Machine Learning algorithms, such as the artificial neural networks, are acknowledged to outperform several econometric procedures in predictions. Machine learning becomes popular for doing operations that practically require more efficiency and accuracy, derived basically from the algorithm's...

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem. Despite its exceptional popularity, MPT poses a number of well-documented problems in practical applications. Especially the fact that it generates notoriously extreme and...

We examine the impact of Articial Intelligence (AI) on productivity in the context of taxi drivers. The AI we study assists drivers with finding customers by suggesting routes along which the demand is predicted to be high. We find that AI improves drivers' productivity by shortening the...

Central bank intervention in the form of quantitative easing (QE) during times of low interest rates is a controversial topic. This paper introduces a novel approach to study the effectiveness of such unconventional measures. Using U.S. data on six key financial and macroeconomic variables...

This paper contributes a multivariate forecasting comparison between structural models and Machine-Learning-based tools. Specifically, a fully connected feed forward nonlinear autoregressive neural network (ANN) is contrasted to a well established dynamic stochastic general equilibrium (DSGE)...

Machine learning is increasingly applied to time series data, as it constitutes an attractive alternative to forecasts based on traditional time series models. For independent and identically distributed observations, cross-validation is the prevalent scheme for estimating out-of-sample...

These notes aim at giving a broad skill set to the actuarial profession in insurance pricing and data science. We start from the classical world of generalized linear models, generalized additive models and credibility theory. These methods form the basis of the deeper statistical understanding....