Research Papers of Mario V. Wüthrich

Research Papers and Other Contributions

• Consistent long-term yield curve prediction.
  (with J. Teichmann) arXiv Preprint, 2012.


• Chain ladder method and individual claims development analysis.
  (with M.D. Martinez-Miranda and J.P. Nielsen) pdf-Preprint, 2012.


• Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model.
  pdf-Preprint, 2012.


• Paid-incurred chain reserving method with dependence modeling.
  (with S. Happ) SSRN Preprint, 2011.


• Equilibrium with exponential utility and non-negative consumption.
  (with R. Muraviev) pdf-Preprint, 2012.


• Indifference pricing for power utilities.
  (with S. Malamud and E. Trubowitz) pdf-Preprint, 2011.


• Estimation of tail development factors in the paid-incurred chain reserving method.
  (with M. Merz) pdf-Preprint, 2010.


• Claims development result in the paid-incurred chain reserving method.
  (with S. Happ and M. Merz) SSRN Preprint, 2011. To appear in Insurance: Math. Econom.


• Bayesian prediction of disability insurance frequencies using economic factors.
  (with C. Donnelly) pdf-Preprint, 2012. To appear in Annals of Actuarial Science.


• Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving.
  (with R. Verrall) pdf-Preprint, 2012. To appear in North American Actuarial J.


• Bayesian overdispersed Poisson model and the Bornhuetter-Ferguson claims reserving method.
  (with P. England and R. Verrall) pdf-Preprint, 2011. To appear in Annals of Actuarial Science.


• Higher moments of the claims development result in general insurance.
  (with R. Salzmann and M. Merz) pdf-Preprint, 2010. To appear in ASTIN Bulletin.


• Full and one-year runoff risk in the credibility based additive loss reserving method.
  (with M. Merz) pdf-Preprint, 2010. To appear in Applied Stochastic Models in Business and Industry.


• Prediction of disability frequencies in life insurance.
  (with B. König and F. Weber) pdf-manuscript, 2011. Zavarovalniski horizonti 7 (2011), no. 3, 5--23.


• Risk margin for a non-life insurance run-off.
  (with P. Embrechts and A. Tsanakas) Statistics & Risk Modeling 28 (2011), no. 4, 299--317.


• Development pattern and prediction error for the stochastic Bornhuetter-Ferguson claims reserving model.
  (with A. Saluz and A. Gisler) Astin Bulletin 41 (2011), no. 2, 279--317.


• Das Invaliditätsrisiko in der Kollektivlebensversicherung
  (with B. König and F. Weber). Schweizer Personalvorsorge, 08.11, 32--36.


• An academic view on the illiquidity premium, market-consistent valuation in insurance.
  European Actuarial Journal 1 (2011), no. 1, 93--105.


• A prudential regulatory issue at the heart of Solvency II
  (with J. Danielsson, P. de Jong, C. Laux, R. Laeven and E. Perotti). VoxEU, March 31, 2011.


• Runoff of the claims reserving uncertainty in non-life insurance: a case study.
  Zavarovalniski horizonti 6 (2010), no. 3, 5--18. Journal of the Slovenian Insurance Assocation.


• Prediction uncertainty in the Bornhuetter-Ferguson claims reserving method: revisited.
  (with D. Alai and M. Merz) Annals of Actuarial Science 5 (2010), no. 1, 7--17.


• Cost-of-capital margin for a general insurance liability runoff.
  (with R. Salzmann) Astin Bulletin 40 (2010), no. 2, 415--451.


• Accounting year effects modelling in the stochastic chain ladder reserving method.
  North American Actuarial J. 14 (2010), no. 2, 235--255.


• Operational risk: combining internal data, external data and expert opinion.
  (with P.V. Shevchenko) In "Rethinking Risk Measurement and Reporting: Examples and Applications from Finance", Volume II, K. Böcker (ed.), Risk Books, London, 2010, 401--437.


• Chain ladder method: Bayesian bootstrap versus classical bootstrap.
  (with G. Peters and P. Shevchenko) Insurance: Math. Econom. 47 (2010), no. 1, 36--51.


• Paid-incurred chain claims reserving method.
  (with M. Merz) Insurance: Math. Econom. 46 (2010), no. 3, 568--579.


• Combining chain-ladder and additive loss reserving methods for dependent lines of business.
  (with M. Merz) Variance 3 (2009), no. 2, 270--291.


