Publications

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty

Jinghui Chen, Edward Furman, Sheldon Lin

A portfolio-anchored frequency–severity behavioral risk index for trip and driver assessment using telematics signals

Jongtaek Lee, Andrei Badescu, Sheldon Lin

An Effective Bayesian GLM Approach for IBNR Claim Count Estimation

Hassan Abdelrahman, Andrei Badescu, Sheldon Lin

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies

Brandon Tam, Mario Ghossoub, Silvana Pesenti

Discrimination-insensitive pricing

Kathleen Miao, Silvana Pesenti

A Unified Bayesian Collective Reserving Framework with Hierarchical Temporal Smoothing

Hassan Abdelrahman, Andrei Badescu, Sheldon Lin

Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays

Hassan Abdelrahman, Andrei Badescu, Radu V. Craiu, Sheldon Lin

Robust elicitable functionals

Kathleen Miao, Silvana Pesenti

Optimizing distortion riskmetrics with distributional uncertainty

Silvana Pesenti, Qiuqi Wang, Ruodu Wang

Uncertainty Propagation and Dynamic Robust Risk Measures

Marlon Moresco, Mélina Mailhot, Silvana Pesenti

Risk Budgeting Allocation for Dynamic Risk Measures

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

Optimal robust reinsurance with multiple insurers

Emma Kroell, Sebastian Jaimungal, Silvana Pesenti

Assessing driving risk through unsupervised detection of anomalies in telematics time series data

Ian Weng (Sophia) Chan, Andrei Badescu, Sheldon Lin

Differential quantile-based sensitivity in discontinuous models

Silvana Pesenti, Pietro Millossovich, Andreas Tsanakas

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

Tsz Chai (Samson) Fung, Spark Tseung

Bounds for Distributionally Robust Optimization Problems

Brandon Tam, Silvana Pesenti

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

Ian Weng (Sophia) Chan, Spark Tseung, Andrei Badescu, Sheldon Lin

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

Sebastian Calcetero, Andrei Badescu, Sheldon Lin

A Population Sampling Framework for Claim Reserving in General Insurance

Sebastian Calcetero, Andrei Badescu, Sheldon Lin

Collective risk models with FGM dependence

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Optimal transport divergences induced by scoring functions

Silvana Pesenti, Steven Vanduffel

Applications of Population Sampling to Insurance Ratemaking and Reserving

Sebastian Calcetero, Sheldon Lin

Effective experience rating for large insurance portfolios via surrogate modeling

Sebastian Calcetero, Andrei Badescu, Sheldon Lin

Robust distortion risk measures

Carole Bernard, Silvana Pesenti, Steven Vanduffel

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

Exchangeable FGM copulas

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Stressing dynamic loss models

Emma Kroell, Silvana Pesenti, Sebastian Jaimungal

Risk budgeting portfolios from simulations

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

Portfolio Optimization within a Wasserstein Ball

Silvana Pesenti, Sebastian Jaimungal

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

Spark Tseung, Ian Weng (Sophia) Chan, Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

Risk aggregation with FGM copulas

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Sensitivity measures based on scoring functions

Tobias Fissler, Silvana Pesenti

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

Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

Risk contributions of lambda quantiles

Akif Ince, Ilaria Peri, Silvana Pesenti

Stochastic representation of FGM copulas using multivariate Bernoulli random variables

Christopher Blier-Wong, Hélène Cossette, Etienne Marceau

Reverse Sensitivity Analysis for Risk Modelling

Silvana Pesenti

Robust Risk-Aware Reinforcement Learning

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

Geographic Ratemaking With Spatial Embeddings

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

Cascade Sensitivity Measures

Silvana Pesenti, Pietro Millossovich, Andreas Tsanakas

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

Silvana Pesenti, Alberto Bettini, Pietro Millossovich, Andreas Tsanakas

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

Spark Tseung, Andrei Badescu, Tsz Chai (Samson) Fung, Sheldon Lin

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

Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

Fitting multivariate Erlang mixtures to data: A roughness penalty approach

Wenyong Gui, Rongtan Huang, Sheldon Lin

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

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

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

Sheldon Lin, Shuai (Alex) Yang

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

Sheldon Lin, Shuai (Alex) Yang

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

Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

Multivariate Cox Hidden Markov models with an application to operational risk

Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

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

Andrei Badescu, Tianle Chen, Sheldon Lin, Dameng Tang

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

Tsz Chai (Samson) Fung, Andrei Badescu, Sheldon Lin

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

Silvana Pesenti, Pietro Millossovich, Andreas Tsanakas

On the consistency of penalized MLEs for Erlang mixtures

Cuihong Yin, Sheldon Lin, Rongtan Huang, Haili Yuan

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

Wenyong Gui, Rongtan Huang, Sheldon Lin

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

Silvana 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, Sheldon Lin, Ken Seng Tan

Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application

Cuihong Yin, Sheldon Lin

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

Andrei Badescu, Sheldon Lin, Dameng Tang

Robustness regions for measures of risk aggregation

Silvana Pesenti, Pietro Millossovich, Andreas Tsanakas

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, Sheldon Lin

Are Flexible Premium Variable Annuities Under-Priced?

Yichun Chi, Sheldon Lin

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

Yichun Chi, Sheldon Lin

PDF DOI URL Author manuscript

An insurance risk model with stochastic volatility

Yichun Chi, Sebastian Jaimungal, Sheldon Lin