Welcome!
Introduction
My name is Gee, and I am an associate professor of actuarial science at Michigan State University.
My current research interests include insurance loss modeling, risk retention, dependence modeling, and regularization methods with applications in actuarial science. I have several on-going works related to: modifying the lasso, and applying it to endorsements rate-making, extending the high dimensional copula modeling framework, subgroup analysis and intercept regularization, multivariate insurance portfolio risk retention, etc.
If you are a current/prospective undergraduate student interested in working with me on any of these topics, please see the undergraduate students page. If you are a current/prospective MS or PhD student with an interest in actuarial science, then please see my MS/PhD students page.
Affiliation
Associate Professor (with Tenure)
Department of Statistics and Probability
Education
PhD, University of Wisconsin-Madison
Associate (ASA), Society of Actuaries
Contact Information
Email: leegee@msu.edu
Phone: (517)353-6332
Address: C337 Wells Hall
619 Red Cedar Rd, East Lansing, 48824, MI.
Publications
Lee, G. Y. and Jeong, H. (2024) Nonparametric intercept regularization for insurance claim frequency regression models, The Annals of Actuarial Science.
Lee, G. Y. (2023) Multivariate insurance portfolio risk retention using the method of multipliers, North American Actuarial Journal.
Shi, P. and Lee, G. Y. (2022), Copula regression for compound distributions with endogenous covariates with applications in insurance deductible pricing, Journal of the American Statistical Association. (R and C++ Code, and Data)
Lee, G. Y. (2021), Regression shrinkage and selection for actuarial models, Variance.
Manski, S. and Yang, K. and Lee, G. Y. and Maiti, T. (2021), Loss amount prediction from textual data using a double GLM with shrinkage and selection, European Actuarial Journal. (R and C++ Code, and Data)
Gavagan, J. and Hu, L. and Lee, G. Y. and Liu, H. and Weixel, A. (2021), Optimal reinsurance with model uncertainty and Stackelberg game, Scandinavian Actuarial Journal.
Manski, S. and Yang, K. and Lee, G. Y. and Maiti, T. (2021), Extracting information from textual descriptions for actuarial applications, The Annals of Actuarial Science.
Lee, G. Y. and Manski, S. and Maiti, T. (2020), Actuarial applications of word embedding models, ASTIN Bulletin.
Lee, G. Y. and Shi, P. (2019), A dependent frequency–severity approach to modeling longitudinal insurance claims, Insurance: Mathematics and Economics.
Wang, K. and Ding, J. and Lidwell, K. R. and Manski, S. and Lee, G. Y. and Esposito, E. X. (2019), Treatment level and store level analyses of healthcare data, Risks.
Lee, G. Y. (2017), General insurance deductible ratemaking, North American Actuarial Journal.
Frees, E. W. and Lee, G. Y. (2016), Rating endorsements using generalized linear models, Variance (Archive: old articles will be organized here soon).
Frees, E. W. and Lee, G. Y. and Yang, L. (2016), Multivariate frequency-severity regression models in insurance, Risks.
Works submitted & under progress
Lee, G. Y., Long-tail modeling of crop insurance indemnities (Accepted into the Variance. To appear in 2024).
Lee, G. Y. and Liu, H. and Shi, P., Insurance risk retention under dependent risks (working paper, to be submitted to an actuarial journal).
Jeong, H. and Lee, G. Y. and Shi, P., Ratemaking with endogenous deductibles (This is a working paper in its early stage).
Conferences organized
Simon Conference 2023 for Young Researchers in Risk Management and Insurance. [2023 website].
Simon Conference 2019 for Young Researchers in Risk Management and Insurance (Organizers: Cohen, A. and Moenig, T. and Lee, G. Y. and Viens, F.). The conference was cited in Expanding Horizons (June 2020), published by the Society of Actuaries. Here is a link to the article.
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