V. Wüthrich, C. M. Buser
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 and gradient boosting machines.
Learning 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)
- neural networks
- credibility theory
- classification and regression trees (CARTs)
- bagging, random forests and boosting
Lecture notesThe lecture notes are available from:
M.V. Wüthrich, C. Buser. Data Analytics for Non-Life Insurance Pricing
http://ssrn.com/abstract=2870308
LiteratureM.V. Wüthrich, M. Merz. Statistical Foundations of Actuarial Learning and its Applications
http://ssrn.com/abstract=3822407
Prerequisites / NoticeThe 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.
401-3956-00LEconomic Theory of Financial Markets4 credits2VM. V. Wüthrich
AbstractThis 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 objectiveThis 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.
ContentWe 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 / NoticeThe 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-DRLMarket-Consistent Actuarial Valuation Restricted registration - show details
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 (info@zgsm.ch) with the course number. The email should have the subject „Graduate course registration (ETH)“.
1 credit2VM. V. Wüthrich
AbstractIntroduction 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 objectiveGoal 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.
ContentIn 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)
LiteratureMarket-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 / NoticeThe 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.
401-4920-00LMarket-Consistent Actuarial Valuation
Does not take place this semester.
4 credits2VM. V. Wüthrich
AbstractIntroduction 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 objectiveGoal 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.
ContentIn 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)
LiteratureMarket-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 / NoticeThe 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.
401-5910-00LTalks in Financial and Insurance Mathematics Information 0 credits1KB. Acciaio, P. Cheridito, D. Possamaï, M. Schweizer, J. Teichmann, M. V. Wüthrich
AbstractResearch colloquium
Learning objectiveIntroduction to current research topics in "Insurance Mathematics and Stochastic Finance".
Contenthttps://www.math.ethz.ch/imsf/courses/talks-in-imsf.html