Grant number: DP200101859 | Funding period: 2020 - 2023
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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 ..
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..
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..
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..
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..
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..
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..
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 ..
We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous exp..