Benjamin Avanzi

University of Melbourne - Centre for Actuarial Studies

Melbourne, 3010

Australia

http://www.benjaminavanzi.com

SCHOLARLY PAPERS

31

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7,400

SSRN CITATIONS
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Top 14,564

in Total Papers Citations

36

CROSSREF CITATIONS

58

Scholarly Papers (31)

1.
Downloads 1,144 (32,940)
Citation 20

Strategies for Dividend Distribution: A Review

North American Actuarial Journal, Vol. 13, No. 2, pp. 217-251
Number of pages: 44 Posted: 23 Jan 2009 Last Revised: 09 Sep 2009
Benjamin Avanzi
University of Melbourne - Centre for Actuarial Studies
Downloads 760 (57,295)
Citation 6

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Optimal Dividend strategies, de Finetti, Risk business, Ruin, Reinsurance

A Review of Modern Collective Risk Theory with Dividend Strategies

UNSW Australian School of Business Research Paper No. 2008ACTL09
Number of pages: 44 Posted: 21 Aug 2008 Last Revised: 06 Aug 2015
Benjamin Avanzi
University of Melbourne - Centre for Actuarial Studies
Downloads 384 (133,368)

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Optimal dividends, Dividend strategies, de Finetti, Risk business, Review, Skip-free upwards, Skip-free downwards, Maximization of dividends, Ruin, Reinsurance

2.

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

European Journal of Finance, 2013, Volume 19, Issue 7-8, pages 760-778
Number of pages: 22 Posted: 11 Dec 2010 Last Revised: 07 Jul 2015
University of Melbourne - Centre for Actuarial Studies, Schulich School of Business, York University, University of Lausanne - Faculty of Business and Economics and University of Cyprus - Department of Public and Business Administration
Downloads 640 (72,694)
Citation 3

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real options, supply chain strategy, supply chain risk

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

UNSW Australian School of Business Research Paper No. 2011ACTL01
Number of pages: 28 Posted: 04 Aug 2011
Benjamin Avanzi, Luke Cameron Cassar and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 437 (114,631)
Citation 4

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Lévy Copula, Dependence, Compound Poisson Process, Insurance, Real Data

Modelling Dependence in Insurance Claims Processes with Lévy Copulas

ASTIN Bulletin, Vol. 41, No. 2, pp. 575-609
Number of pages: 25 Posted: 03 Aug 2011 Last Revised: 06 Jan 2012
Benjamin Avanzi, Luke Cameron Cassar and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 158 (320,252)

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Lévy Copula, Dependence, Compound Poisson Process, Insurance, Real Data

4.

Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk

Production and Operations Management, Forthcoming
Number of pages: 32 Posted: 03 Dec 2011 Last Revised: 06 Jul 2015
University of Lausanne - Faculty of Business and Economics, Swiss Finance Institute - HEC Lausanne, University of Cyprus - Department of Public and Business Administration and University of Melbourne - Centre for Actuarial Studies
Downloads 492 (100,666)
Citation 2

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lead-time reduction, forecast evolution, real options, supply-chain risk

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

UNSW Australian School of Business Research Paper No. 2009ACTL06
Number of pages: 13 Posted: 20 May 2009 Last Revised: 02 Mar 2010
Benjamin Avanzi
University of Melbourne - Centre for Actuarial Studies
Downloads 262 (200,468)
Citation 4

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annuity puzzle, pensions, Switzerland

What is it that Makes the Swiss Annuitise? A Description of the Swiss Retirement System

Australian Actuarial Journal, Vol. 16, No. 2, pp. 135-162
Number of pages: 13 Posted: 23 Nov 2010 Last Revised: 12 Feb 2011
Benjamin Avanzi
University of Melbourne - Centre for Actuarial Studies
Downloads 225 (232,943)

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annuity puzzle, pensions, Switzerland

On a Mean Reverting Dividend Strategy with Brownian Motion

UNSW Australian School of Business Research Paper No. 2009ACTL12
Number of pages: 11 Posted: 13 Nov 2009 Last Revised: 20 Nov 2009
Benjamin Avanzi and Bernard Wong
University of Melbourne - Centre for Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 384 (133,368)
Citation 1

