13 citations · 21 across the 16 of their papers we have counts for
18 papers
Towards foundation models for insurance risk modelling
Christopher Blier-Wong
Claim narratives, images and sensor data contain information about insured risks that is difficult to use through existing actuarial models. Foundation models learn patterns from l…
Severity estimation in dependent collective risk models
Christopher Blier-Wong
The collective risk model represents the aggregate loss of an insurance portfolio as a random sum of individual claim severities. When claim counts and severities are dependent, th…
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…
Designing entry-monotone risk-sharing pools
Christopher Blier-Wong, Jean-Gabriel Lauzier
While risk pooling lowers the total cost of risk, efficiency alone does not make a pool viable. Participants need terms that ensure their participation, that are immune to subgroup…
Comonotonic improvement under feasibility constraints
Christopher Blier-Wong, Jean-Gabriel Lauzier
Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentiv…
Sharp bounds for products of dependent random variables
Christopher Blier-Wong, Jinghui Chen
We study the sharp bounds on when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing…
A Laplace-based perspective on conditional mean risk sharing
Christopher Blier-Wong
The conditional mean risk-sharing (CMRS) rule is an important tool for distributing aggregate losses across individual risks, but its implementation in continuous multivariate mode…
Stochastic representation of Sarmanov copulas
Christopher Blier-Wong
Sarmanov copulas offer a simple and tractable way to build multivariate distributions by perturbing the independence copula. They admit closed-form expressions for densities and ma…
A multi-view contrastive learning framework for spatial embeddings in risk modelling
Freek Holvoet, Christopher Blier-Wong, Katrien Antonio
Incorporating spatial information, particularly when related to climate, weather, and demographic factors, is crucial for improving underwriting precision and enhancing risk manage…
Improved thresholds for e-values
Christopher Blier-Wong, Ruodu Wang
The rejection threshold used for e-values and e-processes is by default set to for a guaranteed type-I error control at , based on Markov's and Ville's inequalities. This…
A representation-learning approach for insurance pricing with images
Christopher Blier-Wong, Luc Lamontagne, Etienne Marceau
Unstructured data are a promising new source of information that insurance companies may use to understand their risk portfolio better and improve the customer experience. However,…
A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
Christopher Blier-Wong, Hélène Cossette, Sébastien Legros +1
We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate…
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…
Risk aggregation with FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
We offer a new perspective on risk aggregation with FGM copulas. Along the way, we discover new results and revisit existing ones, providing simpler formulas than one can find in t…
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…
Exchangeable FGM copulas
Christopher Blier-Wong, Hélène Cossette, Etienne Marceau
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-GumbelMorgen…
Geographic ratemaking with spatial embeddings
Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne +1
Spatial data is a rich source of information for actuarial applications: knowledge of a risk's location could improve an insurance company's ratemaking, reserving or risk managemen…
Rethinking Representations in P&C Actuarial Science with Deep Neural Networks
Christopher Blier-Wong, Jean-Thomas Baillargeon, Hélène Cossette +2
Insurance companies gather a growing variety of data for use in the insurance process, but most traditional ratemaking models are not designed to support them. In particular, many…