• Taylor approximations for model uncertainty within the Tweedie exponential dispersion family.
  (with D. Alai) Astin Bulletin 39 (2009), no. 2, 453--478.


• Mean square error of prediction in the Bornhuetter-Ferguson claims reserving method.
  (with D. Alai and M. Merz) Annals of Actuarial Science 4 (2009), no. 1, 7--31.


• Claims development result for combined claims incurred and claims paid data.
  (with R. Dahms and M. Merz) Bulletin Francais d'Actuariat 9 (2009), no. 18, 5--39.


• Prediction error of the multivariate additive loss reserving method of dependent lines of business.
  (with M. Merz) Variance 3 (2009), no. 1, 131--151.


• Dynamic operational risk: modeling dependence and combining different sources of information.
  (with G. Peters and P. Shevchenko) J. Operational Risk 4 (2009), no. 2, 69--104.


• Recursive credibility formula for chain ladder factors and the claims development result.
  (with H. Bühlmann. M. De Felice, A. Gisler, F. Moriconi) Astin Bulletin 39 (2009), no. 1, 275--306.


• Model uncertainty in claims reserving within Tweedie's compound Poisson models.
  (with G.W. Peters and P.V. Shevchenko) Astin Bulletin 39 (2009), no. 1, 1--33.


• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples.
  (with P. Embrechts and D.D. Lambrigger) Extremes 12 (2009), no. 2, 107--127.


• Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness.
  (with P. Embrechts and J. Neslehova) Insurance: Math. Econom. 44 (2009), 164--169.


• Uncertainty in the claims development result in the chain ladder method.
  (with M. Merz and N. Lysenko) Scand. Actuar. J. 109 (2009), no. 1, 63--84.


• Law of large numbers and large deviations for dependent risks.
  (with R. Maier) Quantitative Finance 9 (2009), no. 2, 207--215.


• The one-year runoff uncertainty for discounted claims reserves.
  (with H. Bühlmann) Giornale dell Istituto Italiano degli Attuari, Vol. LXXI (2008), 1--37.


• Bounds on the estimation error in the chain ladder method.
  (with M. Merz and H. Bühlmann) Scand. Actuar. J. 2008, no. 4, 283--300.


• Credibility for the chain ladder reserving method.
  (with A. Gisler) Astin Bulletin 38 (2008), no. 2, 565--600.


• Market consistent pricing of insurance products.
  (with S. Malamud and E. Trubowitz) Astin Bulletin 38 (2008), no. 2, 483--526.


• Data combination under Basel II and Solvency 2: operational risk goes Bayesian.
  (with D.D. Lambrigger and P.V. Shevchenko) Bulletin Francais d'Actuariat 8 (2008), no. 16, 4--13.


• Modelling the claims development result for solvency purposes.
  (with M. Merz) CAS E-Forum, Fall 2008, 542--568.


• Prediction error of the multivariate chain ladder reserving method.
  (with M. Merz) North American Actuarial J. 12 (2008), no. 2, 175--197.


• Prediction error in the chain ladder method.
  Insurance: Math. Econom. 42 (2008), no. 1, 378--388.


• Prediction error of the chain ladder reserving method applied to correlated run off triangles.
  (with M. Merz) Annals of Actuarial Science 2 (2007), no. 1, 25--50.


• Using a Bayesian approach for claims reserving.
  Variance 1 (2007), no. 2, 292--301.


• The quantification of operational risk using internal data, relevant external data and expert opinion.
  (with D.D. Lambrigger and P.V. Shevchenko) J. Operational Risk 2 (2007), no. 3, 3--27.


• Diversification for general copula dependence.
  (with S. Alink and M. Löwe) Statistica Neerlandica 61 (2007), no. 4, 446--465.


• Prediction error of the expected claims development result.
  (with M. Merz) Bulletin Swiss Assoc. Act. 2007, no. 1, 117--137.


• A ''toy'' model for operational risk quantification using credibility theory.
  (with H. Bühlmann and P.V. Shevchenko) J. Operational Risk 2 (2007), no. 1, 3--19.


• Valuation portfolio in Non-Life Insurance.
  (with M. Buchwalder, H. Bühlmann and M. Merz) Scand. Actuar. J. 2007, no. 2, 108--125.


• Mittlerer quadratischer Prognosefehler bei der Prognose des Abwicklungsergebnisses mittels der Chain-Ladder-Methode.
  (with M. Merz). Zeitschrift für die Gesamte Versicherungswirtschaft, Supplement, 2007, 207--238.


