Explanipedia

On the Evolution of Data Breach Reporting Patterns and Frequency in the United States: A Cross-State Analysis Open

Benjamin Avanzi, Xingyun Tan, Greg Taylor, Bernard Wong · 2025

Machine Learning with High-Cardinality Categorical Features in Actuarial Applications Open

Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong · 2024

High-cardinality categorical features are pervasive in actuarial data (e.g., occupation in commercial property insurance). Standard categorical encoding methods like one-hot encoding are inadequate in these settings. In this work, we prese…

On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis Open

Benjamin Avanzi, Xingyun Tan, Greg Taylor, Bernard Wong · 2023

Understanding the emergence of data breaches is crucial for cyber insurance. However, analyses of data breach frequency trends in the current literature lead to contradictory conclusions. We put forward that those discrepancies may be (at …

Stochastic loss reserving with mixture density neural networks Open

Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor, Bernard Wong · 2022

Stochastic loss reserving with mixture density neural networks Open

Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor, Bernard Wong · 2021

Neural networks offer a versatile, flexible and accurate approach to loss reserving. However, such applications have focused primarily on the (important) problem of fitting accurate central estimates of the outstanding claims. In practice,…

SynthETIC: An individual insurance claim simulator with feature control Open

Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong · 2021

On the optimality of joint periodic and extraordinary dividend strategies Open

Benjamin Avanzi, Hayden Lau, Bernard Wong · 2021

On the modelling of multivariate counts with Cox processes and dependent shot noise intensities Open

Benjamin Avanzi, Greg Taylor, Bernard Wong, Xinda Yang · 2021

Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs Open

Benjamin Avanzi, Hayden Lau, Bernard Wong · 2021

Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerbe…

A counterexample to the existence of a general central limit theorem for pairwise independent identically distributed random variables Open

Benjamin Avanzi, Guillaume Boglioni Beaulieu, Pierre Lafaye de Micheaux, Frédéric Ouimet, Bernard Wong · 2021

SynthETIC: an individual insurance claim simulator with feature control Open

Benjamin Avanzi, Gregory Clive Taylor, Melantha Wang, Bernard Wong · 2020

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 claims, or large claim triangles. In short, they are likely…

On unbalanced data and common shock models in stochastic loss reserving Open

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong · 2020

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 structural dependence coming from known relationships. In …

Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework Open

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian · 2020

On the optimality of joint periodic and extraordinary dividend strategies Open

Benjamin Avanzi, Hayden Lau, Bernard Wong · 2020

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 transaction costs. However, if the surplus hits 0 then ruin occ…

On the modelling of multivariate counts with Cox processes and dependent shot noise intensities Open

Benjamin Avanzi, Gregory Clive Taylor, Bernard Wong, Xinda Yang · 2020

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 noise intensities to jointly model the arrival process of cou…

A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving Open

Benjamin Avanzi, G. B. Taylor, Phuong Anh Vu, Bernard Wong · 2020

Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework Open

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian · 2020

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 extend the Markov-modulated Poisson process framework throug…

A Counterexample to the Central Limit Theorem for Pairwise Independent Random Variables Having a Common Absolutely Continuous Arbitrary Margin Open

Benjamin Avanzi, Guillaume Boglioni Beaulieu, Pierre Lafaye de Micheaux, Bernard Wong · 2020

A Multivariate Evolutionary Generalised Linear Model Framework with Adaptive Estimation for Claims Reserving Open

Benjamin Avanzi, Gregory Clive Taylor, Phuong Anh Vu, Bernard Wong · 2019

A Multivariate Micro-Level Insurance Counts Model With a Cox Process Approach Open

Benjamin Avanzi, Gregory Clive Taylor, Bernard Wong, Xinda Yang · 2019

Inference of Counts Using Markov-Modulated Non-Homogeneous Poisson Processes Open

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian · 2019

COMMON SHOCK MODELS FOR CLAIM ARRAYS Open

Benjamin Avanzi, Greg Taylor, Bernard Wong · 2018

The paper is concerned with multiple claim arrays. In recognition of the extensive use by practitioners of large correlation matrices for the estimation of diversification benefits in capital modelling, we develop a methodology for the con…

ON THE DISTRIBUTION OF THE EXCEDENTS OF FUNDS WITH ASSETS AND LIABILITIES IN PRESENCE OF SOLVENCY AND RECOVERY REQUIREMENTS Open

Benjamin Avanzi, Lars Henriksen, Bernard Wong · 2018

We consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The company that is considered is allowed to distribute excess profits (traditionally referred…

Optimal dividends under Erlang(2) inter-dividend decision times Open

Benjamin Avanzi, Vincent Tu, Bernard Wong · 2018

Optimal Periodic Dividend Strategies for Spectrally Positive Lévy Risk Processes With Fixed Transaction Costs Open

Benjamin Avanzi, Hayden Lau, Bernard Wong · 2018

How to proxy the unmodellable: Analysing granular insurance claims in the presence of unobservable or complex drivers Open

Benjamin Avanzi, Greg Taylor, Bernard Wong, Alan Xian · 2018

On Unbalanced Data and Common Shock Models in Stochastic Loss Reserving Open

Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong · 2018

Optimal Dividends Under Erlang(2) Inter-Dividend Decision Times Open

Benjamin Avanzi, Vincent Tu, Bernard Wong · 2017

On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models Open

Benjamin Avanzi, José Luis Pérez, Bernard Wong, Kazutoshi Yamazaki · 2016

A Note on Realistic Dividends in Actuarial Surplus Models Open

Benjamin Avanzi, Vincent Tu, Bernard Wong · 2016

Because of the profitable nature of risk businesses in the long term, de Finetti suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to infinity. These leakages wer…

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