DeepTriangle: A Deep Learning Approach to Loss Reserving
Applications
2019-09-17 v4 Machine Learning
Risk Management
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.
Cite
@article{arxiv.1804.09253,
title = {DeepTriangle: A Deep Learning Approach to Loss Reserving},
author = {Kevin Kuo},
journal= {arXiv preprint arXiv:1804.09253},
year = {2019}
}
Comments
Published version available at https://www.mdpi.com/2227-9091/7/3/97