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

Notas: 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 knownRegistros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 06/12/2021 Número 2 - diciembre 2021 , p. 541-577Materia / lugar / evento: Cálculo actuarial Matemática del seguro Pagos Outras classificações: 6

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