3 papers
stat.ME2026
A Dirichlet Mixed-Membership Model for Exact Multivariate Distributional Credibility
Sebastián Calcetero Vanegas, Ian Weng Chan
Credibility theory combines individual experience with portfolio information for insurance pricing, but classical formulations focus primarily on conditional means and expected pre…
stat.ME2025
A Population Sampling Framework for Claim Reserving in General Insurance
Sebastian Calcetero Vanegas, Andrei L. Badescu, X. Sheldon Lin
Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the…
econ.EM2023
Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method
Sebastian Calcetero-Vanegas, Andrei L. Badescu, X. Sheldon Lin
Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal stati…