Draft:Mario Wütrich
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Mario V. Wüthrich | |
|---|---|
| Born | 1969 (age 56–57) |
| Alma mater | ETH Zurich |
| Known for | Stochastic claims reserving; actuarial applications of machine learning |
| Scientific career | |
| Fields | Actuarial science, probability theory, statistics, machine learning |
| Workplaces | ETH Zurich Winterthur Insurance |
| Thesis | Crossing Brownian motion in a soft Poissonian potential (1999) |
| Alain-Sol Sznitman | |
Mario Valentin Wüthrich (born 1969) is a Swiss actuary and mathematician. He is a professor of actuarial science in the Department of Mathematics at ETH Zurich and Director of Actuarial Studies at RiskLab Switzerland.[1][2] He has been Editor-in-Chief of the ASTIN Bulletin, the journal of the International Actuarial Association, since 2018.[3]
His research includes stochastic claims reserving, actuarial valuation and solvency, insurance statistics and applications of machine learning to actuarial problems. His more recent work has included neural-network methods for insurance pricing and reserving, interpretable machine learning and statistical approaches to discrimination in insurance pricing.
Education and early research
[edit]Wüthrich studied mathematics at ETH Zurich and obtained his doctorate there in 1999. His dissertation, Crossing Brownian motion in a soft Poissonian potential, was supervised by Alain-Sol Sznitman, with Erwin Bolthausen serving as co-examiner.[4]
His early research was in probability theory, particularly the study of Brownian motion in random environments. In the late 1990s he published a series of papers on Brownian motion in Poissonian potentials, including work on fluctuations, scaling relations, superdiffusive behaviour and geodesics.[5][6][7]
He subsequently carried out postdoctoral research in statistical physics at the University of Nijmegen, now Radboud University Nijmegen, in the Netherlands.[8]
Career
[edit]From 2000 to 2005 Wüthrich worked as an actuary at Winterthur Insurance in Switzerland. His work included non-life claims reserving and participation in the development and implementation of the Swiss Solvency Test.[8] He qualified as an Actuary SAA of the Swiss Association of Actuaries in 2004.[1]
He returned to ETH Zurich in 2005, where he worked in actuarial and financial mathematics and later became Director of Actuarial Studies at RiskLab Switzerland.[1][2]
Wüthrich served on the board of the Swiss Association of Actuaries from 2006 to 2018.[1] He also served as an editor of the ASTIN Bulletin before becoming its Editor-in-Chief in 2018.[3][9]
He has held visiting or honorary academic appointments at City, University of London, University College London and the University of Bologna.[10]
Since 2025 he has also served as Senior Scientific Advisor to insureAI.[1]
Research
[edit]Claims reserving
[edit]A major part of Wüthrich's actuarial research concerns stochastic methods for estimating outstanding insurance liabilities. With Michael Merz he wrote Stochastic Claims Reserving Methods in Insurance, published by Wiley in 2008.[11]
The book develops stochastic formulations of traditional reserving techniques and methods for quantifying uncertainty in estimates of outstanding claims.[11]
With Merz, Wüthrich studied the claims development result (CDR), which measures changes in an insurer's estimate of ultimate claims over a single accounting year. In a 2008 paper they derived expressions for the mean square error of prediction of the one-year claims development result in the distribution-free chain-ladder model.[12]
The one-year perspective is used in solvency calculations in which reserve uncertainty is assessed over a shorter horizon than the full run-off of insurance liabilities.[12]
Wüthrich has also published on the Bornhuetter–Ferguson method, multivariate claims run-off triangles and dependence between insurance portfolios.[13][14]
Actuarial valuation and solvency
[edit]Another area of Wüthrich's work is the valuation of insurance liabilities and the relationship between actuarial valuation and financial-market methods.
