Associate Professor | Risk and Insurance
Charles and Laura Albright Professor in Business and Finance
Charles and Laura Albright Professor in Business and Finance
5191D Grainger Hall
(608) 263-4745
Biography
Peng Shi is an associate 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. His interests are problems at the intersection of insurance and statistics. Current research focuses on longitudinal data, dependence models, insurance analytics, and actuarial data science.
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.
Research
Selected Accepted Journal Articles
Zhao, Z. & Shi, P. & Zhang, Z. (2021). Modeling multivariate time series with copula-linked univariate D-vines Journal of Business and Economic Statistics
Zhao, Z. & Shi, P. & Feng, X. (2020). Knowledge learning of insurance risks using dependence models INFORMS Journal on Computing
Sriram, K. & Shi, P. (2020). Stochastic Loss Reserving: A New Perspective from a Dirichlet Model Journal of Risk and Insurance
Selected Published Journal Articles
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. (2012). Multivariate longitudinal modeling of insurance company expenses Insurance: Mathematics and Economics
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. & 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
Editorial and Reviewing Activities
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