Andrea Gabrielli

ETH Zurich, Department of Mathematics, RiskLab, Students

PhD Student

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS

716

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Neural Network Embedding of the Over-Dispersed Poisson Reserving Model

Number of pages: 30 Posted: 14 Dec 2018
Andrea Gabrielli, Ronald Richman and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students, QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 338 (88,709)
Citation 1

Abstract:

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cross-classified over-dispersed Poisson model, neural network, model blending, nested models, learning across portfolios, claims reserving in insurance, chain-ladder reserves, mean square error of prediction

2.

Individual Claims History Simulation Machine

Number of pages: 34 Posted: 06 Mar 2018
Andrea Gabrielli and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students and RiskLab, ETH Zurich
Downloads 168 (177,654)

Abstract:

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claims reserving, individual claims, claims cash flows, micro-level stochastic reserving, loss reserving, claims simulation, neural network reserving, individual claims features, individual claims covariates, chain-ladder

3.

Back-Testing the Chain-Ladder Method

Number of pages: 29 Posted: 31 Jul 2018
Andrea Gabrielli and Mario V. Wuthrich
ETH Zurich, Department of Mathematics, RiskLab, Students and RiskLab, ETH Zurich
Downloads 155 (190,207)

Abstract:

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chain-ladder, individual claims history simulation machine, claims reserving, loss reserving, back-testing, portfolio size, reserve uncertainty

4.

A Neural Network Boosted Double Over-Dispersed Poisson Claims Reserving Model

Number of pages: 30 Posted: 22 Apr 2019
Andrea Gabrielli
ETH Zurich, Department of Mathematics, RiskLab, Students
Downloads 45 (409,422)

Abstract:

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cross-classified over-dispersed Poisson model, claims reserving in insurance, chain-ladder reserves, double chain-ladder, neural network, embedding, claim counts, claim amounts, learning across portfolios, boosting

5.

Mean-Variance and Mean-Variance-Correlation Neural Network Regression Models

Number of pages: 17 Posted: 20 Aug 2019
Andrea Gabrielli
ETH Zurich, Department of Mathematics, RiskLab, Students
Downloads 10 (582,581)

Abstract:

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Mean-variance regression, mean-variance-correlation regression, neural networks, multi-task learning.