From the 1 of 3 linked papers with an AI index.
3 papers
stat.ME2026
Penalized Copula Mixed Models for Intercompany Loss Reserving and Risk Capital
Pengfei Cai, Anas Abdallah, Pratheepa Jeganathan
The paper proposes a penalized generalized copula mixed model for multivariate loss reserving across multiple insurers, incorporating company-specific dependence and L1 regularizat…
stat.AP2025
A Unified Micro-Model for Loss Reserves, IBNR and Unearned Premium Risk with Dependence, Inflation, and Discounting
Emmanuel Hamel, Anas Abdallah, Ghislain Léveillé
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium ris…
stat.AP2025
Recurrent Neural Networks for Multivariate Loss Reserving and Risk Capital Analysis
Pengfei Cai, Anas Abdallah, Pratheepa Jeganathan
In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid…