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A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
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| Zeitschriftentitel: | ASTIN Bulletin |
|---|---|
| Personen und Körperschaften: | |
| In: | ASTIN Bulletin, 50, 2020, 1, S. 25-60 |
| Format: | E-Article |
| Sprache: | Englisch |
| veröffentlicht: |
Cambridge University Press (CUP)
|
| Schlagwörter: |
| author_facet |
Gabrielli, Andrea Gabrielli, Andrea |
|---|---|
| author |
Gabrielli, Andrea |
| spellingShingle |
Gabrielli, Andrea ASTIN Bulletin A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL Economics and Econometrics Finance Accounting |
| author_sort |
gabrielli, andrea |
| spelling |
Gabrielli, Andrea 0515-0361 1783-1350 Cambridge University Press (CUP) Economics and Econometrics Finance Accounting http://dx.doi.org/10.1017/asb.2019.33 <jats:title>Abstract</jats:title><jats:p>We present an actuarial claims reserving technique that takes into account both claim counts and claim amounts. Separate (overdispersed) Poisson models for the claim counts and the claim amounts are combined by a joint embedding into a neural network architecture. As starting point of the neural network calibration, we use exactly these two separate (overdispersed) Poisson models. Such a nested model can be interpreted as a boosting machine. It allows us for joint modeling and mutual learning of claim counts and claim amounts beyond the two individual (overdispersed) Poisson models.</jats:p> A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL ASTIN Bulletin |
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Cambridge University Press (CUP), 2020 |
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ASTIN Bulletin |
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49 |
| title |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_unstemmed |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_full |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_fullStr |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_full_unstemmed |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_short |
A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_sort |
a neural network boosted double overdispersed poisson claims reserving model |
| topic |
Economics and Econometrics Finance Accounting |
| url |
http://dx.doi.org/10.1017/asb.2019.33 |
| publishDate |
2020 |
| physical |
25-60 |
| description |
<jats:title>Abstract</jats:title><jats:p>We present an actuarial claims reserving technique that takes into account both claim counts and claim amounts. Separate (overdispersed) Poisson models for the claim counts and the claim amounts are combined by a joint embedding into a neural network architecture. As starting point of the neural network calibration, we use exactly these two separate (overdispersed) Poisson models. Such a nested model can be interpreted as a boosting machine. It allows us for joint modeling and mutual learning of claim counts and claim amounts beyond the two individual (overdispersed) Poisson models.</jats:p> |
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| description | <jats:title>Abstract</jats:title><jats:p>We present an actuarial claims reserving technique that takes into account both claim counts and claim amounts. Separate (overdispersed) Poisson models for the claim counts and the claim amounts are combined by a joint embedding into a neural network architecture. As starting point of the neural network calibration, we use exactly these two separate (overdispersed) Poisson models. Such a nested model can be interpreted as a boosting machine. It allows us for joint modeling and mutual learning of claim counts and claim amounts beyond the two individual (overdispersed) Poisson models.</jats:p> |
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| imprint | Cambridge University Press (CUP), 2020 |
| imprint_str_mv | Cambridge University Press (CUP), 2020 |
| institution | DE-105, DE-14, DE-Ch1, DE-L229, DE-D275, DE-Bn3, DE-Brt1, DE-D161, DE-Gla1, DE-Zi4, DE-15, DE-Pl11, DE-Rs1 |
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| physical | 25-60 |
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| series | ASTIN Bulletin |
| source_id | 49 |
| spelling | Gabrielli, Andrea 0515-0361 1783-1350 Cambridge University Press (CUP) Economics and Econometrics Finance Accounting http://dx.doi.org/10.1017/asb.2019.33 <jats:title>Abstract</jats:title><jats:p>We present an actuarial claims reserving technique that takes into account both claim counts and claim amounts. Separate (overdispersed) Poisson models for the claim counts and the claim amounts are combined by a joint embedding into a neural network architecture. As starting point of the neural network calibration, we use exactly these two separate (overdispersed) Poisson models. Such a nested model can be interpreted as a boosting machine. It allows us for joint modeling and mutual learning of claim counts and claim amounts beyond the two individual (overdispersed) Poisson models.</jats:p> A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL ASTIN Bulletin |
| spellingShingle | Gabrielli, Andrea, ASTIN Bulletin, A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL, Economics and Econometrics, Finance, Accounting |
| title | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_full | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_fullStr | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_full_unstemmed | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_short | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| title_sort | a neural network boosted double overdispersed poisson claims reserving model |
| title_unstemmed | A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL |
| topic | Economics and Econometrics, Finance, Accounting |
| url | http://dx.doi.org/10.1017/asb.2019.33 |