2 papers
stat.ME2025
Penalized Copula Mixed Models for Intercompany Loss Reserving and Risk Capital
Pengfei Cai, Anas Abdallah, Pratheepa Jeganathan
Intercompany loss reserving provides an opportunity to improve reserve estimation by borrowing information across insurers while accounting for company-level heterogeneity. We prop…
stat.AP2024
Recurrent Neural Networks for Multivariate Loss Reserving and Risk Capital Analysis
Pengfei Cai, Anas Abdallah, Pratheepa Jeganathan
In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid…