3 papers
stat.ME2025
A Bayesian workflow for securitizing casualty insurance risk
Nathaniel Haines, Conor Goold, J. Mark Shoun
Casualty insurance-linked securities (ILS) are appealing to investors because the underlying insurance claims, which are directly related to resulting security performance, are unc…
stat.ME2025
Joint estimation of insurance loss development factors using Bayesian hidden Markov models
Conor Goold
Loss development modelling is the actuarial practice of predicting the total 'ultimate' losses incurred on a set of policies once all claims are reported and settled. This poses a…
stat.ME2024
BayesBlend: Easy Model Blending using Pseudo-Bayesian Model Averaging, Stacking and Hierarchical Stacking in Python
Nathaniel Haines, Conor Goold
Averaging predictions from multiple competing inferential models frequently outperforms predictions from any single model, providing that models are optimally weighted to maximize…