Our colleague Ralf Werner just published on machine learning in the financial world.
We would like to congratulate our colleague Ralf Werner on his scientific contribution regarding the use of machine learning (ML) in the financial sector. Ralf is a Professor of Business Mathematics at the University of Augsburg. At the same time, he supports us at DEVnet as a consultant and as scientific advisor.
Together with LMU mathematician Gero Junike and investment controlling expert Solveig Flaig from Deutsche Rückversicherung AG, he recently published an article in the Journal of Risk and Insurance, a leading academic journal for insurance economics and risk management.
How ML can Help Banks and Insurers.
In the article, the authors address the fact that ML models in the financial industry require new validation methods because they are based on data rather than pure theory. To this end, they introduce procedures to control whether such models accurately capture risks and whether they generate independent scenarios instead of merely copying historical data.
Their new findings can help financial institutions use ML models more securely for internal risk calculations, provide clearer evidence of the quality of data-driven models during audits, and thereby increase the overall stability of the financial industry.
We congratulate Ralf and his colleagues on their contribution. It is once again a testament to their deep expertise, analytical rigor, and continued commitment to advancing the field.
The research paper is available here.
