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- Title
DeepTriangle: A Deep Learning Approach to Loss Reserving.
- Authors
Kuo, Kevin
- Abstract
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. We validate the models on loss reserving data across lines of business, and show that they improve on the predictive accuracy of existing stochastic methods. The models require minimal feature engineering and expert input, and can be automated to produce forecasts more frequently than manual workflows.
- Subjects
INSURANCE reserves; DEEP learning
- Publication
Risks, 2019, Vol 7, Issue 3, p97
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks7030097