X. Sheldon Lin

Department of Statistical Sciences, University of Toronto

Professor of Actuarial Science

Department of Statistical Sciences

100 St George Street

Toronto, Ontario M5S 3G3

Canada

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 29,168

SSRN RANKINGS

Top 29,168

in Total Papers Downloads

3,347

SSRN CITATIONS
Rank 18,746

SSRN RANKINGS

Top 18,746

in Total Papers Citations

47

CROSSREF CITATIONS

28

Scholarly Papers (18)

1.

An Insurance Risk Model with Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 46, No. 1, pp. 52-66
Number of pages: 31 Posted: 15 Dec 2008 Last Revised: 16 Feb 2010
Yichun Chi, Sebastian Jaimungal and X. Sheldon Lin
China Institute for Actuarial Science, Central University of Finance and Economics, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 480 (113,860)

Abstract:

Loading...

Gerber-Shiu expected discounted penalty function, Integro-differential equation, Singular perturbation theory, Stochastic volatility, Perturbed compound Poisson risk process, Phase-type distribution, Ornstein-Uhlenbeck process

2.

Valuation of Large Variable Annuity Portfolios Under Nested Simulations: A Functional Data Approach

Gan, G. and Lin, X.S. (2015). Valuation of large variable annuity portfolios under nested simulation: a functional data approach, Insurance: Mathematics and Economics, 62, 138-150.
Number of pages: 13 Posted: 22 Nov 2013 Last Revised: 26 Dec 2015
Guojun Gan and X. Sheldon Lin
Manulife Asset Management and Department of Statistical Sciences, University of Toronto
Downloads 337 (170,225)
Citation 10

Abstract:

Loading...

Variable annuity, Monte Carlo simulation, Nested simulation, Stochastic-on-stochastic, Portfolio valuation, Clustering, Functional data analysis

3.

Modeling Dependent Risks with Multivariate Erlang Mixtures

ASTIN Bulletin, 42(1), 153-180 (2012)
Number of pages: 30 Posted: 24 Oct 2011 Last Revised: 26 Dec 2015
Simon Lee and X. Sheldon Lin
affiliation not provided to SSRN and Department of Statistical Sciences, University of Toronto
Downloads 329 (174,726)
Citation 1

Abstract:

Loading...

Erlang mixture, dependent risk, multivariate analysis, quasi-comonotonicity, aggregate losses, EM algorithm

4.

A Marked Cox Model for the Number of IBNR Claims: Estimation and Application

Astin Bulletin, 1-31. doi:10.1017/asb.2019.15
Number of pages: 31 Posted: 14 Mar 2016 Last Revised: 07 Jun 2019
Andrei Badescu, X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics, Department of Statistical Sciences, University of Toronto and University of Toronto
Downloads 249 (232,673)
Citation 7

Abstract:

Loading...

IBNR Claims; Loss Reserving; Cox Model; Hidden Markov Chain; Temporal Dependence; Pascal Mixture; EM Algorithm

5.

LRMoE: An R Package for Flexible Actuarial Loss Modelling Using Mixture of Experts Regression Model

Number of pages: 28 Posted: 06 Jan 2021
Department of Statistical Sciences, University of Toronto - Department of Statistics, Georgia State University - J. Mack Robinson College of Business and Department of Statistical Sciences, University of Toronto
Downloads 233 (248,185)
Citation 7

Abstract:

Loading...

Multivariate Regression Analysis, Censoring and Truncation, Expectation-Conditional-Maximization Algorithm, Insurance Ratemaking and Reserving, R

6.

Efficient Dynamic Hedging for Large Variable Annuity Portfolios with Multiple Underlying Assets

Number of pages: 33 Posted: 31 Mar 2020
X. Sheldon Lin and Shuai Yang
Department of Statistical Sciences, University of Toronto and University of Toronto - Department of Statistics
Downloads 227 (254,459)
Citation 3

Abstract:

Loading...

Variable Annuity Portfolio; Nested Simulation, Balanced Sampling, Spline Regression, Dynamic Hedging, Profit and Loss Analysis

7.

Are Flexible Premium Variable Annuities Under-Priced?

ASTIN Bulletin 42(2), pp. 559-574
Number of pages: 18 Posted: 24 Oct 2011 Last Revised: 15 Jan 2013
Yichun Chi and X. Sheldon Lin
China Institute for Actuarial Science, Central University of Finance and Economics and Department of Statistical Sciences, University of Toronto
Downloads 171 (329,149)
Citation 4

Abstract:

Loading...

Variable Annuity, Flexible Premium, GMDB, GMLB, Arithmetic Asian Option, Mortality and Expense Fee

8.

Fitting Mixtures of Erlangs to Censored and Truncated Data Using the EM Algorithm

ASTIN Bulletin, 2015, 45(3), 729-758.
Number of pages: 28 Posted: 21 Jan 2014 Last Revised: 17 May 2017
KU Leuven, University of Toronto, KU LeuvenUniversity of Amsterdam, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 170 (330,859)
Citation 7

Abstract:

Loading...

