Research Papers

For the full list of my publications, see the Google Scholar page.

Working Papers

• Yang, L., Shi, P., Huang, S. A copula model for marked point process with a terminal event: an application in dynamic prediction of insurance claims. 

• Gao, L., Shi, P. Risk modeling of property insurance claims from weather events. 

• Frees, EW, Shi, P. Insurable risk portfolios and data uncertainty.

Published Papers

1. Shi, P., Zhao, Z. (2024+) Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction. Accepted at Journal of Econometrics.

2. Shi, P., Zhang, W., Shi, K. (2024+) Leveraging weather dynamics in insurance claims triage using deep learning. Accepted at Journal of American Statistical Association.

3. Ma, T.F., Cai, Y., Shi, P., Zhu, J. (2024+) Hierarchical dependence modeling for the analysis of large insurance claims data. Accepted at Annals of Applied Statistics.

4. Lian, Y., Yang, A.Y., Wang, B., Shi, P., Platt. R.W. (2023) A Tweedie compound Poisson model in reproducing kernel Hilbert space, Technometrics, 65 (2), pp. 281-295.

5. Shi, P., Shi, K. (2023) Non-life insurance risk classification using categorical embedding, North American Actuarial Journal, 27 (3), pp. 579-601.

6. Gao, L., Shi, P. (2022) Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns, Insurance: Mathematics and Economics, 107 (2022), pp. 161-179. 

7. Shi, P., Lee, G. (2022) Copula regression for compound distributions with endogenous covariates with applications in insurance deductible pricing, Journal of American Statistical Association, 117 (539), pp. 1094-1109.

8. Okine, A., Frees, E.W., Shi, P. (2022) Joint model prediction and application to individual-level loss reserving, ASTIN Bulletin: The Journal of the IAA, 52 (1), pp. 91-116.  

9. Zhao, Z., Shi, P., Zhang, Z. (2022) Modeling multivariate time series with copula-linked univariate D-vines, Journal of Business & Economic Statistics, 40 (2), pp. 690-704. 

10. Zheng, W., Yao, Y., Shi, P., Deng, Y., Zheng, H. (2022) Deregulation, competition, and consumer choice of insurer: Evidence from liberalization reform in China’s automobile insurance market, Geneva Risk and Insurance Review, 47, pp. 158-200.

11. Shi, P., Fung, G.M., Dickinson, D. (2022) Assessing hail risk for property insurers with a dependent marked point process, Journal of Royal Statistical Society: Series A (Statistics in Society), 185 (1), pp. 302-328.

12. Zhao, Z., Shi, P., Feng, X. (2021) Knowledge Learning of Insurance Risks Using Dependence Models, INFORMS Journal on Computing, 33(3), pp.1177-1196.

13. Sriram, K., Shi, P. (2021) Stochastic loss reserving: A new perspective from a Dirichlet Model, Journal of Risk and Insurance, 88, pp.195-230. 

14. Shi, P., Zhao. Z. (2020) Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims, Annals of Applied Statistics, 14 (1), pp. 357-380.

15. Oh, R., Shi, P., Ahn, J.Y. (2020) Bonus-Malus premiums under the dependent frequency-severity modeling, Scandinavian Actuarial Journal, 3, pp. 172-199.

16. Lee, G.Y., Shi, P. (2019) A dependent frequency–severity approach to modeling longitudinal insurance claims, Insurance: Mathematics and Economics, 87, pp. 115-129.

17. Yang, L., Shi, P. (2019) Multiperil rate making for property insurance using longitudinal data, Journal of Royal Statistical Society: Series A (Statistics in Society), 182 (2), pp. 647-668.

18. Shi, P., Yang, L. (2018) Pair copula constructions insurance experience rating, Journal of American Statistical Association, 113 (521), pp. 122-133. 

19. Shi, P., Zhang, W., Boucher, J.P. (2018) Dynamic moral hazard: a longitudinal examination of automobile insurance in Canada. Journal of Risk and Insurance, 85 (4), pp. 939-958.

