DeepTriangle: A Deep Learning Approach to Loss Reserving

Kevin Kuo

Papers from arXiv.org

Abstract: We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving data across lines of business, and show that they improve on the predictive accuracy of existing stochastic methods. The models require minimal feature engineering and expert input, and can be automated to produce forecasts more frequently than manual workflows.

Date: 2018-04, Revised 2019-09
New Economics Papers: this item is included in nep-big, nep-cmp and nep-rmg
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Citations: View citations in EconPapers (13)

Published in Risks 2019, 7(3), 97

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