G. Pittarello, G. P. Clemente, D. Zappa
Following the approach in W¨uthrich (2018), we propose a new approach for individual claims reserving and we show how individual development factors can be modelled as the prediction target of a system of Bayesian neural networks. This approach allows to take into account the complete information on policyholders available to the insurance company and to provide a new application of Bayesian neural networks to obtain a stochastic claims reserve. This contribution will show a case study that compares the individual chain ladder approach and the Bayesian neural networks model.
Parole Chiave: 
Individual claims reserving, Chain ladder, Bayesian neural networks, Machine learning
Tipo di pubblicazione: 
Rapporto Tecnico
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