15 citations · 25 across the 7 of their papers we have counts for
7 papers
α-Fair Insurance Pricing: A Fairness Continuum
Tianhe Zhang, Xiguang Liu, Peng Shi
Fairness in insurance pricing remains a long-standing and deeply debated puzzle. On one hand, insurers, driven by profitability considerations, set premiums that differentiate acro…
Discrimination-free Insurance Pricing with Privatized Sensitive Attributes
Tianhe Zhang, Suhan Liu, Peng Shi
Fairness has become an important concern in insurance pricing as insurers increasingly rely on machine learning models to predict expected losses. At the same time, regulatory and…
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…
Enhanced Pricing and Management of Bundled Insurance Risks with Dependence-aware Prediction using Pair Copula Construction
Peng Shi, Zifeng Zhao
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasin…
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…