Mack-Net model: Blending Mack’s model with Recurrent Neural Networks

作者：

Highlights：

• The proposed Mack-Net model leads to a more accurate reserve prediction.

• Mack-Net model generates more appropriate risk measures than Mack’s model.

• Mack-Net model does not increase the variance to generate an appropriate VaR.

• Neural Networks estimate more accurate parameters than usual reserving models.

摘要

•The proposed Mack-Net model leads to a more accurate reserve prediction.•Mack-Net model generates more appropriate risk measures than Mack’s model.•Mack-Net model does not increase the variance to generate an appropriate VaR.•Neural Networks estimate more accurate parameters than usual reserving models.

论文关键词：Deep learning,Mack’s model,Recurrent Neural Networks,Reserving risk,Stochastic reserving

论文评审过程：Received 21 September 2020, Revised 8 January 2022, Accepted 29 March 2022, Available online 6 April 2022, Version of Record 21 April 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117146