Andrei Badescu

University of Toronto - Department of Statistics

100 St. George St.

Toronto, Ontario M5S 3G3

Canada

SCHOLARLY PAPERS

8

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645

CITATIONS
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12

Scholarly Papers (8)

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, p. 1-43, 2015
Number of pages: 44 Posted: 27 Dec 2015
Andrei Badescu, Gong Lan, X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto
Downloads 189 (157,791)

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advanced measurement approach, Erlang-based mixture model, EM algorithm, operational risk management, value at risk

Modeling Correlated Frequencies with Application in Operational Risk Management

Journal of Operational Risk, Vol. 10, No. 1, 2015
Number of pages: 44 Posted: 30 Jun 2016
Andrei Badescu, Gong Lan, X. Sheldon Lin and Dameng Tang
University of Toronto - Department of Statistics, University of Toronto, Department of Statistical Sciences, University of Toronto and University of Toronto
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Citation 4
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advanced measurement approach, correlated frequency, Erlang-based mixture model, EM algorithm, operational risk management, value at risk

2.

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 142 (201,774)
Citation 4

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

3.

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 77 (308,002)
Citation 2

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

4.

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 67 (332,784)
Citation 5

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

5.

Extremes on the Discounted Aggregate Claims in a Time Dependent Risk Model

Scandinavian Actuarial Journal, 2010, Volume 2, p.93-104
Number of pages: 16 Posted: 11 Sep 2013
Alexandru Vali Asimit and Andrei Badescu
Cass Business School, City, University of London and University of Toronto - Department of Statistics
Downloads 67 (332,784)
Citation 6

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Compound Poisson risk model, Dependence, Discounted aggregate loss, Subexponential distribution, Value-at-Risk

6.

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 62 (346,277)
Citation 2

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

7.

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

Number of pages: 35 Posted: 17 Jan 2019 Last Revised: 07 Jun 2019
Tsz Chai Fung, Andrei Badescu and X. Sheldon Lin
University of Toronto, Department of Statistical Sciences, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 23 (497,604)
Citation 1

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8.

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
University of Toronto, Department of Statistical Sciences, University of Toronto - Department of Statistics and Department of Statistical Sciences, University of Toronto
Downloads 18 (526,342)
Citation 1

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