3 papers
q-fin.RM2026
On the approximation of posterior laws in compound loss models by conditional Wasserstein GANs
Aleksandar Arandjelovic, Pavel V. Shevchenko, George Tzougas
Bayesian inference in compound loss models must often be repeated across policies, market scenarios, and prior specifications. Outside conjugate cases, this may require repeated nu…
stat.AP2022
A Copula-Based family of Bivariate Composite Models for Claim Severity Modelling
Girish Aradhye, George Tzougas, Deepesh Bhati
In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the G…
stat.ME2021
Mixture composite regression models with multi-type feature selection
Tsz Chai Fung, George Tzougas, Mario Wuthrich
The aim of this paper is to present a mixture composite regression model for claim severity modelling. Claim severity modelling poses several challenges such as multimodality, heav…