Modelling Claim Dependencies for the General Insurance Industry With Economic Capital in View: An Innovative Approach With Stochastic Processes

On the impact of outliers in loss reserving

B Avanzi, M Lavender, G Taylor, B Wong

2024-04-01

The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challeng..

Detection and treatment of outliers for multivariate robust loss reserving

B Avanzi, M Lavender, G Taylor, B Wong

2024-03-24

Traditional techniques for calculating outstanding claim liabilities such as the chain-ladder are notoriously at risk of being dis..

On the surplus management of funds with assets and liabilities in presence of solvency requirements

B Avanzi, P Chen, LFB Henriksen, B Wong

2023-01-01

In this paper, we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian mo..

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

2022-01-01

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

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..

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

B Avanzi, G Boglioni Beaulieu, P Lafaye de Micheaux, F Ouimet, B Wong

2021-07-01

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

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..

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

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian

2021-04-01

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

2021-03-01

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

Optimal periodic dividend strategies for spectrally negative Levy processes with fixed transaction costs

Benjamin Avanzi, Hayden Lau, Bernard Wong

2021-02-04

Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid ..

SynthETIC: A Simulator of Synthetic Experience Tracking Insurance Claims

Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong

2020-09-14

In this blog we introduce the individual claim simulator SynthETIC(Avanzi et al. 2020b) (Synthetic Experience Tracking Insurance C..

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..

COMMON SHOCK MODELS FOR CLAIM ARRAYS

Benjamin Avanzi, Greg Taylor, Bernard Wong

2018-09-01

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

2018-05-01

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

2018-03-01

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

2017-01-01

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

2016-12-01

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

2016-11-01

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

Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach

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

2016-11-01

Stochastic loss reserving with dependence has received increased attention in the last decade. A number of parametric multivariate..

On the Interface Between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs

Benjamin Avanzi, Vincent Tu, Bernard Wong

2016-09-01

In the classical optimal dividends problem, dividend decisions are allowed to be made at any point in time — according to a contin..

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

Benjamin Avanzi, Greg Taylor, Bernard Wong

2016-05-01

This paper is concerned with dependency between business segments in the non-life insurance industry. When considering the busines..

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

Benjamin Avanzi, Jamie Tao, Bernard Wong, Xinda Yang

2016-03-01

The class of spectrally positive Lévy processes is a frequent choice for modelling loss processes in areas such as insurance or op..