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07/24/2023
Conformal prediction for frequency-severity modeling
We present a nonparametric model-agnostic framework for building predict...
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04/28/2020
Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach
This paper is concerned with the process of risk allocation for a generi...
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11/27/2019
Modelling dependence within and across run-off triangles for claims reserving
We propose a stochastic model for claims reserving that captures depende...
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12/10/2018