Prof Benjamin Avanzi

Benjamin Avanzi PhD MAICD joined the University of Melbourne as Professor of Actuarial Studies in 2020. He worked as an actuarial consultant in Switzerland and Canada, was Executive Chairman of the Board of a Swiss pension fund from 2006 to 2008, and held full-time academic positions in Australia and Canada since 2008.

Benjamin is a member of the Swiss Association of Actuaries, an Affiliate member of the Australian Actuaries Institute, an Academic member of the Casualty Actuarial Society, as well as a member of ARIA and the ASTIN section of the IAA. He has ongoing collaboration with major Australian non-life insurers, including Allianz, Insurance Australia Group, and Suncorp. Benjamin has published in top actuarial and operations management journals, and he was awarded (along with co-authors) the Hachemeister Prize by the Casualty Actuarial Society in 2017, and the Taylor Fry General Insurance Seminar Silver Prize in 2018. He is an Editor of the ASTIN Bulletin, an Associate Editor of Insurance: Mathematics and Economics, as well as a member of the Editorial Board of the open access journal Risks.

Find out more about Benjamin Avanzi's experience

Benjamin Avanzi's highlights

FEATURED Journal article

Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework

Benjamin Avanzi's selected work

Extreme Value Theory Approaches To Insurance In A Catastrophic Environment

Research Grant

A multivariate evolutionary generalised linear model framework with adaptive estimation fo..

Journal article

Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixe..

Journal article

On unbalanced data and common shock models in stochastic loss reserving

Journal article

COMMON SHOCK MODELS FOR CLAIM ARRAYS

Journal article

On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of S..

Journal article

Projects

Displaying the most recent project by Benjamin Avanzi.

Extreme Value Theory Approaches To Insurance In A Catastrophic Environment

2020 - 2023

Active

1

Projects

Project Types

1

Research Grant

Additional Information

National Competitive Grants: 2020 – 2022: Australian Research Council (ARC) Discovery Project DP200101859 / AUD 330,000 from ARC / Extreme Value Approaches to Catastrophe Risks / Prof Qihe Tang (UNSW); A/Prof Benjamin Avanzi (University of Melbourne); A/Prof Bernard Wong (UNSW); A/Prof Jose Blanchet (Stanford) 2015 – 2020: Natural Sciences and Engineering Research Council (NSERC) of Canada / CAD 70,000 / Actuarial methods for assessing diversification effects in insurance / Note: Funding for 2016–2020 (CAD 56,000) lapsed due to my return to Australia. 2013 – 2019: Australian Research Council (ARC) Linkage Project LP130100723 / AUD 232,449 from ARC, and AUD 88,412 from Industry Partners / Modelling claim dependencies for the general insurance industry with economic capital in view: an innovative approach with stochastic processes / Dr Benjamin Avanzi (UNSW); Dr Bernard Wong (UNSW); Dr Gregory Taylor (UNSW); Mr Stephen Britt (Insurance Australia Group Ltd); Mr Yusuf Cakan (Suncorp Group Ltd); Mr David Koob (Allianz Australia Ltd)

Scholarly Works

Displaying the 34 most recent scholarly works by Benjamin Avanzi.

Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian

Journal article | 2020 | European Journal of Operational Research

The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network ..

A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong

Journal article | 2020 | Insurance: Mathematics and Economics

In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows ..

Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs

Benjamin Avanzi, Hayden Lau, Bernard Wong

Journal article | 2020 | Insurance: Mathematics and Economics

We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous exp..

On unbalanced data and common shock models in stochastic loss reserving

Benjamin Avanzi, Gregory Clive Taylor, Anh Vu Phuong, Bernard Wong

Journal article | 2020 | Annals of Actuarial Science

Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main ad..

COMMON SHOCK MODELS FOR CLAIM ARRAYS

Benjamin Avanzi, Greg Taylor, Bernard Wong

Journal article | 2018 | ASTIN Bulletin

The paper is concerned with multiple claim arrays. In recognition of the extensive use by practitioners of large correlation matri..

On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements

Benjamin Avanzi, Lars Frederik Brandt Henriksen, Bernard Wong

Journal article | 2018 | ASTIN Bulletin

We consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber an..

