Publications

Books

Date Title Author Categories
Mar 3, 2025 AI Tools for Actuaries Wüthrich, Mario V., Richman, R., Avanzi, B., Lindholm, M., Mayer, M., Schelldorfer, J., Scognamiglio, S. Machine Learning
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Peer-Reviewed Publications

Date Title journal Author Categories
Apr 11, 2025 On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis, North American Actuarial Journal, in press North American Actuarial Journal Avanzi, B., Tan, X., Taylor, G., Wong, B. Reserving, Cyber, ARC DP200101859
Jul 3, 2024 Ensemble distributional forecasting for insurance loss reserving Scandinavian Actuarial Journal, Vol. 2024, Issue 9, pp. 971-1012 Avanzi, B., Li, Y., Wong, B., Xian, A. Reserving, Machine Learning, R Package, ARC DP200101859
May 25, 2024 Optimal Strategies for the Decumulation of Retirement Savings under Differing Appetites for Liquidity and Investment Risks Decisions in Economics and Finance, in press Avanzi, B., De Felice, L. Pensions and Retirement, ARC DP200101859
Apr 11, 2024 Machine learning with high-cardinality categorical features in actuarial applications ASTIN Bulletin, Vol. 54, pp.213-238 Avanzi, B., Taylor, G., Wang, M., Wong, B. Loss Processes, Machine Learning, ARC DP200101859
Oct 6, 2023 Optimal reinsurance design under solvency constraints Scandinavian Actuarial Journal, 2024(4), 383–416 Avanzi, B., Lau, H., Steffensen, M. Reinsurance, Optimal Control, ARC DP200101859
Sep 5, 2023 On the impact of outliers in loss reserving European Actuarial Journal, Vol. 14, pp. 257-296 Avanzi, B., Lavender, M., Taylor, G., Wong, B. Reserving, ARC LP130100723, ARC DP200101859
Aug 24, 2023 Detection and treatment of outliers for multivariate robust loss reserving Annals of Actuarial Science, Vol. 18, pp. 102-125 Avanzi, B., Lavender, M., Taylor, G., Wong, B. Reserving, Stochastic Dependence, ARC LP130100723, ARC DP200101859
Jul 24, 2023 Stable Dividends under Linear-Quadratic Optimization Quantitative Finance, Vol. 23, Issue 9, pp. 1199-1215 Avanzi, B., Kusch Falden, D., Steffensen, M. Capital Modelling, Dividends, Optimal Control, ARC DP200101859
Oct 16, 2022 On the surplus management of funds with assets and liabilities in presence of solvency requirements Scandinavian Actuarial Journal, Volume 2023, Issue 5, pp. 477-508 Avanzi, B., Chen, P. Henriksen, L. F. B., Wong, B. Capital Modelling, Dividends, Pensions and Retirement, Optimal Control, ARC LP130100723, ARC DP200101859
Jul 1, 2022 Stochastic loss reserving with mixture density neural networks Insurance: Mathematics and Economics, Vol 105, pp. 144-174 Al-Mudafer, M. T., Avanzi, B., Taylor, G., Wong, B. Reserving, Machine Learning, ARC LP130100723, ARC DP200101859
May 23, 2022 SPLICE: a synthetic paid loss and incurred cost experience simulator Annals of Actuarial Science (Actuarial Software), Vol. 17, Issue 1, pp.7-35 Avanzi, B., Taylor, G., Wang, M. Reserving, R Package, ARC LP130100723, ARC DP200101859
Dec 16, 2021 On the optimality of joint periodic and extraordinary dividend strategies European Journal of Operational Research, Vol. 295, Issue 3, pp. 1189-1210 Avanzi, B., Lau, H.., Wong, B. Capital Modelling, Dividends, Optimal Control, ARC LP130100723, ARC DP200101859
Sep 1, 2021 SynthETIC: An individual insurance claim simulator with feature control Insurance: Mathematics and Economics, Vol. 100, pp. 296-308 Avanzi, B., Taylor, G., Wang, M., Wong, B. Reserving, R Package, ARC LP130100723, ARC DP200101859
Jul 1, 2021 A counterexample to the existence of a general central limit theorem for pairwise independent identically distributed random variables Journal of Mathematical Analysis and Applications, Vol. 499, Issue 1, 124982 Avanzi, B., Boglioni Beaulieu, G, Lafaye de Micheaux, P., Ouimet, F., Wong, B. Stochastic Dependence, ARC LP130100723, ARC DP200101859