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Dividends, Brownian motion, Ornstein-Uhlenbeck process, Mean reverting

On a Mean Reverting Dividend Strategy with Brownian Motion

Insurance: Mathematics and Economics, Vol. 51, No. 2, pp. 229-238
Number of pages: 11 Posted: 13 Apr 2012 Last Revised: 17 May 2012
Benjamin Avanzi and Bernard Wong
University of Melbourne - Centre for Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 102 (449,424)

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dividends, Brownian motion, Ornstein-Uhlenbeck process, mean reverting

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2010ACTL15
Number of pages: 28 Posted: 15 Nov 2010
Benjamin Avanzi, Jonathan Shen and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 290 (180,707)
Citation 12

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dual model, diffusion, dividends, capital injections, HJB equation

Optimal Dividends and Capital Injections in the Dual Model with Diffusion

ASTIN Bulletin, Vol. 41, No. 2, pp. 611-644
Number of pages: 25 Posted: 25 Aug 2011 Last Revised: 06 Jan 2012
Benjamin Avanzi, Jonathan Shen and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 117 (406,251)

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dual model, diffusion, dividends, capital injections, HJB equation

8.

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

UNSW Business School Research Paper No. 2015ACTL11
Number of pages: 25 Posted: 24 Apr 2015 Last Revised: 21 Jan 2016
Benjamin Avanzi, Greg Taylor and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 406 (126,206)
Citation 1

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Actuarial Models, Dependence, Capital margin, Correlation, Real data, Reserving, Risk margin

9.

Optimal Dividends in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2008ACTL10
Number of pages: 24 Posted: 26 Aug 2008
Benjamin Avanzi and Hans Ulrich Gerber
University of Melbourne - Centre for Actuarial Studies and University of Lausanne
Downloads 376 (137,647)
Citation 1

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Optimal dividends, Barrier strategies, Dual model, Smooth pasting condition, Jump-diffusion, Laplace transforms

10.

Rethinking Lead Time Reduction Investment: A Real Options Perspective

UNSW Australian School of Business Research Paper No. 2008ACTL16
Number of pages: 2 Posted: 29 Nov 2008
Suzanne de Treville, Lenos Trigeorgis and Benjamin Avanzi
University of Lausanne - Faculty of Business and Economics, University of Cyprus - Department of Public and Business Administration and University of Melbourne - Centre for Actuarial Studies
Downloads 316

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flexible manufacturing systems, real options analysis, manufacturing lead time, supply chain design, supply chain decision structure

11.

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

UNSW Australian School of Business Research Paper No. 2009ACTL09
Number of pages: 16 Posted: 03 Sep 2009 Last Revised: 10 Feb 2012
Benjamin Avanzi and Sachi Purcal
University of Melbourne - Centre for Actuarial Studies and Macquarie University - Department of Actuarial Studies
Downloads 215 (243,894)

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retirement savings, pensions, regulation, Switzerland, annuitization

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

UNSW Australian School of Business Research Paper No. 2012ACTL07
Number of pages: 25 Posted: 23 Jul 2012
Benjamin Avanzi, Eric Cheung, Bernard Wong and Jae-Kyung Woo
University of Melbourne - Centre for Actuarial Studies, The University of Hong Kong - Department of Statistics & Actuarial Science, UNSW Australia Business School, School of Risk & Actuarial Studies and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 96 (468,498)
Citation 1

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dual model, barrier strategy, erlangization, dividends, ruin

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

Insurance: Mathematics and Economics, Volume 52, Issue 1, January 2013, Pages 98–113
Number of pages: 26 Posted: 16 Oct 2012 Last Revised: 06 Jul 2015
Benjamin Avanzi, Eric Cheung, Bernard Wong and Jae-Kyung Woo
University of Melbourne - Centre for Actuarial Studies, The University of Hong Kong - Department of Statistics & Actuarial Science, UNSW Australia Business School, School of Risk & Actuarial Studies and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 91 (485,331)

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dual model, barrier strategy, erlangization, dividends, ruin

