Ensemble distributional forecasting for insurance loss reserving
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Publication:6632363
DOI10.1080/03461238.2024.2365392MaRDI QIDQ6632363
Alan Xian, Yan-Feng Li, Bernard Wong, Benjamin Avanzi
Publication date: 4 November 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)
Cites Work
- SynthETIC: an individual insurance claim simulator with feature control
- Identification of the age-period-cohort model and the extended chain-ladder model
- Persistence in forecasting performance and conditional combination strategies
- Combining predictive distributions
- Proper local scoring rules
- On the estimation of reserves from loglinear models
- Using stacking to average Bayesian predictive distributions (with discussion)
- Stacked regressions
- Stochastic loss reserving with mixture density neural networks
- Neural networks applied to chain-ladder reserving
- Efficient use of data for LSTM mortality forecasting
- Stochastic claims reserving methods in insurance
- Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules
- Over-Dispersed Age-Period-Cohort Models
- Combining Probability Forecasts
- Mortality forecasting using stacked regression ensembles
- Neural network embedding of the over-dispersed Poisson reserving model
- A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
- Strictly Proper Scoring Rules, Prediction, and Estimation
- Generalized Additive Models for Location, Scale and Shape
- Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
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