6 papers
Balancing Shareholder Value and Financial Stability under a Reduced-Form Liquidation Model
Benjamin Avanzi, Bernard Wong, Jinxia Zhu
Modern resolution and prudential regimes increasingly wind up a distressed firm not at a single hard threshold but through a graduated, state-dependent process. We study how the de…
When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
Benjamin Avanzi, Debbie Kusch Falden, Mogens Steffensen
In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss…
Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
Benjamin Avanzi, Yanfeng Li, Greg Taylor +1
Climate change is expected to significantly affect the physical, financial, and economic environments over the long term, posing risks to the financial health of general insurers.…
Reinforcement Learning for Micro-Level Claims Reserving
Benjamin Avanzi, Ronald Richman, Bernard Wong +2
Outstanding claim liabilities are revised repeatedly as claims develop, yet most modern reserving models are trained as one-shot predictors and typically learn only from settled cl…
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
Benjamin Avanzi, Matthew Lambrianidis, Greg Taylor +1
The use of neural networks trained on individual claims data has become increasingly popular in the actuarial reserving literature. We consider how to best input historical payment…
Machine Learning with Multitype Protected Attributes: Intersectional Fairness through Regularisation
Ho Ming Lee, Katrien Antonio, Benjamin Avanzi +2
Ensuring equitable treatment (fairness) across protected attributes (such as gender or ethnicity) is a critical issue in machine learning. Most existing literature focuses on binar…