Extreme Value Theory Approaches to Insurance in a Catastrophic ENvironment

Stochastic loss reserving with mixture density neural networks

Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor, Bernard Wong

2022-07-01

In recent years, new techniques based on artificial intelligence and machine learning in particular have been making a revolution ..

SPLICE: a synthetic paid loss and incurred cost experience simulator

Benjamin Avanzi, Greg Taylor, Melantha Wang

2022-05-23

In this paper, we first introduce a simulator of cases estimates of incurred losses, called SPLICE (Synthetic Paid Loss and Incurr..

On the optimality of joint periodic and extraordinary dividend strategies

Benjamin Avanzi, Hayden Lau, Bernard Wong

2021-08-13

In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion (with a drift). Owners can take ca..

SynthETIC: An individual insurance claim simulator with feature control

Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong

2021-07-07

Recent years have seen rapid increase in the application of machine learning to insurance loss reserving. They yield most value wh..

On the modelling of multivariate counts with Cox processes and dependent shot noise intensities

Benjamin Avanzi, Greg Taylor, Bernard Wong, Xinda Yang

2021-04-03

In this paper, we develop a method to model and estimate several, dependent count processes, using granular data. Specifically, we..

On unbalanced data and common shock models in stochastic loss reserving

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

2021-03-01

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

A counterexample to the existence of a general central limit theorem for pairwise independent identically distributed random variables

Benjamin Avanzi, Guillaume Boglioni Beaulieu, Pierre Lafaye de Micheaux, Frederic Ouimet, Bernard Wong

2021-02-02

The classical Central Limit Theorem (CLT) is one of the most fundamental results in statistics. It states that the standardized sa..

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

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

2020-07-01

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

2020-07-01

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