Publications

Stressing dynamic loss models

Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal

Robust distortion risk measures

Carole Bernard, Silvana M. Pesenti, Steven Vanduffel

Marked Cox Models for IBNR Claims Count: Continuous and Discretized Approaches with Dirichlet-Driven Reporting Delays

Hassan Abdelrahman, Andrei Badescu, Radu Craiu, Sheldon Lin

Exchangeable FGM copulas

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Effective experience rating for large insurance portfolios via surrogate modeling

Sebastian Calcetero Vanegas, Andrei Badescu, X. Sheldon Lin

Data Mining of Telematics Data: Unveiling the Hidden Patterns in Driving Behavior

Ian Weng Chan, Spark C. Tseung, Andrei L. Badescu, X. Sheldon Lin

Collective risk models with FGM dependence

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Claim reserving via inverse probability weighting: a micro-level Chain-Ladder method

Sebastian Calcetero Vanegas, Andrei Badescu, X. Sheldon Lin

Applications of Population Sampling to Insurance Ratemaking and Reserving

Sebastian Calcetero Vanegas, X. Sheldon Lin

A representation-learning approach for insurance pricing with images

Christopher Blier-Wong, Luc Lamontagne, Etienne Marceau

A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions

Christopher Blier-Wong, Hélène Cossette, Sebastien Legros, Etienne Marceau

Uncertainty Propagation and Dynamic Robust Risk Measures

Marlon Moresco, Mélina Mailhot, Silvana Pesenti

Sensitivity measures based on scoring functions

Tobias Fissler, Silvana M. Pesenti

Risk Budgeting Portfolios from Simulations

B. Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino

Risk Budgeting Allocation for Dynamic Risk Measures

Sebastian Jaimungal, Silvana M Pesenti, Yuri F Saporito, Rodrigo S Targino

Risk aggregation with FGM copulas

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Portfolio Optimization within a Wasserstein Ball

Silvana M. Pesenti, Sebastian Jaimungal

Optimal Transport Divergences induced by Scoring Functions

Silvana M Pesenti, Steven Vanduffel

Optimal Robust Reinsurance with Multiple Insurers

Emma Kroell, Sebastian Jaimungal, Silvana M Pesenti

Improving risk classification and ratemaking using mixture-of-experts models with random effects

Spark C. Tseung, Ian Weng Chan, Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

Differential Sensitivity in Discontinuous Models

Silvana M Pesenti, Pietro Millossovich, Andreas Tsanakas

Stochastic representation of FGM copulas using multivariate Bernoulli random variables

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Robust Risk-Aware Reinforcement Learning

Sebastian Jaimungal, Silvana M. Pesenti, Ye Sheng Wang, Hariom Tatsat

Risk contributions of lambda quantiles*

Akif Ince, Ilaria Peri, Silvana Pesenti

Reverse Sensitivity Analysis for Risk Modelling

Silvana M. Pesenti

Mixture of experts models for multilevel data: modelling framework and approximation theory

Tsz Chai Fung, Spark C. Tseung

Geographic Ratemaking With Spatial Embeddings

Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, Etienne Marceau

Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models

Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis

Silvana M. Pesenti, Alberto Bettini, Pietro Millossovich, Andreas Tsanakas

Optimizing Distortion Riskmetrics With Distributional Uncertainty

Silvana M. Pesenti, Qiuqi Wang, Ruodu Wang

Machine Learning in P&C Insurance: A Review for Pricing and Reserving

Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, Etienne Marceau

LRMoE.jl: a software package for insurance loss modelling using mixture of experts regression model

Spark C. Tseung, Andrei L. Badescu, Tsz Chai Fung, X. Sheldon Lin

Fitting multivariate Erlang mixtures to data: A roughness penalty approach

Wenyong Gui, Rongtan Huang, X. Sheldon Lin

Cascade Sensitivity Measures

Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas

A New Class of Severity Regression Models with an Application to IBNR Prediction

Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach

X. Sheldon Lin, Shuai Yang

Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets

X. Sheldon Lin, Shuai Yang

Reverse sensitivity testing: What does it take to break the model?

Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas

On the consistency of penalized MLEs for Erlang mixtures

Cuihong Yin, X. Sheldon Lin, Rongtan Huang, Haili Yuan

Multivariate Cox Hidden Markov models with an application to operational risk

Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

A marked Cox model for the number of IBNR claims: estimation and application

Andrei L. Badescu, Tianle Chen, X. Sheldon Lin, Dameng Tang

A class of mixture of experts models for general insurance: Theoretical developments

Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

A class of mixture of experts models for general insurance: application to correlated claim frequencies

Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin

Fitting the Erlang mixture model to data via a GEM-CMM algorithm

Wenyong Gui, Rongtan Huang, X. Sheldon Lin

Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)

Silvana M. Pesenti, Andreas Tsanakas, Pietro Millossovich

Delta Boosting Machine with Application to General Insurance

Simon C. K. Lee, Sheldon Lin

Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle

Yichun Chi, X. Sheldon Lin, Ken Seng Tan

Robustness regions for measures of risk aggregation

Silvana M. Pesenti, Pietro Millossovich, Andreas Tsanakas

Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application

Cuihong Yin, X. Sheldon Lin

A marked Cox model for the number of IBNR claims: Theory

Andrei L. Badescu, X. Sheldon Lin, Dameng Tang

Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm

Roel Verbelen, Lan Gong, Katrien Antonio, Andrei Badescu, Sheldon Lin

Optimal reinsurance with limited ceded risk: A stochastic dominance approach

Yichun Chi, X. Sheldon Lin

Are Flexible Premium Variable Annuities Under-Priced?

Yichun Chi, X. Sheldon Lin

On the threshold dividend strategy for a generalized jump–diffusion risk model

Yichun Chi, X. Sheldon Lin

An insurance risk model with stochastic volatility

Yichun Chi, Sebastian Jaimungal, X. Sheldon Lin