All Stories

  1. Stable dividends under linear-quadratic optimisation

    Article • Quantitative Finance, July 2023, Taylor & Francis

    Professor Benjamin Avanzi

  2. On the surplus management of funds with assets and liabilities in presence of solvency requirements

    Article • Scandinavian Actuarial Journal, October 2022, Taylor & Francis

    Professor Benjamin Avanzi

  3. Stochastic loss reserving with mixture density neural networks

    Article • Insurance Mathematics and Economics, July 2022, Elsevier

    Professor Benjamin Avanzi

  4. On the optimality of joint periodic and extraordinary dividend strategies

    Article • European Journal of Operational Research, December 2021, Elsevier

    Professor Benjamin Avanzi

  5. SynthETIC: An individual insurance claim simulator with feature control

    Article • Insurance Mathematics and Economics, September 2021, Elsevier

    Professor Benjamin Avanzi

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

    Article • Journal of Mathematical Analysis and Applications, July 2021, Elsevier

    Professor Benjamin Avanzi

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

    Article • Insurance Mathematics and Economics, July 2021, Elsevier

    Professor Benjamin Avanzi

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

    Article • European Journal of Operational Research, April 2021, Elsevier

    Professor Benjamin Avanzi

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

    Article • Scandinavian Actuarial Journal, February 2021, Taylor & Francis

    Professor Benjamin Avanzi

  10. On unbalanced data and common shock models in stochastic loss reserving

    Article • Annals of Actuarial Science, July 2020, Cambridge University Press

    Professor Benjamin Avanzi

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

    Article • Insurance Mathematics and Economics, July 2020, Elsevier

    Professor Benjamin Avanzi

  12. Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs

    Article • Insurance Mathematics and Economics, July 2020, Elsevier

    Professor Benjamin Avanzi

  13. COMMON SHOCK MODELS FOR CLAIM ARRAYS

    Article • Astin Bulletin, June 2018, Cambridge University Press

    Professor Benjamin Avanzi

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

    Article • Astin Bulletin, April 2018, Cambridge University Press

    Professor Benjamin Avanzi

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

    Article • Insurance Mathematics and Economics, March 2018, Elsevier

    Professor Benjamin Avanzi

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

    Article • Insurance Mathematics and Economics, January 2017, Elsevier

    Professor Benjamin Avanzi, Prof. José Luis Pérez

  17. A micro-level claim count model with overdispersion and reporting delays

    Article • Insurance Mathematics and Economics, November 2016, Elsevier

    Professor Benjamin Avanzi

  18. Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach

    Article • Insurance Mathematics and Economics, November 2016, Elsevier

    Professor Benjamin Avanzi

  19. A Note on Realistic Dividends in Actuarial Surplus Models

    Article • Risks, October 2016, MDPI AG

    Professor Benjamin Avanzi

  20. On the Interface Between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs

    Article • Astin Bulletin, June 2016, Cambridge University Press

    Professor Benjamin Avanzi

  21. Correlations Between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations

    Article • Astin Bulletin, January 2016, Cambridge University Press

    Professor Benjamin Avanzi

  22. On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive LLvy Processes

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Professor Benjamin Avanzi

  23. On the Distribution of the Excedents of Funds with Assets and Liabilities in Presence of Solvency and Recovery Requirements

