Stochastic loss reserving with mixture density neural networks

DOI10.1016/J.INSMATHECO.2022.03.010zbMath1492.91270arXiv2108.07924OpenAlexW3193298142MaRDI QIDQ2155845

Muhammed Taher Al-Mudafer, Bernard Wong, Benjamin Avanzi, Greg Taylor

Publication date: 15 July 2022

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

Full work available at URL: https://arxiv.org/abs/2108.07924

zbMATH Keywords

neural networkmachine learningloss reservingdistributional forecastingmixture density network

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Actuarial mathematics (91G05)

Cites Work

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• Effective Statistical Learning Methods for Actuaries II
• Neural network embedding of the over-dispersed Poisson reserving model
• A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL

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