Jul 1, 2021 On the modelling of multivariate counts with Cox processes and dependent shot noise intensities Insurance: Mathematics and Economics, Vol. 99, pp. 9-24 Avanzi, B., Taylor, G., Wong, B., Yang, X. Reserving, Stochastic Dependence, ARC LP130100723, ARC DP200101859
Apr 1, 2021 Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework European Journal of Operational Research, Vol. 290, Issue 1, pp. 177-195 Avanzi, B., Taylor, B., Wong, B., Xian, A. Loss Processes, ARC LP130100723, ARC DP200101859
Feb 8, 2021 Optimal Periodic Dividend Strategies for Spectrally Negative Lévy Risk Processes With Fixed Transaction Costs Scandinavian Actuarial Journal, Vol. 2021, Issue 8, pp. 645-670 Avanzi, B., Lau, H.., Wong, B. Capital Modelling, Dividends, Optimal Control, ARC LP130100723, ARC DP200101859
Jul 27, 2020 On Unbalanced Data and Common Shock Models in Stochastic Loss Reserving Annals of Actuarial Science, Vol. 15, Issue 1, pp. 173-203 Avanzi, B., Taylor, B., Vu, P. A., Wong, B. Reserving, Stochastic Dependence, ARC LP130100723, ARC DP200101859
Jul 1, 2020 Optimal Periodic Dividend Strategies for Spectrally Positive Lévy Risk Processes With Fixed Transaction Costs Insurance: Mathematics and Economics, Vol. 93, pp. 315-332 Avanzi, B., Lau, H.., Wong, B. Capital Modelling, Dividends, Optimal Control, ARC LP130100723, ARC DP200101859
Jul 1, 2020 A Multivariate Evolutionary Generalised Linear Model Framework with Adaptive Estimation for Claims Reserving Insurance: Mathematics and Economics, Vol. 93, pp. 50-71 Avanzi, B., Taylor, B., Vu P. A., Wong, B. Reserving, Stochastic Dependence, ARC LP130100723, ARC DP200101859
Jun 8, 2018 Common shock models for claim arrays ASTIN Bulletin, Vol 48, Issue 3, pp. 1109-1136 Avanzi, B., Taylor, B., Wong, B. Reserving, Capital Modelling, Stochastic Dependence, ARC LP130100723
Apr 12, 2018 On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements ASTIN Bulletin, Vol. 48, Issue 2, pp. 647-672 Avanzi, B., Henriksen, L. F. B., Wong, B. Capital Modelling, Dividends, Pensions and Retirement, Optimal Control, ARC LP130100723
Mar 1, 2018 Optimal Dividends Under Erlang(2) Inter-Dividend Decision Times Insurance: Mathematics and Economics, Vol 79, pp. 225-242 Avanzi, B., Tu, V., Wong, B. Capital Modelling, Dividends, Optimal Control, ARC LP130100723
Jan 1, 2017 On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models Insurance: Mathematics and Economics, Vol. 72, pp. 148-162 Avanzi, B., Pérez, J.-L., Wong, B., Yamazaki, K. Capital Modelling, Dividends, Optimal Control, ARC LP130100723
Nov 1, 2016 Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach Insurance: Mathematics and Economics, Vol. 71, pp. 63-78 Avanzi, B., Taylor, G., Vu, P. A., Wong, B. Reserving, Stochastic Dependence, ARC LP130100723
Nov 1, 2016 A micro-level claim count model with overdispersion and reporting delays   Avanzi, B., Wong, B., Yang, X. Reserving, ARC LP130100723
Oct 20, 2016 A note on realistic dividends in actuarial surplus models Risks, Vol. 4, Issue 4, Number 37 Avanzi, B., Tu, V., Wong, B. Capital Modelling, Dividends, ARC LP130100723
Jun 13, 2016 On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs ASTIN Bulletin, Vol. 46, Issue 3, pp. 709-746 Avanzi, B., Tu, V., Wong, B. Capital Modelling, Dividends, Optimal Control, ARC LP130100723
Jan 27, 2016 Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations ASTIN Bulletin, Vol. 46, Issue 2, pp. 225-263 Avanzi, B., Taylor, G., Wong, B. Reserving, Capital Modelling, Stochastic Dependence, ARC LP130100723
Dec 11, 2015 Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas Annals of Actuarial Science, Vol. 10, Issue 01, pp. 87-117 Avanzi, B., Tao, J., Wong, B., Yang, X. Stochastic Dependence, Loss Processes, ARC LP130100723
