Neural Network Embedding of the Over-Dispersed Poisson Reserving Model
30 Pages Posted: 14 Dec 2018
Date Written: November 21, 2018
The main idea of this paper is to embed a classical actuarial regression model into a neural network architecture. This nesting allows us to learn model structure beyond the classical actuarial regression model if we use as starting point of the neural network calibration exactly the classical actuarial model. Such models can be fitted efficiently which allows us to explore bootstrap methods for prediction uncertainty. As an explicit example we consider the cross-classified over-dispersed Poisson model for general insurance claims reserving. We demonstrate how this model can be improved by neural network features.
Keywords: 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
JEL Classification: G22, C02, C13, C14, C15, C45, C50
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