Publications

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

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

Sensitivity Measures Based on Scoring Functions

Tobias Fissler, Silvana M. Pesenti

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 M. Pesenti

Risk Budgeting Portfolios from Simulations

Bernardo Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo Targino

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

Tsz Chai Fung, Spark C. Tseung

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

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

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

A Credibility Index Approach for Effective a Posteriori Ratemaking with Large Insurance Portfolios

Sebastian Calcetero Vanegas, Andrei 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

Reverse Sensitivity Analysis for Risk Modelling

Silvana M Pesenti

Portfolio Optimisation within a Wasserstein Ball

Silvana M. Pesenti, Sebastian Jaimungal

Optimizing Distortion Riskmetrics With Distributional Uncertainty

Silvana M. Pesenti, Qiuqi Wang, Ruodu Wang

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

Robust Distortion Risk Measures

Carole Bernard, Silvana M. Pesenti, Steven Vanduffel

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