Forecast of the claim number and claim frequency for a portfolio of car insurance policies using different statistical and machine learning models
The following classes of models are considered:
- Poisson generalized linear models
- Poisson boosting machines
- Neural networks
References:
Ferrario, Andrea, Alexander Noll, and Mario V. Wuthrich. "Insights from inside neural networks." Available at SSRN 3226852 (2020).
Noll, A., Salzmann, R., & Wuthrich, M. V. (2020). Case study: French motor third-party liability claims. Available at SSRN 3164764.
Wüthrich, M.V., Buser, C. (2016). Data Analytics for Non-Life Insurance Pricing. SSRN 2870308.