Mixture of Erlang distributions with a common scale parameter; Censoring; Truncation; Expectation-maximization algorithm; Maximum likelihood

9.

A Subordinated Markov Model for Stochastic Mortality

European Actuarial Journal, (2012) 2:105–127
Number of pages: 23 Posted: 26 Oct 2011 Last Revised: 26 Aug 2012
Xiaoming Liu and X. Sheldon Lin
University of Western Ontario and Department of Statistical Sciences, University of Toronto
Downloads 166 (337,730)
Citation 1

Abstract:

Loading...

subordinated Markov process, Stochastic mortality, risk-neutral measure, mortality-linked securities, matrix-analytic methods, phase-type distribution

10.

On the Threshold Dividend Strategy for a Generalized Jump-Diffusion Risk Model

Insurance: Mathematics and Economics, Vol. 48, No. 3, 2011
Number of pages: 24 Posted: 23 Aug 2009 Last Revised: 25 Jan 2011
Yichun Chi and X. Sheldon Lin
China Institute for Actuarial Science, Central University of Finance and Economics and Department of Statistical Sciences, University of Toronto
Downloads 144 (380,051)

Abstract:

Loading...

Exit problems for Levy process, Gerber-Shiu expected discounted penalty function, Perturbed compound Poisson risk model, Threshold dividend strategy, Wiener-Hopf factorization

11.

Multivariate Pascal Mixture Regression Models for Correlated Claim Frequencies

Number of pages: 28 Posted: 17 May 2016
University of Toronto, University of Toronto - Department of Statistics, Department of Statistical Sciences, University of Toronto and University of Connecticut - Department of Mathematics
Downloads 140 (388,532)

Abstract:

Loading...

Pascal Distribution, Pascal Finite Mixture, Multivariate Claim Frequencies, Count Regression, Expectation-Maximization (EM) Algorithm

12.

A Class of Mixture of Experts Models for General Insurance: Application to Correlated Claim Frequencies

Number of pages: 35 Posted: 17 Jan 2019 Last Revised: 07 Jun 2019
Tsz Chai Fung, Andrei Badescu and X. Sheldon Lin
Georgia State University - J. Mack Robinson College of Business, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 137 (395,067)
Citation 5

Abstract:

Loading...

Erlang Count Models, Expectation-Conditional-Maximization Algorithm, Logit-Weighted Gating Functions, Mixture of Experts Models, Multivariate Count Regression

13.

Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models

Number of pages: 28 Posted: 06 Jan 2021
Tsz Chai Fung, Andrei Badescu and X. Sheldon Lin
Georgia State University - J. Mack Robinson College of Business, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 129 (416,594)
Citation 5

Abstract:

Loading...

Censoring, Deductible Ratemaking, Expectation-Conditional-Maximization Algorithm, IBNR Claims, Mixture of Experts Models, Severity Regression, Truncation

14.

A Class of Mixture of Experts Models for General Insurance: Theoretical Developments

Number of pages: 35 Posted: 17 Jan 2019 Last Revised: 19 Oct 2019
Tsz Chai Fung, Andrei Badescu and X. Sheldon Lin
Georgia State University - J. Mack Robinson College of Business, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 121 (434,803)
Citation 7

Abstract:

Loading...

15.

Fast and Efficient Nested Simulation for Large Variable Annuity Portfolios: A Surrogate Modeling Approach

Number of pages: 37 Posted: 19 Mar 2019
X. Sheldon Lin and Shuai Yang
Department of Statistical Sciences, University of Toronto and University of Toronto - Department of Statistics
Downloads 99 (502,781)
Citation 4

Abstract:

Loading...

Variable Annuity Portfolio; Nested-Simulation; Surrogate Modeling; Spline Regression; Population Sampling

16.

A Marked Cox Model for the Number of IBNR Claims: Theory

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 22 Dec 2015 Last Revised: 09 Apr 2016
Andrei Badescu, X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics, Department of Statistical Sciences, University of Toronto and University of Toronto
Downloads 99 (502,781)
Citation 2

Abstract:

Loading...

IBNR Claims; Loss Reserving; Cox Model; Hidden Markov Chain; Temporal Dependence; Pascal Mixture

17.

Effective Experience Rating for Large Insurance Portfolios via Surrogate Modeling

Number of pages: 37 Posted: 04 Dec 2022 Last Revised: 11 Jun 2024
University of Toronto, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 64 (648,541)

Abstract:

Loading...

Credibility, Surrogate modeling, Ratemaking, Bayesian Regression, Experience Rating

18.

Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method

Number of pages: 39 Posted: 04 Jul 2023 Last Revised: 11 Jun 2024
University of Toronto, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 52 (715,506)

Abstract:

Loading...

Claim reserving, Population Sampling, Inverse Probability Weighting, Chain-Ladder, Survival modeling