With Hans Bühlmann and Hansjörg Furrer he wrote Market-Consistent Actuarial Valuation, first published in 2008.[15]
Wüthrich later prepared a third edition of the book, published in 2016.[16]
With Merz he wrote Financial Modeling, Actuarial Valuation and Solvency in Insurance (2013), which applies methods from actuarial and financial mathematics to insurance valuation and solvency.[17]
Machine learning and actuarial data science
[edit]Wüthrich has published on the application of machine-learning methods to actuarial problems, including claims reserving, mortality modelling and insurance pricing.
In Machine learning in individual claims reserving (2018), he studied reserving models based on information at the level of individual insurance claims.[18]
His paper Neural networks applied to chain-ladder reserving applied neural-network methods to claims reserving.[19]
With Ronald Richman he developed neural-network extensions of actuarial models. Their work includes an extension of the Lee–Carter model for mortality forecasting across multiple populations.[20]
Richman and Wüthrich also introduced LocalGLMnet, a neural-network architecture for tabular data with a structure related to generalized linear models and feature-dependent regression coefficients.[21]
In 2023 Wüthrich and Merz published the open-access textbook Statistical Foundations of Actuarial Learning and its Applications. It covers statistical learning methods for insurance, including generalized linear models, regularization, neural networks, forecast evaluation and model interpretation.[10]
With Ronald Richman and Salvatore Scognamiglio, Wüthrich developed the credibility transformer, which combines transformer models for tabular data with ideas from actuarial credibility theory.[22]
Fairness in insurance pricing
[edit]Wüthrich has also worked on statistical approaches to discrimination in insurance pricing.
With Mathias Lindholm, Ronald Richman and Andreas Tsanakas, he developed a framework for discrimination-free insurance pricing. The work distinguishes direct use of protected characteristics from indirect discrimination that may arise through other variables correlated with protected characteristics.[23]
The same authors later proposed a multi-task neural-network approach for calculating discrimination-free insurance prices.[24]
Awards and recognition
[edit]In 2010 Wüthrich received a Best Paper Award from the North American Actuarial Journal for work on accounting-year effects in stochastic chain-ladder reserving.[1]
In 2017, Wüthrich and Josef Teichmann received the Bob Alting von Geusau Prize of the AFIR-ERM Section of the International Actuarial Association for Consistent yield curve prediction.[25]
His paper Neural networks applied to chain-ladder reserving received a Best Paper Award at the 2018 International Congress of Actuaries.[1]
With Ronald Richman, Wüthrich received the Geoffrey Heywood Prize of the Institute and Faculty of Actuaries in 2020 for their work on neural-network mortality modelling and the Brian Hey Prize in 2021 for LocalGLMnet.[1]
In 2021, Wüthrich, Łukasz Delong and Mathias Lindholm received the Gauss Prize of the German Society of Insurance and Financial Mathematics and the German Actuarial Association for work on Tweedie's compound-Poisson model.[1]
In 2025, The credibility transformer, co-authored with Richman and Scognamiglio, received the Joint Colloquium Best Paper Award of the International Actuarial Association.[1]
Selected works
[edit]Books
[edit]- Wüthrich, Mario Valentin; Bühlmann, Hans; Furrer, Hansjörg (2008). Market-Consistent Actuarial Valuation. EAA Series. Springer. doi:10.1007/978-3-540-73643-1. ISBN 978-3-540-73642-4.
- Wüthrich, Mario V.; Merz, Michael (2008). Stochastic Claims Reserving Methods in Insurance. Wiley Finance. John Wiley & Sons. doi:10.1002/9781119206262. ISBN 978-0-470-72346-3.
- Wüthrich, Mario V.; Merz, Michael (2013). Financial Modeling, Actuarial Valuation and Solvency in Insurance. Springer Finance. Springer. doi:10.1007/978-3-642-31392-9. ISBN 978-3-642-31391-2.
- Merz, Michael; Wüthrich, Mario V. (2013). Mathematik für Wirtschaftswissenschaftler (in German). Vahlen. ISBN 978-3-8006-4482-7.
