A machine learning approach for individual claims reserving in insurance

DOI10.1002/ASMB.2455MaRDI QIDQ6574619zbMATH OpenFDO

Authors Maximilien Baudry, C. Y. Robert

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2455

zbMATH Keywords

decision tree learningindividual claims dataindividual claims reservingnonparametric regression

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A marked Cox model for the number of IBNR claims: theory
• An Individual Claims Reserving Model
• Double chain ladder, claims development inflation and zero-claims
• Extremely randomized trees
• Individual loss reserving with the multivariate skew normal framework
• Machine learning in individual claims reserving
• Micro-level stochastic loss reserving for general insurance
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor

Cited in

(7)

• Machine learning applications in nonlife insurance
• Machine learning techniques in nested stochastic simulations for life insurance
• Micro-level reserving for general insurance claims using a long short-term memory network
• Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance
• Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays
• Bagging and regression trees in individual claims reserving
• Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle

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