Seminars and events

Faculty of Actuarial Science and Insurance Research Seminars

Academic Year 2021/2022.

If you wish to attend a seminar, please book, using the link below the Seminar.

The FASI seminars are recognised by the Institute and Faculty of Actuaries as providing 1 hour of continuous professional development (CPD) training.

If you would like to be added to the seminar electronic mailing list, please send an e-mail stating so, containing your name to Faculty.Administration@city.ac.uk.

23rd March 2022 - Dr Mario Wuthrich

"Deep Composite Regression"
Abstract:

A main difficulty in actuarial claim size modeling is that there often is no simple off-the-shelf distribution that simultaneously provides a good distributional model for the main body and the tail of the data. In particular, covariates may have different effects for small and for large claim sizes. ToMario Wuthrich cope with this problem, we discuss a deep composite regression model whose splicing point is given in terms of a quantile of the conditional claim size distribution rather than a constant. To facilitate M-estimation in such models, we consider and characterize the class of strictly consistent scoring functions for the triplet consisting of the

quantile, as well as the lower and upper expected shortfall beyond that quantile. In a second step, this elicitability result is applied to fit deep neural network regression models.

Biography

Mario Wüthrich is Professor in the Department of Mathematics at ETH Zurich and Honorary Visiting Professor at Bayes Business School (2011-2022). He holds a Ph.D. in Mathematics from ETH Zurich (1999). From 2000 to 2005, he held an actuarial position at Winterthur Insurance, Switzerland. He is Actuary SAA (2004), served on the board of the Swiss Association of Actuaries (2006-2018), and is Editor-in-Chief of ASTIN Bulletin (since 2018).

To attend in person, you can register here.

Via Zoom
https://city-ac-uk.zoom.us/j/82608555186

Meeting ID: 826 0855 5186
Passcode: 893905

Seminars take place on Wednesdays 16:00 to 17:00.  The Seminars are open to everyone.

Please contact: faculty.administration@city.ac.uk for further information.

Publications