Probabilistic loss reserving prediction via denoising diffusion model

DOI10.1016/J.INSMATHECO.2025.103208MaRDI QIDQ6845877zbMATH OpenFDO

Authors Shiying Gao, Yuning Zhang, Ruikun Li, S. T. Boris Choy, Junbin Gao

Publication date 12 March 2026

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2025.103208

zbMATH Keywords

diffusion modelloss reservingmachine learningrun-off triangle

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• \texttt{SynthETIC}: an individual insurance claim simulator with feature control
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Neural network embedding of the over-dispersed Poisson reserving model
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• Stochastic loss reserving with mixture density neural networks
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Which stochastic model is underlying the chain ladder method?

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