Optimal dividends under Erlang(2) inter-dividend decision times

Benjamin Avanzi, Vincent Tu, Bernard Wong

Journal article | 2018 | Insurance: Mathematics and Economics

In the classical dividends problem, dividend decisions are allowed to be made at any time. Under such a framework, the optimal div..

On optimal joint reflective and refractive dividend strategies in spectrally positive Levy models

Benjamin Avanzi, Jose-Luis Perez, Bernard Wong, Kazutoshi Yamazaki

Journal article | 2017 | Insurance: Mathematics and Economics

The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, nume..

A Note on Realistic Dividends in Actuarial Surplus Models

Benjamin Avanzi, Vincent Tu, Bernard Wong

Journal article | 2016 | Risks

Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach

Benjamin Avanzi, Greg Taylor, Anh Vu Phuong, Bernard Wong

Journal article | 2016 | Insurance: Mathematics and Economics

A micro-level claim count model with overdispersion and reporting delays

Benjamin Avanzi, Bernard Wong, Xinda Yang

Journal article | 2016 | Insurance: Mathematics and Economics

ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS

Benjamin Avanzi, Vincent Tu, Bernard Wong

Journal article | 2016 | ASTIN Bulletin

CORRELATIONS BETWEEN INSURANCE LINES OF BUSINESS: AN ILLUSION OR A REAL PHENOMENON? SOME METHODOLOGICAL CONSIDERATIONS

Benjamin Avanzi, Greg Taylor, Bernard Wong

Journal article | 2016 | ASTIN Bulletin

Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Levy copulas

Benjamin Avanzi, Jamie Tao, Bernard Wong, Xinda Yang

Journal article | 2016 | Annals of Actuarial Science

Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk

Suzanne de Treville, Norman Schuerhoff, Lenos Trigeorgis, Benjamin Avanzi

Journal article | 2014 | Production and Operations Management

Annuitisation and cross-subsidies in a two-tiered retirement saving system

Benjamin Avanzi, Sachi Purcal

Journal article | 2014 | Annals of Actuarial Science

AbstractWe develop a generalisation of the World Bank (1994) model of forced saving for retirement. This broader model consists of..

On optimal periodic dividend strategies in the dual model with diffusion

Benjamin Avanzi, Vincent Tu, Bernard Wong

Journal article | 2014 | Insurance: Mathematics and Economics

Real options at the interface of finance and operations: exploiting embedded supply-chain real options to gain competitiveness

Benjamin Avanzi, Isik Bicer, Suzanne de Treville, Lenos Trigeorgis

Journal article | 2013 | The European Journal of Finance

On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

Benjamin Avanzi, Eric CK Cheung, Bernard Wong, Jae-Kyung Woo

Journal article | 2013 | Insurance: Mathematics and Economics

On a mean reverting dividend strategy with Brownian motion

Benjamin Avanzi, Bernard Wong

Journal article | 2012 | Insurance: Mathematics and Economics

OPTIMAL DIVIDENDS AND CAPITAL INJECTIONS IN THE DUAL MODEL WITH DIFFUSION

Benjamin Avanzi, Jonathan Shen, Bernard Wong

Journal article | 2011 | ASTIN Bulletin

MODELLING DEPENDENCE IN INSURANCE CLAIMS PROCESSES WITH LEVY COPULAS

Benjamin Avanzi, Luke C Cassar, Bernard Wong

Journal article | 2011 | ASTIN Bulletin

What is it That Makes the Swiss Annuitize? A Description of the Swiss Retirement System

Benjamin Avanzi

Journal article | 2010 | Australian Actuarial Journal

Constructing useful theory: The case of Six Sigma

S de Treville, NM Edelson, AN Kharkar, B Avanzi

Journal article | 2009 | Operations Management Research

Strategies for Dividend Distribution: A Review

B Avanzi

Journal article | 2009 | North American Actuarial Journal

OPTIMAL DIVIDENDS IN THE DUAL MODEL WITH DIFFUSION

Benjamin Avanzi, Hans U Gerber

Journal article | 2008 | ASTIN Bulletin

Optimal dividends in the dual model

Benjamin Avanzi, Hans U Gerber, Elias SW Shiu

Journal article | 2007 | Insurance: Mathematics and Economics