Wisconsin School of Business

Peng Shi

Associate Professor - Risk and Insurance
Charles & Laura Albright Professor of Business and Finance

Peng Shi is an associate professor in the Risk and Insurance Department at the Wisconsin School of Business. He is also the Charles & Laura Albright Professor in Business and Finance. His research interests include predictive modeling, multivariate regression and dependence models, longitudinal data, and asymmetric information in insurance.

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.
 

Selected Accepted Journal Articles


Shi, P. & Yang, L. (2018). Pair copula constructions for insurance experience rating. Journal of the American Statistical Association
Shi, P. & Zhang, W. & Boucher, J. (2016). Dynamic moral hazard: a longitudinal examination of automobile insurance in Canada. Journal of Risk and Insurance
Frees, E. & Shi, P. (2016). Credibility prediction using collateral information. Variance

Selected Published Journal Articles


Shi, P. (2017). A multivariate analysis of intercompany loss triangles. Journal of Risk and Insurance (84), 717-737.
Shi, P. & Zhang, W. (2016). A test of asymmetric learning in competitive insurance with partial information sharing. Journal of Risk and Insurance (83), 557-578.
Shi, P. & Feng, X. & Boucher, J. (2016). Multilevel modeling of insurance claims using copulas. Annals of Applied Statistics (10), 834-863.
Sriram, K. & Shi, P. & Ghosh, P. (2016). A Bayesian quantile regression model for insurance company costs data. Journal of the Royal Statistical Society - A (179), 177-202.
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 (178), 337-361.
Shi, P. (2014). A copula regression for modeling multivariate loss triangles and quantifying reserving variability. ASTIN Bulletin: Journal of the International Actuarial Association (44), 85-102.
Shi, P. (2012). Multivariate longitudinal modeling of insurance company expenses. Insurance: Mathematics and Economics (51), 204-215.
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 (79), 1077-1114.
Shi, P. & Frees, E. (2011). Dependent loss reserving using copulas. ASTIN Bulletin: Journal of the International Actuarial Association (41), 449-486.

Presentations


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


Editorial and Reviewing Activities


Insurance: Mathematics and Economics - October 2016 - December 2016
Ad Hoc Reviewer


Photograph of Peng Shi

Peng Shi

 
Associate Professor | Risk and Insurance
Charles & Laura Albright Professor of Business and Finance
(608) 263-4745
5281 Grainger Hall