Select Publications
Journal articles
2023, 'Detection and treatment of outliers for multivariate robust loss reserving', Annals of Actuarial Science, http://dx.doi.org/10.1017/S1748499523000155
,2023, 'On the impact of outliers in loss reserving', European Actuarial Journal, http://dx.doi.org/10.1007/s13385-023-00356-2
,2022, 'On the surplus management of funds with assets and liabilities in presence of solvency requirements', SCANDINAVIAN ACTUARIAL JOURNAL, http://dx.doi.org/10.1080/03461238.2022.2116725
,2022, 'Stochastic loss reserving with mixture density neural networks', Insurance: Mathematics and Economics, 105, pp. 144 - 174, http://dx.doi.org/10.1016/j.insmatheco.2022.03.010
,2021, 'On the optimality of joint periodic and extraordinary dividend strategies', European Journal of Operational Research, 295, pp. 1189 - 1210, http://dx.doi.org/10.1016/j.ejor.2021.04.033
,2021, 'SynthETIC: An individual insurance claim simulator with feature control', INSURANCE MATHEMATICS & ECONOMICS, 100, pp. 296 - 308, http://dx.doi.org/10.1016/j.insmatheco.2021.06.004
,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, 499, http://dx.doi.org/10.1016/j.jmaa.2021.124982
,2021, 'On the modelling of multivariate counts with Cox processes and dependent shot noise intensities', Insurance: Mathematics and Economics, 99, pp. 9 - 24, http://dx.doi.org/10.1016/j.insmatheco.2021.01.002
,2021, 'Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework', European Journal of Operational Research, 290, pp. 177 - 195, http://dx.doi.org/10.1016/j.ejor.2020.07.022
,2021, 'On unbalanced data and common shock models in stochastic loss reserving', Annals of Actuarial Science, 15, pp. 173 - 203, http://dx.doi.org/10.1017/S1748499520000196
,2021, 'Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs', Scandinavian Actuarial Journal, 2021, pp. 645 - 670, http://dx.doi.org/10.1080/03461238.2020.1869069
,2020, 'Optimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costs', Insurance: Mathematics and Economics, 93, pp. 315 - 332, http://dx.doi.org/10.1016/j.insmatheco.2020.05.012
,2020, 'A counterexample to the central limit theorem for pairwise independent random variables having a common arbitrary margin', J. Math. Anal. Appl. (2021), 499 (1), 1-13, http://dx.doi.org/10.1016/j.jmaa.2021.124982
,2020, 'A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2020.04.007
,2018, 'Common shock models for claim arrays', ASTIN Bulletin, 48, pp. 1109 - 1136, http://dx.doi.org/10.1017/asb.2018.18
,2018, 'On the distribution of the excedents of funds with assets and liabilities in presence of solvency and recovery requirements', ASTIN Bulletin, 48, pp. 647 - 672, http://dx.doi.org/10.1017/asb.2017.42
,2018, 'Optimal Dividends Under Erlang(2) Inter-Dividend Decision Times', Insurance: Mathematics and Economics, 79, pp. 225 - 242, http://dx.doi.org/10.1016/j.insmatheco.2018.01.009
,2017, 'On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models', Insurance: Mathematics and Economics, 72, pp. 148 - 162, http://dx.doi.org/10.1016/j.insmatheco.2016.10.010
,2016, 'Correlations between insurance lines of business: An illusion or a real phenomenon? Some methodological considerations', ASTIN Bulletin, 46, pp. 225 - 263, http://dx.doi.org/10.1017/asb.2015.31
,2016, 'Capturing non-exchangeable dependence in multivariate loss processes with nested Archimedean Lévy copulas', Annals of Actuarial Science, 10, pp. 87 - 117, http://dx.doi.org/10.1017/S1748499515000135
,2016, 'A micro-level claim count model with overdispersion and reporting delays', Insurance: Mathematics and Economics, 71, pp. 1 - 14, http://dx.doi.org/10.1016/j.insmatheco.2016.07.002
,2016, 'A Note on Realistic Dividends in Actuarial Surplus Models', Risks, 4, pp. 37 - 37, http://dx.doi.org/10.3390/risks4040037
,2016, 'On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs', Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association, http://dx.doi.org/10.1017/asb.2016.17
,2016, 'Stochastic Loss Reserving with Dependence: A Flexible Multivariate Tweedie Approach', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2016.08.006
,2014, 'On optimal periodic dividend strategies in the dual model with diffusion', Insurance: Mathematics and Economics, 55, pp. 210 - 224, http://dx.doi.org/10.1016/j.insmatheco.2014.01.005
,2013, 'On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency', Insurance: Mathematics and Economics, pp. 98 - 113, http://dx.doi.org/10.1016/j.insmatheco.2012.10.008
