Bernard Wong

UNSW Australia Business School, School of Risk & Actuarial Studies

Room 2058 South Wing 2nd Floor

Quadrangle building, Kensington Campus

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

23

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3,221

CITATIONS
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Top 27,727

in Total Papers Citations

21

Scholarly Papers (23)

1.

A Benchmarking Approach to Optimal Asset Allocation for Insurers and Pension Funds

Australian School of Business Research Paper No. 2009ACTL07
Number of pages: 30 Posted: 14 Aug 2009 Last Revised: 07 Apr 2010
Bernard Wong and Andrew Lim
UNSW Australia Business School, School of Risk & Actuarial Studies and National University of Singapore (NUS) - Department of Decision Sciences
Downloads 508 (53,902)

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Asset-Liability Management, Portfolio Optimization, Benchmarking

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
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 375 (77,187)
Citation 3

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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
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 126 (224,099)

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

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
UNSW Australia Business School, School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 342 (86,037)

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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
UNSW Australia Business School, School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 73 (323,255)

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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
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 256 (117,899)
Citation 8

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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
UNSW Australia Business School, School of Risk and Actuarial Studies, University of New South Wales (UNSW) - School of Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 93 (278,353)

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

5.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 272 (111,229)
Citation 1

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

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
UNSW Australia Business School, School of Risk and 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 72 (325,755)

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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
UNSW Australia Business School, School of Risk and 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 68 (336,478)

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dual model, barrier strategy, erlangization, dividends, ruin

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 67 (339,224)

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Optimal dividends, Dual model, Stochastic Control, Periodic barrier

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 64 (347,620)

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Optimal dividends, Dual model, Stochastic Control, Periodic barrier

8.

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
UNSW Australia Business School, School of Risk and 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 119 (233,068)
Citation 2

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

9.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 116 (237,535)
Citation 3

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

10.

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
UNSW Australia Business School, School of Risk and 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 115 (238,990)
Citation 1

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

11.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 93 (276,263)

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

12.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 72 (322,201)
Citation 2

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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

13.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 68 (332,525)
Citation 1

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surplus models, dividends, de Finetti, corporate finance

14.

On Modelling Long Term Stock Returns with Ergodic Diffusion Processes: Arbitrage and Arbitrage-Free Specifications

UNSW Australian School of Business Research Paper No. 2008ACTL17
Number of pages: 29 Posted: 19 Nov 2008
Bernard Wong
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 66 (337,857)

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15.

Explicit Construction of Stochastic Exponentials with Arbitrary Expectation K$/In$(0,1)

UNSW Australian School of Business Research Paper No. 2008ACTL15
Number of pages: 12 Posted: 15 Nov 2008
Bernard Wong
UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 47 (396,214)

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Strictly Local Martingales, Stochastic Exponentials, Asset Price Bubbles

16.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, University of Copenhagen and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 41 (418,011)

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

17.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 40 (421,875)

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

18.

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
UNSW Australia Business School, School of Risk and 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 39 (425,830)

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

19.

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
UNSW Australia Business School, School of Risk and Actuarial Studies, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Downloads 20 (518,734)

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

20.

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
UNSW Australia Business School, School of Risk and 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 20 (518,734)

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

21.

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
UNSW Australia Business School, School of Risk and 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 18 (530,411)

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

22.

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
UNSW Australia Business School, School of Risk and 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 18 (530,411)
Citation 1

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

23.

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
UNSW Australia Business School, School of Risk and 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 13 (559,853)

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