Ensemble distributional forecasting for insurance loss reserving
Fuente:
arXiv
Saved in:
| Main Authors: | Avanzi, Benjamin, Li, Yanfeng, Wong, Bernard, Xian, Alan |
|---|---|
| Format: | Preprint |
| Published: |
2022
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024)
by: Avanzi, Benjamin, et al.
Published: (2024)
Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026)
by: Avanzi, Benjamin, et al.
Published: (2026)
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023)
by: Avanzi, Benjamin, et al.
Published: (2023)
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
by: Avanzi, Benjamin, et al.
Published: (2023)
by: Avanzi, Benjamin, et al.
Published: (2023)
Comparative Evaluation of VaR Models: Historical Simulation, GARCH-Based Monte Carlo, and Filtered Historical Simulation
by: Tian, Xin
Published: (2025)
by: Tian, Xin
Published: (2025)
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
by: Sarantsev, Andrey, et al.
Published: (2025)
by: Sarantsev, Andrey, et al.
Published: (2025)
When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
by: Avanzi, Benjamin, et al.
Published: (2025)
by: Avanzi, Benjamin, et al.
Published: (2025)
Foundations of a Time-Consistent Counterfactual Actuarial Runtime for Autonomous AI Agents
by: Chen, Hao-Hsuan
Published: (2026)
by: Chen, Hao-Hsuan
Published: (2026)
Measuring risk contagion in financial networks with CoVaR
by: Das, Bikramjit, et al.
Published: (2023)
by: Das, Bikramjit, et al.
Published: (2023)
Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index
by: Oketunji, Abiodun Finbarrs
Published: (2025)
by: Oketunji, Abiodun Finbarrs
Published: (2025)
Efficiency versus Robustness under Tail Misspecification: Importance Sampling and Moment-Based VaR Bracketing
by: Aditri
Published: (2026)
by: Aditri
Published: (2026)
Market-based insurance ratemaking: application to pet insurance
by: Goffard, Pierre-Olivier, et al.
Published: (2025)
by: Goffard, Pierre-Olivier, et al.
Published: (2025)
A Note on Subadditivity of Value at Risks (VaRs): A New Connection to Comonotonicity
by: Imamura, Yuri, et al.
Published: (2025)
by: Imamura, Yuri, et al.
Published: (2025)
Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
by: Klinge, Jonathan, et al.
Published: (2026)
by: Klinge, Jonathan, et al.
Published: (2026)
Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)
by: Casto, Gabriele
Published: (2025)
The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement
by: Kashyap, Ravi
Published: (2024)
by: Kashyap, Ravi
Published: (2024)
Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)
by: Boonen, Tim J., et al.
Published: (2025)
Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)
by: Liu, Peng, et al.
Published: (2024)
Coherent estimation of risk measures
by: Aichele, Martin, et al.
Published: (2025)
by: Aichele, Martin, et al.
Published: (2025)
Causal analysis of extreme risk in a network of industry portfolios
by: Klüppelberg, Claudia, et al.
Published: (2025)
by: Klüppelberg, Claudia, et al.
Published: (2025)
Elicitability and identifiability of tail risk measures
by: Fissler, Tobias, et al.
Published: (2024)
by: Fissler, Tobias, et al.
Published: (2024)
Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)
by: Tam, Brandon, et al.
Published: (2026)
Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)
by: Deng, Fengnan, et al.
Published: (2025)
Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)
by: Liang, Yunqi, et al.
Published: (2026)
Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)
by: Sopgoui, Lionel
Published: (2024)
Uncertain Regulations, Definite Impacts: The Impact of the US Securities and Exchange Commission's Regulatory Interventions on Crypto Assets
by: Saggu, Aman, et al.
Published: (2024)
by: Saggu, Aman, et al.
Published: (2024)
Robust distortion risk metrics and portfolio optimization
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
A note on continuity and asymptotic consistency of measures of risk and variability
by: Gao, Niushan, et al.
Published: (2024)
by: Gao, Niushan, et al.
Published: (2024)
Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)
by: Firouzi, Kiarash
Published: (2025)
Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring
by: Flores-Silva, Daniela I., et al.
Published: (2025)
by: Flores-Silva, Daniela I., et al.
Published: (2025)
Robust distortion risk measures with linear penalty under distribution uncertainty
by: Du, Yuxin, et al.
Published: (2025)
by: Du, Yuxin, et al.
Published: (2025)
Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)
by: Opdyke, JD
Published: (2025)
Calibration of the rating transition model for high and low default portfolios
by: He, Jian, et al.
Published: (2024)
by: He, Jian, et al.
Published: (2024)
Distributionally Robust Insurance under Bregman-Wasserstein Divergence
by: Jiang, Wenjun, et al.
Published: (2026)
by: Jiang, Wenjun, et al.
Published: (2026)
On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)
by: Han, Xiangyu, et al.
Published: (2025)
The Population Resemblance Statistic: A Chi-Square Measure of Fit for Banking
by: Potgieter, Nelis, et al.
Published: (2023)
by: Potgieter, Nelis, et al.
Published: (2023)
Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)
by: Laeven, Roger J. A., et al.
Published: (2024)
Similar Items
-
Distributional Refinement Network: Distributional Forecasting via Deep Learning
by: Avanzi, Benjamin, et al.
Published: (2024) -
Dynamic Financial Analysis (DFA) of General Insurers under Climate Change
by: Avanzi, Benjamin, et al.
Published: (2025) -
Reinforcement Learning for Micro-Level Claims Reserving
by: Avanzi, Benjamin, et al.
Published: (2026) -
Machine Learning with High-Cardinality Categorical Features in Actuarial Applications
by: Avanzi, Benjamin, et al.
Published: (2023) -
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
by: Avanzi, Benjamin, et al.
Published: (2025)