X. Sheldon Lin | UofT ActSci

Latest

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
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
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