Montreal, H4R 3B3
Dept. Maths & Statis, Concordia University
Longevity, Long-Term Care (LTC), Semi-Competing Risks, Treatment effect, Unobserved Heterogeneity, Dynamic Frailty, Partial Observability, Identi
weather risk; index insurance; basis risk; neural networks; machine learning
Coherent Mortality Forecasts, Less Developed Countries, Mortality Rotation, Double Logistic Function
broken-heart, joint annuity, mixed proportional hazard competing risks model, treatment effect, unobserved heterogeneities
Endogenous regime switching, polynomial expansion, composite likelihood, time irreversibility, volatility feedback, copula
SIR Model, Population-at-Risk, Semi-Parametric Model, Mover-Stayer Model, Herd Immunity, Reproductive Number, Stochastic Transmission, Systemic Risk.
Derivative Pricing, Term Structure, Affine Process, Noncausal Process, Speculative Bubble, Reverse Time
Negative Binomial Process, Autoregressive Gamma, Poisson-Gamma Conjugacy, Intensity, Compound Autoregressive Process, Common Factor, Pairwise Analysis, Health Insurance
Markov Chain Discretization, Bayesian Premium, Dynamic Random Effect, Risk Heterogeneity
compound autoregressive process, probabilistic forecast of counts, matrix arithmetic
Operational risk, Cyber risk, Systemic and pairwise contagion, Self-excitation, Negative binomial autoregressive process, Generalized Poisson inverse-Gaussian distribution, Discrete stable distribution, Generalized method of moments
Bubble, Discrete Stable Distribution, Noncausal Process, Infinite Server Queue
mixed data, polynomial expansion, unobserved heterogeneity, sequential forecasting/pricing
rare event count process, nonlinear forecasting, memory persistence, liquidity risk
Basel Regulation, Stress Test, Loss-Given-Default, Impulse Response, Pseudo-Maximum Likelihood, LIR Estimation, Beta Regression, Moebius Transformation
Hierarchical model, vehicle insurance pricing, posterior ratemaking, random effect, hierarchical random effects, panel data.
Dependent Competing Risks, Unobserved Heterogeneity, Regular Variation, Nonparametric Identification, Human Longevity.
hierarchical model, posterior ratemaking, random effect, fleet insurance, Poisson-gamma conjugacy, Negative binomial-beta conjugacy, tilted stable distribution
stochastic intensity count process, affine process, dynamic frailty, composite likelihood estimation, non-linear pricing/forecasting, bonus-malus
Autoregressive gamma, Wishart process, Poisson‐gamma conjugacy, compound autoregressive process, stochastic intensity, pairwise analysis
Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.
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