On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion

Insurance: Mathematics and Economics, Vol. 55C (2014), pp. 210-224
Number of pages: 27 Posted: 28 Mar 2014 Last Revised: 01 Apr 2015
Benjamin Avanzi, Vincent Tu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 96 (468,498)

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Optimal dividends, Dual model, Stochastic Control, Periodic barrier

On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion

UNSW Australian School of Business Research Paper No. 2013ACTL17
Number of pages: 28 Posted: 21 Sep 2013
Benjamin Avanzi, Vincent Tu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 90 (488,726)
Citation 2

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Optimal dividends, Dual model, Stochastic Control, Periodic barrier

14.

Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach

UNSW Business School Research Paper No. 2016ACTL01
Number of pages: 27 Posted: 04 Apr 2016 Last Revised: 14 Jul 2016
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 158 (320,097)
Citation 2

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Stochastic Loss Reserving, Dependence, Multivariate Tweedie Distribution, Common Shock, Bayesian Estimation

15.

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

UNSW Business School Research Paper No. 2015ACTL25
Number of pages: 24 Posted: 02 Jan 2016
Benjamin Avanzi, Bernard Wong and Xinda Yang
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 148 (337,865)
Citation 4

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Cox process, Shot noise, Insurance claims counts, Markov Chain Monte Carlo, Filtering

16.

Capturing Non-Exchangeable Dependence in Multivariate Loss Processes with Nested Archimedean Lévy Copulas

Forthcoming in Annals of Actuarial Science (2015) , UNSW Australian School of Business Research Paper No. 2014ACTL05
Number of pages: 32 Posted: 04 Jul 2014 Last Revised: 28 Sep 2015
Benjamin Avanzi, Jamie Tao, Bernard Wong and Xinda Yang
University of Melbourne - Centre for Actuarial Studies, Westpac Bank, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 135 (363,188)
Citation 1

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Lévy copula, Exchangeability, Dependence, Nested copulas, Insurance claims

17.

On the Interface between Optimal Periodic and Continuous Dividend Strategies in the Presence of Transaction Costs

UNSW Business School Research Paper No. 2015ACTL10
Number of pages: 27 Posted: 01 Apr 2015 Last Revised: 19 May 2015
Benjamin Avanzi, Vincent Tu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 114 (412,178)

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Brownian motion, Stochastic control, Dividends, Hybrid strategies, Barrier strategies, Transaction costs

18.

Common Shock Models for Claim Arrays

UNSW Business School Research Paper No. 2016ACTL07
Number of pages: 27 Posted: 14 Dec 2016
Benjamin Avanzi, Greg Taylor and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 107 (431,487)
Citation 6

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Cell-wise dependency, Claim array, Claim dependency, Claim triangle, Column-wise dependency, Common shock, Diagonal-wise dependency, Heuristic estimation, Row-wise dependency

19.

Modelling and Understanding Count Processes Through a Markov-Modulated Non-Homogeneous Poisson Process Framework

UNSW Business School Research Paper No. 2019ACTL01
Number of pages: 27 Posted: 04 Apr 2019 Last Revised: 12 Jul 2019
Benjamin Avanzi, Greg Taylor, Bernard Wong and Alan Xian
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 104 (440,365)

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Risk analysis, Markov processes, Count processes, Data analysis, EM algorithm

20.

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

UNSW Business School Research Paper No. 2015ACTL15
Number of pages: 12 Posted: 06 Aug 2015
Benjamin Avanzi, Claudia Gagné and Vincent Tu
University of Melbourne - Centre for Actuarial Studies, University of Montreal - Department of Mathematics and Statistics and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 101 (449,611)

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Gamma frailty, Stochastic mortality, Empirical study, Real data

21.

A Note on Realistic Dividends in Actuarial Surplus Models

UNSW Business School Research Paper No. 2015ACTL20
Number of pages: 9 Posted: 19 Nov 2015 Last Revised: 04 Aug 2016
Benjamin Avanzi, Vincent Tu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 83 (509,185)
Citation 2

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surplus models, dividends, de Finetti, corporate finance

22.