• The structural modelling of operational risk via Bayesian inference: Combining loss data with expert opinions.
  (with P.V. Shevchenko) J. Operational Risk 1 (2006), no. 3, 3--26.


• The mean square error of prediction in the chain ladder reserving model (Mack and Murphy revisited).
  (with M. Buchwalder, H. Bühlmann and M. Merz) together with discussions by Mack-Quarg-Braun, Gisler and Venter. Astin Bulletin 36 (2006), no. 2, 521--571.


• Vom Swiss Solvency Test zum Risikomanagement-Tool für Nichtlebensversicherungen.
  In: Swiss Solvency Test, Eine Herausforderung auf vielen Ebenen, 30--34. J. Behrens and B. Locher (eds), Ernst & Young, Zürich, 2006. pfd document


• A credibility approach to the Munich chain-ladder method.
  (with M. Merz) Blätter der DGVFM, Volume XXVII (2006), Heft 4, 619--628.


• A heteropolymer in a medium with random droplets.
  Ann. Appl. Prob. 16 (2006), no. 3, 1653--1670.


• Estimation of unallocated loss adjustment expenses.
  (with M. Buchwalder, H. Bühlmann and M. Merz) Bulletin Swiss Assoc. Act. 2006, no. 1, 43--53.


• Premium liability risks: Modeling small claims.
  Bulletin Swiss Assoc. Act. 2006, no. 1, 27--38.


• Limit distributions of upper order statistics for families of multivariate distributions.
  Extremes 8 (2005), no. 4, 339--344.


• Analysis of the expected shortfall of aggregate dependent risks.
  (with S. Alink and M. Löwe) Astin Bulletin 35 (2005), no. 1, 25--43.


• Diversification of aggregate dependent risks.
  (with S. Alink and M. Löwe) Insurance Math. Econom. 35 (2004), no. 1, 77--95.


• Extreme value theory and Archimedean copulas.
  Scand. Actuar. J. 2004, no. 3, 211--228.


• Bivariate extension of the Pickands-Balkema-de Haan theorem.
  Ann. Inst. H. Poincare Probab. Statist. 40 (2004), no. 1, 33--41.


• Diffusion of a heteropolymer in a multi-interface medium.
  (with F. den Hollander) J. Statist. Phys. 114 (2004), no. 3-4, 849--889.


• Tail dependence from a distributional point of view.
  (with A. Juri) Extremes 6 (2003), no. 3, 213--246.


• Claims reserving using Tweedie's compound Poisson model.
  Astin Bulletin 33 (2003), no. 2, 331--346.


• Asymptotic value-at-risk estimates for sums of dependent random variables.
  Astin Bulletin 33 (2003), no. 1, 75--92.


• Copula convergence theorems for tail events.
  (with A. Juri) Insurance Math. Econom. 30 (2002), no. 3, 405--420.


• Asymptotic behaviour of semi-infinite geodesics for maximal increasing subsequences in the plane.
  In and out of equilibrium (Mambucaba, 2000), 205--226, Progr. Probab., 51, Birkhäuser Boston, Boston, MA, 2002.


• Infinite volume asymptotics of the ground state energy in a scaled Poissonian potential.
  (with F. Merkl) Ann. Inst. H. Poincare Probab. Statist. 38 (2002), no. 3, 253--284.


• Numerical bounds for critical exponents of crossing Brownian motion.
  Proc. Amer. Math. Soc. 130 (2002), no. 1, 217--225.


• Annealed survival asymptotics for Brownian motion in a scaled Poissonian potential.
  (with F. Merkl) Stochastic Process. Appl. 96 (2001), no. 2, 191--211.


• Phase transition of the principal Dirichlet eigenvalue in a scaled Poissonian potential.
  (with F. Merkl) Probab. Theory Related Fields 119 (2001), no. 4, 475--507.


• Geodesics and crossing Brownian motion in a soft Poissonian potential.
  Ann. Inst. H. Poincare Probab. Statist. 35 (1999), no. 4, 509--529.


• Scaling identity for crossing Brownian motion in a Poissonian potential.
  Probab. Theory Related Fields 112 (1998), no. 3, 299--319.


• Superdiffusive behavior of two-dimensional Brownian motion in a Poissonian potential.
  Ann. Probab. 26 (1998), no. 3, 1000--1015.


• Fluctuation results for Brownian motion in a Poissonian potential.
  Ann. Inst. H. Poincare Probab. Statist. 34 (1998), no. 3, 279--308.