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Thesis defences

PhD Oral Exam - Sébastien Jessup, Mathematics & Statistics

Advancements in model combination and uncertainty quantification with applications in actuarial science


Date & time
Monday, September 30, 2024
9 a.m. – 12 p.m.
Cost

This event is free

Organization

School of Graduate Studies

Contact

Nadeem

Where

J.W. McConnell Building
1400 De Maisonneuve Blvd. W.
Room 921-4

Wheel chair accessible

Yes

When studying for a doctoral degree (PhD), candidates submit a thesis that provides a critical review of the current state of knowledge of the thesis subject as well as the student’s own contributions to the subject. The distinguishing criterion of doctoral graduate research is a significant and original contribution to knowledge.

Once accepted, the candidate presents the thesis orally. This oral exam is open to the public.

Abstract

In this thesis, we focus on model combination, incorporating elements of uncertainty quantification to address different actuarial science issues. We first tackle the issue of overconfidence from a single model combination approach, highlighting how different combination assumptions can lead to different conclusions about the predicted variable. This is illustrated with an extreme precipitation example for the regions of Montreal and Quebec. We then focus on Bayesian model averaging (BMA), a very popular model combination technique relying on Bayes' theorem to attribute weights to models based on the likelihood that the observed data comes from the models considered. We propose a correction to the classical expectation-maximisation algorithm to account for data uncertainty, where we assume that the observed data is in fact not the only possible observable data. We then generalise our method to include Dirichlet regression, allowing for combination weights to vary depending on risk characteristics. These BMA approaches are applied to a simulation study as well as a simulated actuarial database and are shown to be very promising, as they allow for a more formal model combination framework for combining actuarial reserving methods in a smooth way based on predictive variables. Next, we adapt Bayesian model averaging using Generalised Likelihood Uncertainty Estimation to extreme value mixture models, and show that this modification allows for identifiying the "best" extreme value threshold, although a combination of models will outperform the single best mixture model. This is illustrated using the Danish reinsurance dataset. Finally, we show that the generalised BMA algorithm can be used to identify flexible extreme value thresholds depending on predictive variables. We use this generalised mixture model combination on a recent dataset from a Canadian automobile insurer.

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