A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS

DOI10.1017/asb.2019.12zbMath1427.91238OpenAlexW2891199867MaRDI QIDQ4972123

Pierre-E. Thérond, Olivier Lopez, Xavier Milhaud

Publication date: 22 November 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2019.12

zbMATH Keywords

censoringdisabilityregression treelong tailreserving

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (10)

A hierarchical reserving model for reported non-life insurance claims ⋮ JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING ⋮ A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS ⋮ Collective reserving using individual claims data ⋮ Imbalanced learning for insurance using modified loss functions in tree-based models ⋮ Transaction time models in multi-state life insurance ⋮ Infinitely stochastic micro reserving ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ An individual claims reserving model for reported claims ⋮ Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays

Cites Work

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• Tree-based censored regression with applications in insurance
• Semiparametric model for prediction of individual claim loss reserving
• Neural networks applied to chain-ladder reserving
• An Individual Claims Reserving Model
• Micro-level stochastic loss reserving for general insurance
• Machine learning in individual claims reserving
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK

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