Michael Merz

University of Hamburg

Allende-Platz 1

Hamburg, 20146

Germany

SCHOLARLY PAPERS

12

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SSRN CITATIONS
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Top 37,228

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8

CROSSREF CITATIONS

13

Scholarly Papers (12)

1.

Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Swiss Finance Institute Research Paper No. 15-34
Number of pages: 322 Posted: 23 Aug 2015
Mario V. Wuthrich and Michael Merz
RiskLab, ETH Zurich and University of Hamburg
Downloads 1,907 (10,875)
Citation 18

Abstract:

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Claims reserving, non-life insurance run-off, chain-ladder method, Bornhuetter-Ferguson method, claims modeling, claims development result, risk margin, run-off uncertainty, conditional mean square error of prediciton

2.

Claims Run-Off Uncertainty: The Full Picture

Swiss Finance Institute Research Paper No. 14-69
Number of pages: 45 Posted: 15 Nov 2014 Last Revised: 03 Jul 2015
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 1,707 (12,952)
Citation 8

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Claims reserving, chain-ladder method, gamma-gamma Bayesian chain-ladder model, conditional mean square error of prediction, claims development result, one-year uncertainty, run-off uncertainty, Mack’s formula, Merz- Wüthrich formula, risk margin, R package ChainLadder

3.

Statistical Foundations of Actuarial Learning and its Applications

Number of pages: 444 Posted: 21 Apr 2021 Last Revised: 03 Nov 2021
Mario V. Wuthrich and Michael Merz
RiskLab, ETH Zurich and University of Hamburg
Downloads 1,612 (14,209)
Citation 2

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Insurance modeling, actuarial modeling, statistical modeling, regression, generalized linear models, neural networks, mixture models, expectation-maximization algorithm, maximum likelihood estimation, regularization, forecast dominance, scoring

4.

Modified Munich Chain-Ladder Method

Swiss Finance Institute Research Paper No. 14-65
Number of pages: 20 Posted: 30 Aug 2014
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 268 (146,353)

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Munich chain-ladder method, claims reserving, prediction uncertainty, mean square error of prediction, multivariate Gaussian model, claims paid and claims incurred

5.

Interpreting Deep Learning Models with Marginal Attribution by Conditioning on Quantiles

Number of pages: 27 Posted: 22 Mar 2021
University of Hamburg, Old Mutual Insure, The Business School (formerly Cass), City, University of London and RiskLab, ETH Zurich
Downloads 230 (170,094)
Citation 1

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explainable AI (XAI), model-agnostic tools, deep learning, attribution, accumulated local e ects (ALE), partial dependence plot (PDP), locally interpretable model-agnostic explanation (LIME), variable importance, post-hoc analysis

6.

Best-Estimate Claims Reserves in Incomplete Markets

Swiss Finance Institute Research Paper No. 14-64
Number of pages: 21 Posted: 17 Aug 2014 Last Revised: 12 Nov 2014
Sebastian Happ, Michael Merz and Mario V. Wuthrich
University of Hamburg, University of Hamburg and RiskLab, ETH Zurich
Downloads 216 (180,499)
Citation 3

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best-estimate reserves, dynamic hedging, sequential local risk minimization, state-price deflator, incomplete market, technical provisions, risk margin

7.

Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result

Number of pages: 22 Posted: 16 May 2012 Last Revised: 26 Nov 2016
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg
Downloads 185 (207,953)

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, claims development result

8.

Deep Learning under Model Uncertainty

Number of pages: 29 Posted: 08 Jul 2021
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Downloads 87 (364,772)

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deep learning, neural network, representation learning, model uncertainty, exponential dispersion family, Tweedie's family, generalized linear model, regression

9.

Predicting the Claims-Development-Result in the Chain-Ladder Method for Correlated Run-Off Portfolios

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), 439-461, DOI: 10.1007/s12297-008-0035-5
Posted: 20 May 2012
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, claims development result

10.

Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), DOI:10.1007/s12297-008-0035-5
Posted: 20 May 2012
Jochen Heberle, Luis Huergo and Michael Merz
University of Hamburg, University of Tuebingen and University of Hamburg

Abstract:

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Chain-Ladder, claims reserving, general insurance, non-life insurance, predictive distribution

11.

Dependence Modeling in Multivariate Claims Run-Off Triangles

Annals of Actuarial Science, Forthcoming
Posted: 22 Dec 2011 Last Revised: 05 Jul 2012
University of Hamburg, RiskLab, ETH Zurich and University of Lausanne, Actuarial Department

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general insurance, non-life insurance, claims reserving, aggregation of run-off portfolios, claims inflation, outstanding loss liabilities

12.

Claims Development Result in the Paid-Incurred Chain Reserving Method

Insurance: Mathematics and Economics, Forthcoming
Posted: 17 Aug 2011 Last Revised: 04 Jul 2012
Sebastian Happ, Michael Merz and Mario V. Wuthrich
University of Hamburg, University of Hamburg and RiskLab, ETH Zurich

Abstract:

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stochastic claims reserving, PIC method, outstanding loss liabilities, claims payments, incurred losses, prediction uncertainty, conditional mean square error, claims development result, solvency