,2012, 'On a mean reverting dividend strategy with Brownian motion', Insurance: Mathematics and Economics, 51, pp. 229 - 238, http://dx.doi.org/10.1016/j.insmatheco.2012.04.002
,2011, 'Modelling Dependence in Insurance Claims Processes with Lévy Copulas', ASTIN Bulletin, 41, pp. 575 - 609, https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/div-classtitlemodelling-dependence-in-insurance-claims-processes-with-levy-copulasdiv/71D90357773617C5A45E9B8D611A1E00
,2011, 'Optimal Dividends and Capital Injections in the Dual Model with Diffusion', ASTIN Bulletin, 41, pp. 611 - 644, https://www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/div-classtitleoptimal-dividends-and-capital-injections-in-the-dual-model-with-diffusiondiv/84C5BBFAD54ED4A5DE444C5DAA77C51F
,2010, 'A benchmarking approach to optimal asset allocation for insurers and pension funds', Insurance Mathematics and Economics, 46, pp. 317 - 327, http://dx.doi.org/10.1016/j.insmatheco.2009.11.005
,'Optimal Dividends and Capital Injections in the Dual Model with Diffusion', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.1709174
,Conference Papers
2018, 'How to proxy the unmodellable: Analysing granular insurance claims in the presence of unobservable or complex drivers', Sydney, Australia, presented at Australian Actuaries Institute General Insurance Seminar 2018, Sydney, Australia, 12 November 2018 - 13 November 2018, https://www.actuaries.asn.au/microsites/general-insurance-seminar-2018/program-and-presentations/papers-and-pre-reading
,2016, 'On the Impact, Detection and Treatment of Outliers in Robust Loss Reserving', in Proceedings of the Actuaries Institute 2016 General Insurance Seminar, 13-15 November 2016 (Melbourne, Australia), Melbourne, presented at General Insurance Seminar, Melbourne, 13 November 2016 - 15 November 2016, http://www.actuaries.asn.au/Library/Events/GIS/2016/PaperAvanziLavenderTaylorWong.pdf
,Working Papers
2020, A counterexample to the central limit theorem for pairwise independent random variables having a common arbitrary margin, http://dx.doi.org, http://arxiv.org/abs/2003.01350
,2015, Correlations between Insurance Lines of Business: An Illusion or a Real Phenomenon? Some Methodological Considerations, 2015ACTL11, http://dx.doi.org10.2139/ssrn.2597405, http://ssrn.com/abstract=2597405
,Media
2016, Construction of detailed correlation structures across GI business segments, , http://www.actuaries.digital/2016/12/14/construction-of-detailed-correlation-structures-across-gi-business-segments/
,2015, Are correlations real or imagined?, The Institute of Actuaries of Australia, , http://www.actuaries.digital/2015/09/30/are-correlations-an-illusion-or-a-real-phenomenon-evidence-from-the-ausi-data-set/
,Preprints
2023, Cyber Insurance Risk: Reporting Delays, Third-Party Cyber Events, and Changes in Reporting Propensity -- An Analysis Using Data Breaches Published by U.S. State Attorneys General, , http://dx.doi.org/10.48550/arxiv.2310.04786
,2022, Ensemble distributional forecasting for insurance loss reserving, , http://dx.doi.org/10.48550/arxiv.2206.08541
,2022, On the surplus management of funds with assets and liabilities in presence of solvency requirements, , http://dx.doi.org/10.48550/arxiv.2203.05139
,2022, Detection and treatment of outliers for multivariate robust loss reserving, , http://dx.doi.org/10.48550/arxiv.2203.03874
,2022, On the impact of outliers in loss reserving, , http://dx.doi.org/10.48550/arxiv.2203.00184
,2021, Stochastic loss reserving with mixture density neural networks, , http://dx.doi.org/10.48550/arxiv.2108.07924
,2020, SynthETIC: an individual insurance claim simulator with feature control, , http://dx.doi.org/10.48550/arxiv.2008.05693
,2020, On the optimality of joint periodic and extraordinary dividend strategies, , http://dx.doi.org/10.48550/arxiv.2006.00717
,2020, On unbalanced data and common shock models in stochastic loss reserving, , http://dx.doi.org/10.48550/arxiv.2005.03500
,2020, On the modelling of multivariate counts with Cox processes and dependent shot noise intensities, , http://dx.doi.org/10.48550/arxiv.2004.11169
,2020, A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving, , http://dx.doi.org/10.48550/arxiv.2004.06880
,2020, Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs, , http://dx.doi.org/10.48550/arxiv.2004.01838
,2020, Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework, , http://dx.doi.org/10.48550/arxiv.2003.13888
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