Faculty of Actuarial Science & Insurance Seminar with Christian Furrer (University of Copenhagen)

Abstract
In multi-state Markov models and subject to for instance right-censoring, the Aalen–Johansen estimator allows for non-parametric estimation of transition probabilities. This remains the case in non-Markov models if so-called landmarking, which is a subsampling technique, is employed. Given that the Markov assumption rarely is satisfied in practice, the landmark Aalen–Johansen estimator is a nice addition to the actuarial toolbox. In this talk, I introduce the estimator and discuss three recent theoretical contributions in the non-Markov regime that increase and improve its applicability in life insurance. The first contribution concerns the inclusion of non-categorical covariates through kernel-based methods (joint work with Martin Bladt, University of Copenhagen). The second contribution is a weighted version of the estimator (joint work with Theis Bathke from the Carl von Ossietzky University of Oldenburg); certain weights need to be considered to allow for incidental policyholder behavior. Finally, the third contribution relates to risk management and is the validation of the bootstrap in the non-Markov regime (joint work with Martin Bladt, University of Copenhagen).

Biography:
Christian Furrer holds a PhD in actuarial mathematics from the University of Copenhagen (2020). He is a Qualifying Actuary and past chairperson of the Education Committee of the Danish Society of Actuaries (2021 - 2024). Since 2024, he has been an associate professor of actuarial mathematics at the Department of Mathematical Sciences, University of Copenhagen. Furrer contributes to the development of mathematical and statistical methods for risks, his main area of expertise being multi-state modeling. He publishes in leading international journals, including Finance and Stochastics, the Scandinavian Actuarial Journal, and Insurance: Mathematics and Economics. His research and teaching empowers actuaries in measuring, modeling, monitoring, mitigating, and managing actuarial and financial risks. He aims at building bridges between academia and practice, an effort for which he has been awarded the 2019 Gauss Prize.


 

Faculty Events | Website | View More Events

Contact the organizers