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Semantic insurance pricing with large language models
Christopher Blier-Wong, Derek Kusmenko
Classical actuarial pricing models, such as the generalized linear model, are valued for transparency and ease of governance, but they use interactions among risk factors only when…
Efficient evaluation of risk allocations
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
Expectations of marginals conditional on the total risk of a portfolio are crucial in risk-sharing and allocation. However, computing these conditional expectations may be challeng…
Collective risk models with FGM dependence
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
We study copula-based collective risk models when the dependence structure is defined by a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence between…