کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7354564 1477193 2018 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
چکیده انگلیسی
In this paper, we visualize the loss reserve runoff triangle as a spatially-organized data set. We apply Gaussian Process (GP) regression with input warping and several covariance functions to estimate future claims. We then compare our results over a range of product lines, including workers' comp, medical malpractice, and personal auto. Even though the claims development of the lines are very different, the GP method is very flexible and can be applied to each without much customization. We find that our model generally outperforms the classical chain ladder model as well as the recently proposed hierarchical growth curve models of Guszcza (2008) in terms of point-wise predictive accuracy and produces dramatically better estimates of outstanding claims liabilities.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 82, September 2018, Pages 124-140
نویسندگان
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