13 citations · 21 across the 16 of their papers we have counts for
8 papers · 1 filter
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…