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01/30/2023
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
High-cardinality categorical features are pervasive in actuarial data (e...
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06/17/2022
Ensemble distributional forecasting for insurance loss reserving
Loss reserving generally focuses on identifying a single model that can ...
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03/08/2022
Detection and treatment of outliers for multivariate robust loss reserving
Traditional techniques for calculating outstanding claim liabilities suc...
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03/01/2022
On the impact of outliers in loss reserving
The sensitivity of loss reserving techniques to outliers in the data or ...
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09/09/2021
SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator
In this paper, we first introduce a simulator of cases estimates of incu...
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08/18/2021
Stochastic loss reserving with mixture density neural networks
Neural networks offer a versatile, flexible and accurate approach to los...
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08/13/2020
SynthETIC: an individual insurance claim simulator with feature control
A simulator of individual claim experience called SynthETIC is described...
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06/01/2020
On the optimality of joint periodic and extraordinary dividend strategies
In this paper, we model the cash surplus (or equity) of a risky business...
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05/07/2020
On unbalanced data and common shock models in stochastic loss reserving
Introducing common shocks is a popular dependence modelling approach, wi...
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04/23/2020
A multivariate micro-level insurance counts model with a Cox process approach
In this paper, we focus on estimating ultimate claim counts in multiple ...
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04/15/2020
A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
In this paper, we develop a multivariate evolutionary generalised linear...
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03/31/2020
Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
The Markov-modulated Poisson process is utilised for count modelling in ...
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03/03/2020
A counterexample to the central limit theorem for pairwise independent random variables having a common arbitrary margin
The Central Limit Theorem (CLT) is one of the most fundamental results i...
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03/03/2020