Biography
Peng Shi is a professor in the Risk and Insurance Department at the Wisconsin School of Business. He is also the Charles and Laura Albright Professor in Business and Finance. Professor Shi is an Associate of the Casualty Actuarial Society (ACAS) and a Fellow of the Society of Actuaries (FSA). He holds a Ph.D. in business with a minor in economics from the University of Wisconsin-Madison.
His interests are problems at the intersection of insurance and statistics, with a particular focus on the development and application of advanced statistical and machine learning methods within the realms of insurance and risk analytics. His expertise includes actuarial data science, probabilistic forecasting and predictive modeling, insurance and risk analytics, dependence models and multivariate analysis, machine learning and statistical learning, and intensive longitudinal data methods.
Research
Selected Published Journal Articles
Shi, P. & Shi, K. (2023). Non-life insurance risk classification using categorical embedding North American Actuarial Journal
Lian, Y. & Yi, A. & Wang, B. & Shi, P. & Platt, R. (2023). A Tweedie Compound Poisson Model in Reproducing Kernel Hilbert Space Technometrics
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
Zhao, Z. & Shi, P. & Zhang, Z. (2022). Modeling multivariate time series with copula-linked univariate D-vines Journal of Business and Economic Statistics
Shi, P. & Lee, G. (2022). Copula regression for compound distributions with endogenous covariates with applications in insurance deductible pricing Journal of the American Statistical Association
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
Okine, N. & Frees, E. & Shi, P. (2022). Joint model prediction and application to individual-level loss reserving ASTIN Bulletin: Journal of the International Actuarial Association
Shi, P. & Fung, G. & Dickinson, D. (2022). Assessing hail risk for property insurers with a dependent marked point process Journal of the Royal Statistical Society – A
Zhao, Z. & Shi, P. & Feng, X. (2021). Knowledge learning of insurance risks using dependence models INFORMS Journal on Computing
Sriram, K. & Shi, P. (2021). Stochastic Loss Reserving: A New Perspective from a Dirichlet Model Journal of Risk and Insurance
Shi, P. & Zhao, Z. (2020). Regression for copula-linked compound distributions with applications in modeling aggregate insurance claim Annals of Applied Statistics
Lee, G. & Shi, P. (2019). A dependent frequency–severity approach to modeling longitudinal insurance claims Insurance: Mathematics and Economics
Shi, P. & Yang, L. (2019). Multiperil rate making for property insurance using longitudinal data. Journal of the Royal Statistical Society – A
Frees, E. & Shi, P. (2018). Credibility prediction using collateral information Variance
Shi, P. & Yang, L. (2018). Pair copula constructions for insurance experience rating Journal of the American Statistical Association
Shi, P. (2017). A multivariate analysis of intercompany loss triangles Journal of Risk and Insurance
Shi, P. & Zhang, W. (2016). A test of asymmetric learning in competitive insurance with partial information sharing Journal of Risk and Insurance
Shi, P. & Feng, X. & Boucher, J. (2016). Multilevel modeling of insurance claims using copulas Annals of Applied Statistics
Sriram, K. & Shi, P. & Ghosh, P. (2016). A Bayesian quantile regression model for insurance company costs data Journal of the Royal Statistical Society – A
Shi, P. & Zhang, W. (2015). Private information in health care utilization: specification of a copula-based hurdle model Journal of the Royal Statistical Society – A
Shi, P. (2014). A copula regression for modeling multivariate loss triangles and quantifying reserving variability ASTIN Bulletin: Journal of the International Actuarial Association
Shi, P. & Zhang, W. & Valdez, E. (2012). Testing adverse selection with two-dimensional information: evidence from the Singapore auto insurance market Journal of Risk and Insurance
Shi, P. (2012). Multivariate longitudinal modeling of insurance company expenses Insurance: Mathematics and Economics
Shi, P. & Frees, E. (2011). Dependent loss reserving using copulas ASTIN Bulletin: Journal of the International Actuarial Association
Presentations
University of New South Wales (2020)
University of Waterloo (2020)
Fields Institute: Workshop on Frontier Areas in Financial Analytics (2019)
Society of Actuaries Predictive Analytics Symposium (2019)
Georgia State University (2018)
Temple University (2018)
The 1st SDM Workshop on Artificial Intelligence in Insurance (2018)
Casualty Actuarial Society Annual Meeting (2017) Predictive Modeling of Property Risks
The 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (2016) Insurance Experience Rating Using Mixed D-vine Copulas
ASTIN Colloquium – International Actuarial Association (2013) A Multivariate Analysis of Intercompany Loss Triangles
Casualty Actuarial Society Ratemaking and Product Management Seminar (2013) Fat-Tailed Regression Models
CNA Insurance Company (2012) Multivariate Modeling of Claim Counts Using Copulas
The 46th Actuarial Research Conference (2011) Longitudinal Modeling of Insurance Claim Counts Using Jitters
The American Risk and Insurance Association Annual Meeting (2011) Testing Adverse Selection With Two-Dimensional Information: Evidence From the Singapore Auto Insurance Market
Annual Meeting of Casualty Actuarial Society (2010) Retrospective Test on Stochastic Loss Reserving Method – Evidence from Auto Insurers
The 14th International Congress on Insurance: Mathematics and Economics (2010) Multivariate Longitudinal Modeling of Insurance Company Expenses
Casualty Actuarial Society Ratemaking and Product Management Seminar (2010) Model validation techniques – Basics and Case Studies
Service
Professional Organizations
Society of Actuaries
International Actuarial Society
Casualty Actuarial Society
Society of Actuaries
Editorial and Reviewing Activities
Annals of Actuarial Science – Since January 2024
Associate Editor
North American Actuarial Journal – Since November 2023
Editor
ASTIN Bulletin – Journal of the International Actuarial Association – Since January 2021
Editorial Board Member
Variance – Since September 2020
Editor
Insurance: Mathematics and Economics – Since January 2019
Associate Editor
Dependence Modeling – Since January 2018
Editorial Board Member