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An Individual claims reserving model for reported claims

Recurso electrónico / Electronic resource
Registro MARC
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100  ‎$0‎MAPA20200006558‎$a‎Gabrielli, Andrea
24513‎$a‎An Individual claims reserving model for reported claims‎$c‎Andrea Gabrielli
520  ‎$a‎We 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
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20150017925‎$a‎Pagos
7730 ‎$w‎MAP20220007085‎$g‎06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 541-577‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022