DeepTriangle: A Deep Learning Approach to Loss Reserving

Abstract

We propose a novel approach for loss reserving based on deep neural networks. The approach allows for jointly modeling of paid losses and claims outstanding, and incorporation of heterogenous inputs. We validate the models on loss reserving data across lines of business, and show that they attain or exceed the predictive accuracy of existing stochastic methods. The models require minimal feature engineering and expert input, and can be automated to produce forecasts at a high frequency.

Date
Event
Casualty Loss Reserve Seminar
Location
Anaheim