X. Sheldon Lin
In this paper, we propose a novel frequency-severity joint trip-level risk index that combines the frequency of abnormal driving patterns with a severity component reflecting how extreme such behavior is relative to a portfolio-level…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
Vehicle telematics provides granular data for dynamic driving risk assessment, but current methods often rely on aggregated metrics (e.g., harsh braking counts) and do not fully exploit the rich time-series structure of telematics data. In…
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 micro-level approach, which estimates reserves at the…
With the advancement in technology, telematics data which capture vehicle movements information are becoming available to more insurers. As these data capture the actual driving behaviour, they are expected to improve our understanding of…
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 statistical foundations, relying on oversimplified data…
Experience rating in insurance uses a Bayesian credibility model to upgrade the current premiums of a contract by taking into account policyholders' attributes and their claim history. Most data-driven models used for this task are…
A well-designed framework for risk classification and ratemaking in automobile insurance is key to insurers' profitability and risk management, while also ensuring that policyholders are charged a fair premium according to their risk…
Incurred but not reported (IBNR) loss reserving is an important issue for Property & Casualty (P&C) insurers. The modeling of the claim arrival process, especially its temporal dependence, has not been closely examined in many of the…