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Neural network embedding of the over-dispersed Poisson reserving model

Author

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  • Andrea Gabrielli
  • Ronald Richman
  • Mario V. Wüthrich

Abstract

The main idea of this paper is to embed a classical actuarial regression model into a neural network architecture. This nesting allows us to learn model structure beyond the classical actuarial regression model if we use as starting point of the neural network calibration exactly the classical actuarial model. Such models can be fitted efficiently which allows us to explore bootstrap methods for prediction uncertainty. As an explicit example, we consider the cross-classified over-dispersed Poisson model for general insurance claims reserving. We demonstrate how this model can be improved by neural network features.

Suggested Citation

  • Andrea Gabrielli & Ronald Richman & Mario V. Wüthrich, 2020. "Neural network embedding of the over-dispersed Poisson reserving model," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(1), pages 1-29, January.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:1:p:1-29
    DOI: 10.1080/03461238.2019.1633394
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    Cited by:

    1. Corsaro, Stefania & Marino, Zelda & Scognamiglio, Salvatore, 2024. "Quantile mortality modelling of multiple populations via neural networks," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 114-133.
    2. Yang Qiao & Chou-Wen Wang & Wenjun Zhu, 2024. "Machine learning in long-term mortality forecasting," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(2), pages 340-362, April.

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