DeepTriangle: A Deep Learning Approach to Loss Reserving
This is an incremental improvement for insurance actuaries, automating forecasts with minimal expert input.
The paper tackles loss reserving in insurance by proposing a deep learning approach that jointly models paid losses and claims outstanding, improving predictive accuracy over existing stochastic methods.
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.