# On the approximation of posterior laws in compound loss models by conditional Wasserstein GANs

arXiv: https://arxiv.org/abs/2608.27229 · HTML: https://mlsanity.com/paper/2608.27229/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 13 of its 46 references that are in the map.
- First posted on arXiv 27 Aug 2026.

## Builds on (most cited first, 13 of 13)

- [Auto-Encoding Variational Bayes](https://mlsanity.com/paper/1312.6114/) (2013)
- [Improved Training of Wasserstein GANs](https://mlsanity.com/paper/1704.00028/) (2017)
- [Variational Inference: A Review for Statisticians](https://mlsanity.com/paper/1601.00670/) (2016)
- [Deep Sets](https://mlsanity.com/paper/1703.06114/) (2017)
- [f-GAN: Training Generative Neural Samplers using Variational Divergence Minimization](https://mlsanity.com/paper/1606.00709/) (2016)
- [The frontier of simulation-based inference](https://mlsanity.com/paper/1911.01429/) (2019)
- [BayesFlow: Learning complex stochastic models with invertible neural networks](https://mlsanity.com/paper/2003.06281/) (2020)
- [Validating Bayesian Inference Algorithms with Simulation-Based Calibration](https://mlsanity.com/paper/1804.06788/) (2018)
- [PacGAN: The power of two samples in generative adversarial networks](https://mlsanity.com/paper/1712.04086/) (2017)
- [Deep Bayesian Inversion](https://mlsanity.com/paper/1811.05910/) (2018)
- [Graphical Test for Discrete Uniformity and its Applications in Goodness of Fit Evaluation and Multiple Sample Comparison](https://mlsanity.com/paper/2103.10522/) (2021)
- [Simulation-Based Calibration Checking for Bayesian Computation: The Choice of Test Quantities Shapes Sensitivity](https://mlsanity.com/paper/2211.02383/) (2022)
- [Machine Learning with High-Cardinality Categorical Features in Actuarial Applications](https://mlsanity.com/paper/2301.12710/) (2023)

## Abstract (arXiv)

Bayesian inference in compound loss models must often be repeated across policies, market scenarios, and prior specifications. Outside conjugate cases, this may require repeated numerical integration or Markov chain Monte Carlo (MCMC). We formulate this problem as amortized posterior approximation and construct a conditional Wasserstein generative adversarial network conditioned on sufficient statistics, prior mean and coefficient of variation, and mixture weights of prior families. Notably, a single shared generator is able to approximate the posterior laws of both the Poisson intensity and the Pareto shape parameter under mixtures of Gamma, inverse-Gaussian, and lognormal priors. We assess the approximation by simulation-based calibration and by comparisons with analytical posteriors, deterministic quadrature, and extensive MCMC simulations. In an application to data on extreme natural catastrophe losses, we produce rolling one-year posterior predictive distributions, and examine the effects of heavy-tailed severity and prior-family uncertainty on aggregate tail risk.