Centro de Documentacion de Fundación MAPFRE - An Individual claims reserving model for reported claims

MAP20220008013

An Individual claims reserving model for reported claims / Andrea Gabrielli

Sumario: We present a claims reserving technique that uses claim-specific feature and past payment information in order to estimate claims reserves for individual reported claims. We design one single neural network allowing us to estimate expected future cash flows for every individual reported claim. We introduce a consistent way of using dropout layers in order to fit the neural network to the incomplete time series of past individual claims payments. A proof of concept is provided by applying this model to synthetic as well as real insurance data sets for which the true outstanding payments for reported claims are known

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 541-577

1. Cálculo actuarial . 2. Matemática del seguro . 3. Pagos . I. Título.