Apr 17, 2015 Optimal dividends in the dual model with diffusion ASTIN Bulletin, Vol. 38, Issue 2, pp. 653-667 Avanzi, B., Gerber, H. U. Capital Modelling, Dividends, Optimal Control
Dec 1, 2014 Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk Production and Operations Management, Vol 23, Issue 12, pp. 2103-2117 de Treville, S., Schürhoff, N., Trigeorgis, L., Avanzi, B. Operations Management
Aug 26, 2014 Annuitisation and cross-subsidies in a two-tiered retirement saving system Annals of Actuarial Science, Vol. 8, Part 2, pp. 234-252 Avanzi, B., Purcal, S. Pensions and Retirement
Mar 1, 2014 On optimal periodic dividend strategies in the dual model with diffusion Insurance Mathematics and Economics, Vol. 55, pp. 210-224 Avanzi, B., Tu, V., Wong, B. Dividends, Optimal Control
Jan 1, 2013 On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency Insurance: Mathematics and Economics, Vol. 52, Issue 1, pp. 98-113 Avanzi, B., Cheung, E. C. K., Wong, B., Woo, J. K. Capital Modelling, Dividends, Optimal Control
Dec 28, 2012 Strategies for Dividend Distribution: A Review North American Actuarial Journal, Vol. 13, Issue 2, pp. 217-251 Avanzi, B. Dividends
Sep 1, 2012 On a mean reverting dividend strategy with Brownian motion Insurance: Mathematics and Economics, Vol. 51, Issue 2, pp. 229-338 Avanzi, B., Wong, B. Capital Modelling, Dividends
Jun 29, 2012 Real Options at the Interface of Finance and Operations: Exploiting Embedded Supply Chain Real Options to Gain Competitiveness European Journal of Finance, Vol. 19, Issue 7-8, pp. 760-778 Avanzi, B., Bicer, I., de Treville, S., Trigeorgis, L. Operations Management
Jan 1, 2011 Optimal dividends and capital injections in the dual model with diffusion ASTIN Bulletin, Vol. 41, Issue 2, pp. 611-644 Avanzi, B., Shen, J., Wong, B. Capital Modelling, Dividends, Optimal Control
Jan 1, 2011 Modelling Dependence in Insurance Claims Processes with Lévy Copulas ASTIN Bulletin, Vol. 41, Issue 2, pp. 575-609 Avanzi, B., Cassar, L. C., Wong, B. Stochastic Dependence, Loss Processes
Jan 1, 2010 What is it that makes the Swiss annuitise? A description of the Swiss retirement system Australian Actuarial Journal, Vol. 16, Issue 2, pp. 135-162 Avanzi, B. Pensions and Retirement
Jul 17, 2008 Constructing useful theory: The case of Six Sigma Operations Management Research, Vol. 1, Issue 1, pp. 15-23 de Treville, S., Edelson, N. M., Kharkar, A. N., Avanzi, B. Operations Management
Jul 1, 2007 Optimal dividends in the dual model Insurance: Mathematics and Economics, Vol. 41, Issue 1, pp. 111-123 Avanzi, B., Gerber, H. U., Shiu, E. S. W. Capital Modelling, Dividends, Optimal Control
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Non-Academic Publications

Date Title outlet Author Categories
Nov 11, 2024 Towards Optimising the Decumulation of Retirement Savings Actuaries Digital - Nov 2024 Avanzi, B., De Felice, L Pensions and Retirement, ARC DP200101859
Sep 14, 2020 SynthETIC: A Simulator of Synthetic Experience Tracking Insurance Claims Kasa AI Blog Avanzi, B., Taylor, G., Wang, M., Wong, B. Reserving, R Package, ARC LP130100723, ARC DP200101859
Apr 16, 2019 How to proxy the unmodellable Actuaries Digital - Apr 2019 Avanzi, B., Taylor, G., Wong, B., Xian, A. Loss Processes, ARC LP130100723, ARC DP200101859
Dec 14, 2016 Construction of detailed correlation structures across GI business segments Actuaries Digital - Dec 2016 Avanzi, B., Taylor, G., Wong, B. Reserving, ARC LP130100723
Sep 30, 2015 Are correlations real or imagined? Actuaries Digital - Sep 2015 Avanzi, B., Taylor, G., Wong, B. Reserving, Capital Modelling, Stochastic Dependence, ARC LP130100723
Aug 15, 2014 Research into claim Dependencies: an indsustry and academic collaboration Actuaries - August, pp. 9-11 Avanzi, B., Taylor, G., Wong, B. Reserving, ARC LP130100723
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