Email: sheldon [dot] lin [at] utoronto [dot] ca
Interests
- Actuarial Science
Publications
- Improving risk classification and ratemaking using mixture-of-experts models with random effects
- Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method
- Data Mining of Telematics Data: Unveiling the Hidden Patterns in Driving Behaviour
- A Credibility Index Approach for Effective a Posteriori Ratemaking with Large Insurance Portfolios
- Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- Fitting multivariate Erlang mixtures to data: A roughness penalty approach
- LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach
- A class of mixture of experts models for general insurance: application to correlated claim frequencies
- A class of mixture of experts models for general insurance: Theoretical developments
- A marked Cox model for the number of IBNR claims: estimation and application
- Multivariate Cox Hidden Markov models with an application to operational risk
- On the consistency of penalized MLEs for Erlang mixtures
- Delta Boosting Machine with Application to General Insurance
- Fitting the Erlang mixture model to data via a GEM-CMM algorithm
- Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
- A marked Cox model for the number of IBNR claims: Theory
- Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
- Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
- Optimal reinsurance with limited ceded risk: A stochastic dominance approach
- Are Flexible Premium Variable Annuities Under-Priced?
- On the threshold dividend strategy for a generalized jump–diffusion risk model
- An insurance risk model with stochastic volatility