Collective reserving using individual claims data
نویسندگان
چکیده
The aim of this paper is to operationalize claims reserving based on individual data. We design a modeling architecture that six different neural networks. Each network separate module serves certain purpose. apply our data and predict their settlement processes monthly time grid. A proof concept provided by benchmarking the resulting reserves with ones received from classical chain-ladder method which uses much coarser (aggregated)
منابع مشابه
Claims Reserving Using Tweedie’s Compound Poisson Model
We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie’s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reaso...
متن کاملRecent Development in Claims Reserving
This contribution deals with recent development in the field of mathematical loss reserving via Chain Ladder that is regarded as the most popular method for setting technical reserves in non life insurance. It could be formulated deterministically or via a stochastic model. However there are some drawbacks of using this method automatically that will be discussed. Its generalisation Munich Chai...
متن کاملStochastic Claims Reserving in General Insurance
This paper considers a wide range of stochastic reserving models for use in general insurance, beginning with stochastic models which reproduce the traditional chain-ladder reserve estimates. The models are extended to consider parametric curves and smoothing models for the shape of the development run-off, which allow extrapolation for the estimation of tail factors. The Bornhuetter-Ferguson t...
متن کاملPaid-Incurred Chain Claims Reserving Method
We present a novel stochastic model for claims reserving that allows to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig’s model [11] and Gogol’s model [8]) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predic...
متن کاملModel risk in claims reserving within Tweedie’s compound Poisson models
In this paper we examine the claims reserving problem using Tweedie’s compound Poisson model. We develop maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare estimated models under different scenarios. The key point we demonstrate relates to comparison of reserving quantities with and without model uncertainty incorporated into the pre...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2021
ISSN: ['1651-2030', '0346-1238']
DOI: https://doi.org/10.1080/03461238.2021.1921836