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Professor Benjamin Avanzi

  24. Common Shock Models for Claim Arrays

    Article • SSRN Electronic Journal, January 2016, Elsevier

    Professor Benjamin Avanzi

  25. Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas

    Article • Annals of Actuarial Science, December 2015, Cambridge University Press

    Professor Benjamin Avanzi

  26. A Note on Realistic Dividends in Actuarial Surplus Models

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Benjamin Avanzi

  27. Is Gamma Frailty a Good Model? Evidence from Canadian Pension Funds

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Benjamin Avanzi

  28. Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Benjamin Avanzi

  29. A Micro-Level Claim Count Model with Overdispersion and Reporting Delays

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Benjamin Avanzi

  30. Annuitisation and cross-subsidies in a two-tiered retirement saving system

    Article • Annals of Actuarial Science, August 2014, Cambridge University Press

    Professor Benjamin Avanzi

  31. Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk

    Article • Production and Operations Management, April 2014, Wiley

    Professor Benjamin Avanzi

  32. On optimal periodic dividend strategies in the dual model with diffusion

    Article • Insurance Mathematics and Economics, March 2014, Elsevier

    Professor Benjamin Avanzi

  33. Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean LLvy Copulas

    Article • SSRN Electronic Journal, January 2014, Elsevier

    Professor Benjamin Avanzi

  34. Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach

    Article • SSRN Electronic Journal, January 2014, Elsevier

    Professor Benjamin Avanzi

  35. Real options at the interface of finance and operations: exploiting embedded supply-chain real options to gain competitiveness

    Article • European Journal of Finance, September 2013, Taylor & Francis

    Professor Benjamin Avanzi

  36. On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion

    Article • SSRN Electronic Journal, January 2013, Elsevier

    Professor Benjamin Avanzi

  37. On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency

    Article • Insurance Mathematics and Economics, January 2013, Elsevier

    Professor Benjamin Avanzi

  38. On a mean reverting dividend strategy with Brownian motion

    Article • Insurance Mathematics and Economics, September 2012, Elsevier

    Professor Benjamin Avanzi

  39. Optimal Sourcing and Lead-Time Reduction Under Evolutionary Demand Risk

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Professor Benjamin Avanzi

  40. On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Professor Benjamin Avanzi

  41. On a Generalization of the World Bank Model of Retirement Savings: A Taxonomy of Systems with Two Cross-Subsidized Tiers

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Professor Benjamin Avanzi

  42. Real Options at the Interface of Finance and Operations: Exploiting Embedded Supply Chain Real Options to Gain Competitiveness

    Article • SSRN Electronic Journal, January 2012, Elsevier

    Professor Benjamin Avanzi

  43. Annuitization and Cross-Subsidies in the Swiss System of Retirement Savings

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Professor Benjamin Avanzi

  44. Modelling Dependence in Insurance Claims Processes with Lévy Copulas

    Article • SSRN Electronic Journal, January 2011, Elsevier

    Professor Benjamin Avanzi

  45. What is it That Makes the Swiss Annuitize? A Description of the Swiss Retirement System

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Benjamin Avanzi

  46. Optimal Dividends and Capital Injections in the Dual Model with Diffusion

    Article • SSRN Electronic Journal, January 2010, Elsevier

    Professor Benjamin Avanzi

  47. Strategies for Dividend Distribution: A Review

    Article • North American Actuarial Journal, April 2009, Taylor & Francis

    Professor Benjamin Avanzi

  48. On a Mean Reverting Dividend Strategy with Brownian Motion

    Article • SSRN Electronic Journal, January 2009, Elsevier

    Professor Benjamin Avanzi

  49. Optimal Dividends in the Dual Model with Diffusion

    Article • Astin Bulletin, November 2008, Cambridge University Press

    Professor Benjamin Avanzi

  50. Optimal Dividends in the Dual Model with Diffusion

    Article • Astin Bulletin, November 2008, Cambridge University Press

    Professor Benjamin Avanzi

  51. Constructing useful theory: The case of Six Sigma

    Article • Operations Management Research, July 2008, Springer Science + Business Media

    Professor Benjamin Avanzi

  52. A Review of Modern Collective Risk Theory with Dividend Strategies

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Benjamin Avanzi

  53. Optimal Dividends in the Dual Model with Diffusion

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Benjamin Avanzi

  54. Rethinking Lead Time Reduction Investment: A Real Options Perspective

    Article • SSRN Electronic Journal, January 2008, Elsevier

    Professor Benjamin Avanzi

  55. Optimal dividends in the dual model

    Article • Insurance Mathematics and Economics, July 2007, Elsevier

    Professor Benjamin Avanzi