Recurrent Neural Networks for Multivariate Loss Reserving and Risk Capital Analysis

DOI10.1080/10920277.2025.2517149MaRDI QIDQ7308068zbMATH OpenFDO

Authors Pengfei Cai, Anas Abdallah, P. Jeganathan

Publication date 3 August 2026

Published in North American Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/10920277.2025.2517149

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Artificial neural networks and deep learning (68T07) Actuarial mathematics (91G05)

Cites work

• A Bayesian log-normal model for multivariate loss reserving
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• Deep learning
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• Machine learning in individual claims reserving
• Modeling dependence between loss triangles with hierarchical Archimedean copulas
• Neural network embedding of the over-dispersed Poisson reserving model
• Neural networks applied to chain-ladder reserving
• Probabilistic machine learning. An introduction
• Resampling methods for dependent data
• Risk Measures and Comonotonicity: A Review
• Stochastic claims reserving methods in insurance

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