- Wüthrich, Mario V. (2016). Market-Consistent Actuarial Valuation. EAA Series (3rd ed.). Springer. doi:10.1007/978-3-319-46636-1. ISBN 978-3-319-46635-4.
- Wüthrich, Mario V.; Merz, Michael (2023). Statistical Foundations of Actuarial Learning and its Applications. Springer Actuarial. Springer. doi:10.1007/978-3-031-12409-9. ISBN 978-3-031-12409-9.
Selected articles
[edit]- Wüthrich, Mario V. (1998). "Scaling identity for crossing Brownian motion in a Poissonian potential". Probability Theory and Related Fields. 112 (3): 299–319. doi:10.1007/s004400050192.
- Merz, Michael; Wüthrich, Mario V. (2008). "Modelling the claims development result for solvency purposes". Casualty Actuarial Society E-Forum (Fall): 542–568.
- Wüthrich, Mario V. (2018). "Machine learning in individual claims reserving". Scandinavian Actuarial Journal. 2018 (6): 465–480. doi:10.1080/03461238.2018.1428681.
- Wüthrich, Mario V. (2018). "Neural networks applied to chain–ladder reserving". European Actuarial Journal. 8 (2): 407–436. doi:10.1007/s13385-018-0184-4.
- Richman, Ronald; Wüthrich, Mario V. (2021). "A neural network extension of the Lee–Carter model to multiple populations". Annals of Actuarial Science. 15 (2): 346–366. doi:10.1017/S1748499519000071.
- Lindholm, Mathias; Richman, Ronald; Tsanakas, Andreas; Wüthrich, Mario V. (2022). "Discrimination-free insurance pricing". ASTIN Bulletin. 52 (1): 55–89. doi:10.1017/asb.2021.23.
- Richman, Ronald; Wüthrich, Mario V. (2023). "LocalGLMnet: interpretable deep learning for tabular data". Scandinavian Actuarial Journal. 2023 (1): 71–95. doi:10.1080/03461238.2022.2081816.
- Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. (2025). "The credibility transformer". European Actuarial Journal. 15: 345–379. doi:10.1007/s13385-025-00413-y.
References
[edit]- 1 2 3 4 5 6 7 8 9 10 "About". Mario Wüthrich, RiskLab, ETH Zurich. Retrieved 26 September 2026.
- 1 2 "Members of RiskLab". RiskLab Switzerland, ETH Zurich. Retrieved 26 September 2026.
- 1 2 "ASTIN Bulletin". International Actuarial Association. Retrieved 26 September 2026.
- ↑ Wüthrich, Mario V. (1999). Crossing Brownian motion in a soft Poissonian potential (Doctoral dissertation). ETH Zurich. doi:10.3929/ethz-a-002049781.
- ↑ Wüthrich, Mario V. (1998). "Scaling identity for crossing Brownian motion in a Poissonian potential". Probability Theory and Related Fields. 112 (3): 299–319. doi:10.1007/s004400050192.
- ↑ Wüthrich, Mario V. (1998). "Superdiffusive behavior of two-dimensional Brownian motion in a Poissonian potential". The Annals of Probability. 26 (3): 1000–1015.
- ↑ Wüthrich, Mario V. (1999). "Geodesics and crossing Brownian motion in a soft Poissonian potential". Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 35 (4): 509–529.
- 1 2 "Stochastic Claims Reserving Methods in Insurance". John Wiley & Sons. Retrieved 26 September 2026.
- ↑ Wüthrich, Mario V. (2018). "Editorial". ASTIN Bulletin. 48 (1): 1–2. doi:10.1017/asb.2017.43.
- 1 2 Wüthrich, Mario V.; Merz, Michael (2023). Statistical Foundations of Actuarial Learning and its Applications. Springer Actuarial. Cham: Springer. doi:10.1007/978-3-031-12409-9. ISBN 978-3-031-12409-9.
