4 citations · 13 across the 14 of their papers we have counts for
17 papers
Structured dispersion modelling for mortality data using a Conway--Maxwell--Poisson specification
Jackie Siaw Tze Wong, Emiliano A. Valdez
Mortality models that attempt to capture dispersion typically assume a fixed dispersion structure, an assumption that is rarely satisfied in practice and that can lead to miscalibr…
Bayesian mortality forecasting with a Conway--Maxwell--Poisson specification
Jackie Siaw Tze Wong, Emiliano A. Valdez
This paper presents a novel approach to stochastic mortality modelling by using the Conway--Maxwell--Poisson (CMP) distribution to model death counts. Unlike standard Poisson or ne…
Axiomatic characterizations of some simple risk-sharing rules
Jan Dhaene, Rodrigue Kazzi, Emiliano A. Valdez
In this paper, we present axiomatic characterizations of some simple risk-sharing (RS) rules, such as the uniform, the mean-proportional and the covariance-based linear RS rules. T…
Zero-Inflated Tweedie Boosted Trees with CatBoost for Insurance Loss Analytics
Banghee So, Emiliano A. Valdez
In this paper, we explore advanced modifications to the Tweedie regression model in order to address its limitations in modeling aggregate claims for various types of insurance suc…
Improving Business Insurance Loss Models by Leveraging InsurTech Innovation
Zhiyu Quan, Changyue Hu, Panyi Dong +1
Recent transformative and disruptive advancements in the insurance industry have embraced various InsurTech innovations. In particular, with the rapid progress in data science and…
The SAMME.C2 algorithm for severely imbalanced multi-class classification
Banghee So, Emiliano A. Valdez
Classification predictive modeling involves the accurate assignment of observations in a dataset to target classes or categories. There is an increasing growth of real-world classi…
Compositional Data Regression in Insurance with Exponential Family PCA
Guojun Gan, Emiliano A. Valdez
Compositional data are multivariate observations that carry only relative information between components. Applying standard multivariate statistical methodology directly to analyze…
Synthetic Dataset Generation of Driver Telematics
Banghee So, Jean-Philippe Boucher, Emiliano A. Valdez
This article describes techniques employed in the production of a synthetic dataset of driver telematics emulated from a similar real insurance dataset. The synthetic dataset gener…
Applications of Clustering with Mixed Type Data in Life Insurance
Shuang Yin, Guojun Gan, Emiliano A. Valdez +1
Death benefits are generally the largest cash flow item that affects financial statements of life insurers where some still do not have a systematic process to track and monitor de…
Flexible Modeling of Hurdle Conway-Maxwell-Poisson Distributions with Application to Mining Injuries
Shuang Yin, Dipak K. Dey, Emiliano A. Valdez +1
While the hurdle Poisson regression is a popular class of models for count data with excessive zeros, the link function in the binary component may be unsuitable for highly imbalan…
Analysis of Prescription Drug Utilization with Beta Regression Models
Guojun Gan, Emiliano A. Valdez
The healthcare sector in the U.S. is complex and is also a large sector that generates about 20% of the country's gross domestic product. Healthcare analytics has been used by rese…
Skewed link regression models for imbalanced binary response with applications to life insurance
Shuang Yin, Dipak K. Dey, Emiliano A. Valdez +2
For a portfolio of life insurance policies observed for a stated period of time, e.g., one year, mortality is typically a rare event. When we examine the outcome of dying or not fr…
Cost-sensitive Multi-class AdaBoost for Understanding Driving Behavior with Telematics
Banghee So, Jean-Philippe Boucher, Emiliano A. Valdez
Powered with telematics technology, insurers can now capture a wide range of data, such as distance traveled, how drivers brake, accelerate or make turns, and travel frequency each…
On a Multi-Year Microlevel Collective Risk Model
Rosy Oh, Himchan Jeong, Jae Youn Ahn +1
For a typical insurance portfolio, the claims process for a short period, typically one year, is characterized by observing frequency of claims together with the associated claims…
Hybrid Tree-based Models for Insurance Claims
Zhiyu Quan, Zhiguo Wang, Guojun Gan +1
Two-part models and Tweedie generalized linear models (GLMs) have been used to model loss costs for short-term insurance contract. For most portfolios of insurance claims, there is…
A non-convex regularization approach for stable estimation of loss development factors
Himchan Jeong, Hyunwoong Chang, Emiliano A. Valdez
In this article, we apply non-convex regularization methods in order to obtain stable estimation of loss development factors in insurance claims reserving. Among the non-convex reg…
Copula Modeling of Multivariate Longitudinal Data with Dropout
Edward W. Frees, Catalina Bolancé, Montserrat Guillen +1
Joint multivariate longitudinal and time-to-event data are gaining increasing attention in the biomedical sciences where subjects are followed over time to monitor the progress of…