Results 1 to 10 of about 70,772 (294)
DeepTriangle: A Deep Learning Approach to Loss Reserving [PDF]
Risks, 2019 We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs.
Kevin Kuo
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Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective) [PDF]
Risks, 2016 Traditionally, actuaries have used run-off triangles to estimate reserve (“macro” models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty
Arthur Charpentier, Mathieu Pigeon
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Stochastic loss reserving using individual information model with over-dispersed Poisson
Statistical Theory and Related Fields, 2022 For stochastic loss reserving, we propose an individual information model (IIM) which accommodates not only individual/micro data consisting of incurring times, reporting developments, settlement developments as well as payments of individual claims but ...
Zhigao Wang, Xianyi Wu, Chunjuan Qiu
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Loss Reserving Models: Granular and Machine Learning Forms
Risks, 2019 The purpose of this paper is to survey recent developments in granular models and machine learning models for loss reserving, and to compare the two families with a view to assessment of their potential for future development.
Greg Taylor
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Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model
Risks, 2020 In this paper, we consider a loss reserving model for a general insurance portfolio consisting of a number of correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data.
Ioannis Badounas, Georgios Pitselis
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Individual Loss Reserving Using a Gradient Boosting-Based Approach
Risks, 2019 In this paper, we propose models for non-life loss reserving combining traditional approaches such as Mack’s or generalized linear models and gradient boosting algorithm in an individual framework.
Francis Duval, Mathieu Pigeon
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Risks, 2023 In this paper, we developed a Shiny-based application called AutoReserve. This application serves as a tool used for a variety of types of loss reserving.
Lu Xiong +5 more
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Prediction of outstanding IBNR liabilities using delay probability [PDF]
Mathematics and Modeling in Finance, 2021 An important question in non life insurance research is the estimation of number of future payments and corresponding amount of them. A loss reserve is the money set aside by insurance companies to pay policyholders claims on their policies.
Fatemeh Atatalab +1 more
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Advancing the Use of Deep Learning in Loss Reserving: A Generalized DeepTriangle Approach
Risks, 2023 This paper proposes a generalized deep learning approach for predicting claims developments for non-life insurance reserving. The generalized approach offers more flexibility and accuracy in solving actuarial reserving problems.
Yining Feng, Shuanming Li
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Rank-Based Multivariate Sarmanov for Modeling Dependence between Loss Reserves
Risks, 2023 The interdependence between multiple lines of business has an important impact on determining loss reserves and risk capital, which are crucial for the solvency of a property and casualty (P&C) insurance company.
Anas Abdallah, Lan Wang
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