Simon Schnürch
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View article: The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19
The impact of mortality shocks on modelling and insurance valuation as exemplified by COVID-19 Open
The COVID-19 pandemic interrupts the relatively steady trend of improving longevity observed in many countries over the last decades. We claim that this needs to be addressed explicitly in many mortality modelling applications, for example…
POINT AND INTERVAL FORECASTS OF DEATH RATES USING NEURAL NETWORKS Open
The Lee–Carter model has become a benchmark in stochastic mortality modeling. However, its forecasting performance can be significantly improved upon by modern machine learning techniques. We propose a convolutional neural network (NN) arc…
View article: Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model
Clustering-Based Extensions of the Common Age Effect Multi-Population Mortality Model Open
We introduce four variants of the common age effect model proposed by Kleinow, which describes the mortality rates of multiple populations. Our model extensions are based on the assumption of multiple common age effects, each of which is s…
Electricity Price Forecasting with Neural Networks on EPEX Order Books Open
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed a…
Machine Learning on EPEX Order Books: Insights and Forecasts Open
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed a…