Extreme Value Theory Approaches to Insurance in a Catastrophic ENvironment

Distributional refinement network: Distributional forecasting via deep learning

B Avanzi, ET Dong, PJ Laub, B Wong

2026-05-01

A key task in actuarial modelling involves modelling the distributional properties of losses. Classic (distributional) regression ..

On the Evolution of Data Breach Reporting Patterns and Frequency in the United States: A Cross-State Analysis

B Avanzi, X Tan, G Taylor, B Wong

2025-01-01

Understanding the emergence of data breaches is crucial for cyber insurance and risk management. However, analyses of data breach ..

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications

Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong

2024-05-01

High-cardinality categorical features are pervasive in actuarial data (e.g., occupation in commercial property insurance). Standar..

Optimal reinsurance design under solvency constraints

Benjamin Avanzi, Hayden Lau, Mogens Steffensen

2024-04-20

We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper i..

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..

Ensemble distributional forecasting for insurance loss reserving

B Avanzi, Y Li, B Wong, A Xian

2024-01-01

Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, differe..

Optimal strategies for the decumulation of retirement savings under differing appetites for liquidity and investment risks

Benjamin Avanzi, Lewis De Felice

2024-01-01

A retiree’s appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strat..

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..

Pricing extreme mortality risk in the wake of the COVID-19 pandemic

H Li, H Liu, Q Tang, Z Yuan

2023-01-01

In pricing extreme mortality risk, it is commonly assumed that interest rate and mortality rate are independent. However, the COVI..

Stable dividends under linear-quadratic optimisation

B Avanzi, DK Falden, M Steffensen

2023-01-01

The optimisation criterion for dividends from a risky business is most often formalised in terms of the expected present value of ..

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 ..

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 ..

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..