22 citations · 155 across the 27 of their papers we have counts for
9 papers · 1 filter
SynthETIC: an individual insurance claim simulator with feature control
Benjamin Avanzi, Gregory Clive Taylor, Melantha Wang +1
Recent years have seen rapid increase in the application of machine learning to insurance loss reserving. They yield most value when applied to large data sets, such as individual…
On the optimality of joint periodic and extraordinary dividend strategies
Benjamin Avanzi, Hayden Lau, Bernard Wong
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion. Owners can take cash out of the surplus in the form of "dividends", subject to tran…
On unbalanced data and common shock models in stochastic loss reserving
Benjamin Avanzi, Gregory Clive Taylor, Phuong Anh Vu +1
Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture…
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…
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Benjamin Avanzi, Gregory Clive Taylor, Bernard Wong +1
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot no…
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
Benjamin Avanzi, Hayden Lau, Bernard Wong
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, div…