- 1 2 Wüthrich, Mario V.; Merz, Michael (2008). Stochastic Claims Reserving Methods in Insurance. Wiley Finance. Chichester: John Wiley & Sons. doi:10.1002/9781119206262. ISBN 978-0-470-72346-3.
- 1 2 Merz, Michael; Wüthrich, Mario V. (2008). "Modelling the claims development result for solvency purposes". Casualty Actuarial Society E-Forum (Fall): 542–568.
- ↑ Alai, Daniel H.; Merz, Michael; Wüthrich, Mario V. (2011). "Mean square error of prediction in the Bornhuetter–Ferguson claims reserving method". Annals of Actuarial Science. 5 (1): 7–31. doi:10.1017/S1748499510000026.
- ↑ Merz, Michael; Wüthrich, Mario V.; Hashorva, Enkelejd (2013). "Dependence modelling in multivariate claims run-off triangles". Annals of Actuarial Science. 7 (1): 3–25. doi:10.1017/S1748499512000127.
- ↑ Wüthrich, Mario Valentin; Bühlmann, Hans; Furrer, Hansjörg (2008). Market-Consistent Actuarial Valuation. EAA Series. Springer. doi:10.1007/978-3-540-73643-1. ISBN 978-3-540-73642-4.
- ↑ Wüthrich, Mario V. (2016). Market-Consistent Actuarial Valuation. EAA Series (3rd ed.). Springer. doi:10.1007/978-3-319-46636-1. ISBN 978-3-319-46635-4.
- ↑ Wüthrich, Mario V.; Merz, Michael (2013). Financial Modeling, Actuarial Valuation and Solvency in Insurance. Springer Finance. Springer. doi:10.1007/978-3-642-31392-9. ISBN 978-3-642-31391-2.
- ↑ Wüthrich, Mario V. (2018). "Machine learning in individual claims reserving". Scandinavian Actuarial Journal. 2018 (6): 465–480. doi:10.1080/03461238.2018.1428681.
- ↑ Wüthrich, Mario V. (2018). "Neural networks applied to chain–ladder reserving". European Actuarial Journal. 8 (2): 407–436. doi:10.1007/s13385-018-0184-4.
- ↑ Richman, Ronald; Wüthrich, Mario V. (2021). "A neural network extension of the Lee–Carter model to multiple populations". Annals of Actuarial Science. 15 (2): 346–366. doi:10.1017/S1748499519000071.
- ↑ Richman, Ronald; Wüthrich, Mario V. (2023). "LocalGLMnet: interpretable deep learning for tabular data". Scandinavian Actuarial Journal. 2023 (1): 71–95. doi:10.1080/03461238.2022.2081816.
- ↑ Richman, Ronald; Scognamiglio, Salvatore; Wüthrich, Mario V. (2025). "The credibility transformer". European Actuarial Journal. 15: 345–379. doi:10.1007/s13385-025-00413-y.
- ↑ Lindholm, Mathias; Richman, Ronald; Tsanakas, Andreas; Wüthrich, Mario V. (2022). "Discrimination-free insurance pricing". ASTIN Bulletin. 52 (1): 55–89. doi:10.1017/asb.2021.23.
- ↑ Lindholm, Mathias; Richman, Ronald; Tsanakas, Andreas; Wüthrich, Mario V. (2024). "A multi-task network approach for calculating discrimination-free insurance prices". European Actuarial Journal. 14: 329–369. doi:10.1007/s13385-023-00367-z.
- ↑ "Josef Teichmann and Mario Wüthrich: Bob Alting von Geusau Prize". ETH Zurich. 5 October 2017. Retrieved 26 September 2026.
External links
[edit]Category:1969 births Category:Living people Category:Swiss actuaries Category:Swiss mathematicians Category:Probability theorists Category:ETH Zurich alumni Category:Academic staff of ETH Zurich Category:Academic journal editors
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