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1 results

  • A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL

  • Andrea Gabrielli
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 50 / Issue 1 / January 2020
    Published online by Cambridge University Press:
    17 December 2019, pp. 25-60
    Print publication:
    January 2020

  • 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.