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

UNSW Business School Research Paper Forthcoming
Number of pages: 18 Posted: 27 Mar 2020
University of Melbourne - Centre for Actuarial Studies, UNSW Sydney, Université Montpellier II and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 70 (561,321)
Citation 1

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central limit theorem, Gaussian-Gamma convolution, mutual independence, non-Gaussian asymptotic distribution, pairwise independence

23.

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

UNSW Business School Research Paper No. 2016ACTL03
Number of pages: 21 Posted: 17 Aug 2016 Last Revised: 16 Dec 2016
University of Melbourne - Centre for Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 68 (570,051)
Citation 1

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Optimal dividends, Funding ratio, Stochastic Control, Regulation, Solvency, Recovery requirements

24.

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

UNSW Business School Research Paper No. 2019ACTL03
Number of pages: 36 Posted: 02 Jul 2019 Last Revised: 07 Jul 2019
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 63 (592,839)

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Claims Reserving, Evolutionary GLM, Adaptive Reserving, Particle Learning, Common Shock Models

25.

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

UNSW Business School Research Paper No. 2017ACTL02
Number of pages: 33 Posted: 05 Jul 2017
Benjamin Avanzi, Vincent Tu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 62 (597,658)
Citation 1

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Brownian motion, Stochastic control, Dividends, Periodic strategies, Barrier strategies, Erlangisation

26.

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

UNSW Business School Research Paper No. 2019ACTL02
Number of pages: 24 Posted: 04 Apr 2019
Benjamin Avanzi, Greg Taylor, Bernard Wong and Xinda Yang
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 57 (622,904)

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Dependency modelling, Cox process, Shot noise, Insurance claims counts, Micro-level model, Markov chain Monte Carlo

27.

Ensemble Distributional Forecasting for Insurance Loss Reserving

UNSW Business School Research Paper Forthcoming, IME-D-22-00183
Number of pages: 36 Posted: 08 Jul 2022
Benjamin Avanzi, Yanfeng Li, Bernard Wong and Alan Xian
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and Macquarie University
Downloads 50 (661,103)

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Aggregate Loss reserving, Ensemble learning, Linear Pool, Distributional forecast

28.

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

UNSW Business School Research Paper No. 2018ACTL02
Number of pages: 33 Posted: 10 Jan 2019 Last Revised: 08 May 2019
Benjamin Avanzi, Hayden Lau and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 50 (661,103)

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Optimal Dividends, Periodic Dividends, Dual Risk Model, Fixed Transaction Costs, SPLP

29.

On Unbalanced Data and Common Shock Models in Stochastic Loss Reserving

UNSW Business School Research Paper No. 2018ACTL01
Number of pages: 29 Posted: 23 Dec 2018
Benjamin Avanzi, Greg Taylor, Phuong Anh Vu and Bernard Wong
University of Melbourne - Centre for Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies, UNSW Business School - School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 49 (666,843)

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Stochastic loss reserving, Dependence, Common shock, Unbalanced data, Negative claims, Multivariate Tweedie distribution, Bayesian estimation

30.

On Optimal Joint Reflective and Refractive Dividend Strategies in Spectrally Positive Lévy Processes

UNSW Business School Research Paper No. 2016ACTL05
Number of pages: 28 Posted: 07 Jul 2016
University of Melbourne - Centre for Actuarial Studies, Centro de Investigacion en Matematicas (CIMAT) - Department of Probability and Statistics, UNSW Australia Business School, School of Risk & Actuarial Studies and Kansai University - Department of Mathematics
Downloads 44 (697,498)
Citation 1

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Surplus models, Optimal dividends, Threshold strategy, Barrier strategy, Transaction costs

31.

Annuitisation and Cross-Subsidies in a Two-Tiered Retirement Saving System

Annals of Actuarial Science, Volume 8, Issue 02, September 2014, pp 234-252
Posted: 05 Jan 2014 Last Revised: 28 Sep 2015
Benjamin Avanzi and Sachi Purcal
University of Melbourne - Centre for Actuarial Studies and Macquarie University - Department of Actuarial Studies

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retirement savings, pensions, regulation, annuitisation