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Wüthrich, M. V. (2018). Neural networks applied to chain–ladder reserving. European Actuarial Journal, 8(2), 407-436.
2019-05-06 08:33  

  

Abstract

Classicalclaims reserving methods act on so-called claims reserving triangles which areaggregated insurance portfolios. A crucial assumption in classical claimsreserving is that these aggregated portfolios are sufficiently homogeneous sothat a coarse reserving algorithm can be applied. We start from such a coarsereserving method, which in our case is Mack’s chain–ladder method, and show howthis approach can be refined for heterogeneity and individual claims featureinformation using neural networks.   

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