22 citations · 155 across the 27 of their papers we have counts for
6 papers · 1 filter
Stable Dividends under Linear-Quadratic Optimization
Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen
The optimization criterion for dividends from a risky business is most often formalized in terms of the expected present value of future dividends. That criterion disregards a pote…
Ensemble distributional forecasting for insurance loss reserving
Benjamin Avanzi, Yanfeng Li, Bernard Wong +1
Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing d…
Optimal reinsurance design under solvency constraints
Benjamin Avanzi, Hayden Lau, Mogens Steffensen
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio probl…
On the surplus management of funds with assets and liabilities in presence of solvency requirements
Benjamin Avanzi, Ping Chen, Lars Frederik Brandt Henriksen +1
In this paper we consider a company whose assets and liabilities evolve according to a correlated bivariate geometric Brownian motion, such as in Gerber and Shiu (2003). We determi…
Detection and treatment of outliers for multivariate robust loss reserving
Benjamin Avanzi, Mark Lavender, Greg Taylor +1
Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunat…
On the impact of outliers in loss reserving
Benjamin Avanzi, Mark Lavender, Greg Taylor +1
The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. It has been shown that the popular chain-ladder…