22 citations · 82 across the 10 of their papers we have counts for
3 papers · 1 filter
Auto-balanced common shock claim models
Greg Taylor, Phuong Anh Vu
The paper is concerned with common shock models of claim triangles. These are usually constructed as a linear combinations of shock components and idiosyncratic components. Previou…
SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator
Benjamin Avanzi, Gregory Clive Taylor, Melantha Wang
In this paper, we first introduce a simulator of cases estimates of incurred losses, called `SPLICE` (Synthetic Paid Loss and Incurred Cost Experience). In three modules, case esti…
Stochastic loss reserving with mixture density neural networks
Muhammed Taher Al-Mudafer, Benjamin Avanzi, Greg Taylor +1
Neural networks offer a versatile, flexible and accurate approach to loss reserving. However, such applications have focused primarily on the (important) problem of fitting accurat…