2 citations · 2 across the 2 of their papers we have counts for
4 papers
Regression for Copula-linked Compound Distributions with Applications in Modeling Aggregate Insurance Claims
Peng Shi, Zifeng Zhao
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance ope…
A new perspective from a Dirichlet model for forecasting outstanding liabilities of nonlife insurers
Karthik Sriram, Peng Shi
Forecasting the outstanding claim liabilities to set adequate reserves is critical for a nonlife insurer's solvency. Chain-Ladder and Bornhuetter-Ferguson are two prominent actuari…
Implementation of Frequency-Severity Association in BMS Ratemaking
Rosy Oh, Peng Shi, Jae Youn Ahn
A Bonus-Malus System (BMS) in insurance is a premium adjustment mechanism widely used in a posteriori ratemaking process to set the premium for the next contract period based on a…
Modeling Multivariate Time Series with Copula-linked Univariate D-vines
Zifeng Zhao, Peng Shi, Zhengjun Zhang
This paper proposes a novel multivariate time series model named Copula-linked univariate D-vines (CuDvine), which enables the simultaneous copula-based modeling of both temporal a…