20. Frees, E.W., Shi, P. (2018) Credibility prediction using collateral information, Variance, 11 (1), pp. 45-59. 

21. Shi, P. (2017) A multivariate analysis of intercompany loss triangles, Journal of Risk and Insurance, 84 (2), pp. 717-737.

22. Shi, P., Shi, K. (2017) Territorial risk classification using spatially dependent frequency-severity models. ASTIN Bulletin: The Journal of the IAA, 47 (2), pp. 437-465. 

23. Shi, P., Feng, X., Boucher, J.P. (2016) Multilevel modeling of insurance claims using copulas. Annals of Applied Statistics, 10 (2) pp. 834-863. 

24. Shi, P., Zhang, W. (2016) A test of asymmetric learning in competitive insurance with partial information sharing, Journal of Risk and Insurance, 83 (3), pp. 557-578.

25. Shi, P., Hartman, B.M. (2016) Credibility in loss reserving, North American Actuarial Journal, 20 (2) pp. 114-132. 

26. Sriram, K., Shi, P., Ghosh. P. (2016) A Bayesian quantile regression model for insurance company costs data, Journal of Royal Statistical Society: Series A (Statistics in Society), 179 (1) pp. 177-202.

27. Shi, P. (2016) Insurance ratemaking using a copula-based multivariate Tweedie model, Scandinavian Actuarial Journal, 2016 (3), pp. 198-215.

28. Shi, P., Feng, X., Ivantsova, A. (2015) Dependent frequency-severity modeling of insurance claims, Insurance: Mathematics and Economics, 64 (1), pp. 417-428.

29. Shi, P., Zhang, W. (2015) Private information in health care utilization: specification of a copula-based hurdle model, Journal of Royal Statistical Society: Series A (Statistics in Society), 178 (2), pp. 337-361. 

30. Shi, P. (2014) A copula regression for modeling multivariate loss triangles and quantifying reserving variability, ASTIN Bulletin: The Journal of the IAA, 44 (1), pp. 85-102.

31. Shi, P., Valdez, E.A., (2014) Multivariate negative binomial models for insurance claim counts, Insurance: Mathematics and Economics, 55 (1), pp. 18-29.

32. Shi, P., Valdez, E.A., (2014) Longitudinal modeling of insurance claim counts using jitters, Scandinavian Actuarial Journal, 2014 (2), pp. 159-179.

33. Shi, P., Zhang, W. (2013) Managed care and health care utilization: specification of bivariate models using copulas, North American Actuarial Journal, 17 (4), pp. 306-324.

34. Shi, P., Zhang, W., Valdez, E.A., (2012) Testing adverse selection with two-dimensional information: evidence from the Singapore auto insurance market, Journal of Risk and Insurance, 79 (4), pp. 1077-1114.

35. Shi, P. (2012) Multivariate longitudinal modeling of insurance company expenses, Insurance: Mathematics and Economics, 51 (1), pp. 204-215.

36. Shi, P., Sanjib, B., Meyers, G. (2012) A Bayesian log-normal model for multivariate loss reserving (with Discussion), North American Actuarial Journal, 16 (1), pp. 29-51.

37. Shi, P., Frees, E.W. (2011) Dependent loss reserving using copulas, ASTIN Bulletin: The Journal of the IAA, 41(2), pp. 449-486.

38. Shi, P., Valdez, E.A. (2011) A copula approach to test asymmetric information with applications to predictive modeling, Insurance: Mathematics and Economics, 49 (2), pp. 226-239.

39. Shi, P., Frees, E.W. (2010) Long-tail longitudinal modeling of insurance company expenses, Insurance: Mathematics and Economics, 47 (3), pp. 303-314.

40. Frees, E.W., Shi, P., Valdez, E.A. (2009) Actuarial applications of a hierarchical insurance claims model, ASTIN Bulletin: The Journal of the IAA, 39 (1), pp. 165-197.