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  |  2021  |  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 ..

On unbalanced data and common shock models in stochastic loss reserving

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

Journal article  |  2021  |  Annals of Actuarial Science

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

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..

COMMON SHOCK MODELS FOR CLAIM ARRAYS

Benjamin Avanzi, Greg Taylor, Bernard Wong

Journal article  |  2018  |  Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association

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: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association

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

Because of the profitable nature of risk businesses in the long term, de Finetti suggested that surplus models should allow for ca..

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

Benjamin Avanzi, Bernard Wong, Xinda Yang

Journal article  |  2016  |  Insurance: Mathematics and Economics

The accurate estimation of outstanding liabilities of an insurance company is an essential task. This is to meet regulatory requir..