David Pitt

Permutation entropy and its variants for measuring temporal dependence

Xin Huang, Han Lin Shang, David Pitt

Journal article  |  2022  |  AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS

Permutation entropy (PE) is an ordinal-based non-parametric complexity measure for studying the temporal dependence structure in a..

Competitive Productivity (CP) as an emergent phenomenon: Methods for modelling micro, meso, and macro levels

Hume Winzar, Chris Baumann, Alena Soboleva, Seung Ho Park, David Pitt

Journal article  |  2022  |  INTERNATIONAL JOURNAL OF HOSPITALITY MANAGEMENT

This paper argues that hospitality enterprises are a part of a complex-adaptive system. The exploration of Competitive Productivit..

On Fitting Probability Distribution to Univariate Grouped Actuarial Data with Both Group Mean and Relative Frequencies

Gaurav Khemka, David Pitt, Jinhui Zhang

Journal article  |  2022  |  NORTH AMERICAN ACTUARIAL JOURNAL

Many publicly available datasets relevant to actuarial work contain data grouped in various ways. For example, operational loss da..

A model sufficiency test using permutation entropy

Xin Huang, Han Lin Shang, David Pitt

Journal article  |  2022  |  JOURNAL OF FORECASTING

Using the ordinal-pattern concept in permutation entropy, we propose a model sufficiency test to study a given model's point predi..

A NEW MULTIVARIATE ZERO-INFLATED HURDLE MODEL WITH APPLICATIONS IN AUTOMOBILE INSURANCE

Pengcheng Zhang, David Pitt, Xueyuan Wu

Journal article  |  2022  |  ASTIN BULLETIN-THE JOURNAL OF THE INTERNATIONAL ACTUARIAL ASSOCIATION

The fact that a large proportion of insurance policyholders make no claims during a one-year period highlights the importance of z..

Dispersion modelling of mortality for both sexes with Tweedie distributions

Jackie Li, David Pitt, Han Li

Journal article  |  2021  |  SCANDINAVIAN ACTUARIAL JOURNAL

Past mortality experience has shown that the variability in mortality levels is not constant and can be higher than what the usual..

Financial metrics for comparing Australian retirement villages

Timothy Kyng, David Pitt, Sachi Purcal, Jinhui Zhang

Journal article  |  2021  |  ACCOUNTING AND FINANCE

Retirement village contracts are complex, blending together financial options on real estate, life annuities and life insurance. W..

Modeling risks from natural hazards with generalized additive models for location, scale and shape

David Pitt, Stefan Truck, Rob van den Honert, Wan Wah Wong

Journal article  |  2020  |  Journal of Environmental Management

We investigate a new framework for estimating the frequency and severity of losses associated with catastrophic risks such as bush..

On the use of Archimedean copulas for insurance modelling

TD Kularatne, J Li, D Pitt

Journal article  |  2020  |  Annals of Actuarial Science

In this paper, we explore the use of an extensive list of Archimedean copulas in general and life insurance modelling. We consider..

A method for calculating the implied no-recovery three-state transition matrix using observable population mortality incidence and disability prevalence rates among the elderly

William Lim, Gaurav Khemka, David Pitt, Bridget Browne

Journal article  |  2019  |  Journal of Population Research

The most accurate estimation of transition probabilities for a multi-state model of health status requires longitudinal data. Howe..