13 citations · 21 across the 9 of their papers we have counts for
9 papers
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…
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…