UofT ActSci
UofT ActSci
Home
People
Publications
Software
Event
Light
Dark
Automatic
Publications
Type
Journal article
Date
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2012
2011
2010
Data Mining of Telematics Data: Unveiling the Hidden Patterns in Driving Behaviour
Ian Weng Chan
,
Spark C. Tseung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
Sensitivity Measures Based on Scoring Functions
Tobias Fissler
,
Silvana M. Pesenti
Cite
URL
Robust Risk-Aware Reinforcement Learning
Sebastian Jaimungal
,
Silvana M. Pesenti
,
Ye Sheng Wang
,
Hariom Tatsat
Cite
DOI
Risk Contributions of Lambda Quantiles
Akif Ince
,
Ilaria Peri
,
Silvana M. Pesenti
Cite
URL
Risk Budgeting Portfolios from Simulations
Bernardo Freitas Paulo da Costa
,
Silvana M. Pesenti
,
Rodrigo Targino
Cite
URL
Mixture of experts models for multilevel data: modelling framework and approximation theory
Tsz Chai Fung
,
Spark C. Tseung
PDF
Cite
DOI
URL
Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
A Posteriori Risk Classification and Ratemaking with Random Effects in the Mixture-of-Experts Model
Spark C. Tseung
,
Ian Weng Chan
,
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
URL
A Credibility Index Approach for Effective a Posteriori Ratemaking with Large Insurance Portfolios
Sebastian Calcetero Vanegas
,
Andrei Badescu
,
X. Sheldon Lin
PDF
Cite
URL
Scenario Weights for Importance Measurement (SWIM) – an R package for sensitivity analysis
Silvana M. Pesenti
,
Alberto Bettini
,
Pietro Millossovich
,
Andreas Tsanakas
Cite
DOI
Reverse Sensitivity Analysis for Risk Modelling
Silvana M Pesenti
Cite
URL
Portfolio Optimisation within a Wasserstein Ball
Silvana M. Pesenti
,
Sebastian Jaimungal
Cite
URL
Optimizing Distortion Riskmetrics With Distributional Uncertainty
Silvana M. Pesenti
,
Qiuqi Wang
,
Ruodu Wang
Cite
URL
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
PDF
Cite
DOI
Fitting multivariate Erlang mixtures to data: A roughness penalty approach
Wenyong Gui
,
Rongtan Huang
,
X. Sheldon Lin
PDF
Cite
DOI
Cascade Sensitivity Measures
Silvana M. Pesenti
,
Pietro Millossovich
,
Andreas Tsanakas
Cite
DOI
A New Class of Severity Regression Models with an Application to IBNR Prediction
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
Robust Distortion Risk Measures
Carole Bernard
,
Silvana M. Pesenti
,
Steven Vanduffel
Cite
URL
Fast and efficient nested simulation for large variable annuity portfolios: A surrogate modeling approach
X. Sheldon Lin
,
Shuai Yang
PDF
Cite
DOI
Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
X. Sheldon Lin
,
Shuai Yang
PDF
Cite
DOI
Reverse sensitivity testing: What does it take to break the model?
Silvana M. Pesenti
,
Pietro Millossovich
,
Andreas Tsanakas
Cite
DOI
On the consistency of penalized MLEs for Erlang mixtures
Cuihong Yin
,
X. Sheldon Lin
,
Rongtan Huang
,
Haili Yuan
PDF
Cite
DOI
Multivariate Cox Hidden Markov models with an application to operational risk
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
A marked Cox model for the number of IBNR claims: estimation and application
Andrei L. Badescu
,
Tianle Chen
,
X. Sheldon Lin
,
Dameng Tang
PDF
Cite
DOI
A class of mixture of experts models for general insurance: Theoretical developments
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
A class of mixture of experts models for general insurance: application to correlated claim frequencies
Tsz Chai Fung
,
Andrei L. Badescu
,
X. Sheldon Lin
PDF
Cite
DOI
Fitting the Erlang mixture model to data via a GEM-CMM algorithm
Wenyong Gui
,
Rongtan Huang
,
X. Sheldon Lin
PDF
Cite
DOI
Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018)
Silvana M. Pesenti
,
Andreas Tsanakas
,
Pietro Millossovich
Cite
DOI
Delta Boosting Machine with Application to General Insurance
Simon C. K. Lee
,
Sheldon Lin
PDF
Cite
DOI
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
Cite
DOI
Robustness regions for measures of risk aggregation
Silvana M. Pesenti
,
Pietro Millossovich
,
Andreas Tsanakas
Cite
DOI
Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
Cuihong Yin
,
X. Sheldon Lin
PDF
Cite
DOI
A marked Cox model for the number of IBNR claims: Theory
Andrei L. Badescu
,
X. Sheldon Lin
,
Dameng Tang
PDF
Cite
DOI
Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
Roel Verbelen
,
Lan Gong
,
Katrien Antonio
,
Andrei Badescu
,
Sheldon Lin
PDF
Cite
DOI
Optimal reinsurance with limited ceded risk: A stochastic dominance approach
Yichun Chi
,
X. Sheldon Lin
Cite
DOI
Are Flexible Premium Variable Annuities Under-Priced?
Yichun Chi
,
X. Sheldon Lin
Cite
DOI
On the threshold dividend strategy for a generalized jump–diffusion risk model
Yichun Chi
,
X. Sheldon Lin
Cite
DOI
An insurance risk model with stochastic volatility
Yichun Chi
,
Sebastian Jaimungal
,
X. Sheldon Lin
Cite
DOI
Cite
×