9 citations · 9 across the 1 of their papers we have counts for
3 papers
A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
Benjamin Avanzi, Gregory Clive Taylor, Phuong Anh Vu +1
In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunc…
Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework
Benjamin Avanzi, Greg Taylor, Bernard Wong +1
The Markov-modulated Poisson process is utilised for count modelling in a variety of areas such as queueing, reliability, network and insurance claims analysis. In this paper, we e…
Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs
Benjamin Avanzi, Hayden Lau, Bernard Wong
We consider the general class of spectrally positive Lévy risk processes, which are appropriate for businesses with continuous expenses and lump sum gains whose timing and sizes ar…