2 citations · 4 across the 6 of their papers we have counts for
6 papers
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…
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…
Micro-level Reserving for General Insurance Claims using a Long Short-Term Memory Network
Ihsan Chaoubi, Camille Besse, Hélène Cossette +1
Detailed information about individual claims are completely ignored when insurance claims data are aggregated and structured in development triangles for loss reserving. In the hop…
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…
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models
Hélène Cossette, Etienne Marceau, Quang Huy Nguyen +1
In this paper, we compare two numerical methods for approximating the probability that the sum of dependent regularly varying random variables exceeds a high threshold under Archim…
Adjustment coefficient for risk processes in some dependent contexts
H. Cossette, E. Marceau, V. Maume-Deschamps
Following an article by Muller and Pflug, we study the adjustment coefficient of ruin theory in a context of temporal dependency. We provide a consistent estimator of this coeffici…