<tt>SPLICE:</tt> a synthetic paid loss and incurred cost experience simulator

نویسندگان

چکیده

In this paper, we first introduce a simulator of cases estimates incurred losses, called `SPLICE` (Synthetic Paid Loss and Incurred Cost Experience). three modules, case are simulated in continuous time, record is output for each individual claim. Revisions the also as sequence over lifetime claim, number different situations. Furthermore, some dependencies relation to losses incorporated, particularly recognizing certain properties that found practice. For example, magnitude revisions depends on ultimate claim size, does distribution time. Some these occur response occurrence payments, so requires input per-claim payment histories. The data can be summarized by accident "periods" whose duration an arbitrary choice (e.g. month, quarter, etc.) available user. fully documented R package publicly open source (on CRAN). It built existing experience `SynthETIC` (Avanzi et al., 2021a,b), which offers flexible modelling occurrence, notification, well timing partial payments. This contrast with constitute additional contribution `SPLICE`. inclusion loss provides facility almost no other simulators do.

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ژورنال

عنوان ژورنال: Annals of Actuarial Science

سال: 2022

ISSN: ['1748-5002', '1748-4995']

DOI: https://doi.org/10.1017/s1748499522000057