Detailed information about individual claims are completely ignored when insurance data aggregated and structured in development triangles for loss reserving. In the hope of extracting predictive power from characteristics, researchers have recently proposed to use micro-level reserving approaches. We introduce a discrete-time framework incorporating granular deep learning approach named Long S...

Often, the claims reserves exceed available equity of non-life insurance companies and a change in by small percentage has large impact on annual accounts. Therefore, it is vital importance for any insurer to handle reserving appropriately. Although data are time series data, majority proposed (stochastic) methods not based models. Among models, state space models combined with Kalman filter le...

A new methodology for financial and insurance operational risk capital estimation is proposed. It is based on using the finite time probability of (non)ruin as an operational risk measure, under a general ruin probability model, according to which operational losses may have any joint (dependent) discrete or continuous distribution, and the function, describing the accumulation of risk capital ...

Abstract Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored count severity observations. Current practice in pricing tackles these via a two-step procedure. First, best estimates computed for number claims that occurred past exposure periods ultimate severities, using historical data. S...

Inflation risk is of high relevance in non-life insurers’ long-tail business and can have a major impact on claims reserving. In this paper, we empirically study claims inflation with focus on automobile liability insurance based on a data set provided by a large German non-life insurance company. The aim is to obtain empirical insight regarding the drivers of claims inflation risk and its impa...

Traditional non-life reserving models largely neglect the vast amount of information collected over lifetime a claim. This includes covariates describing policy, claim cause as well detailed history during claim's development time. We present hierarchical model modular framework for integrating and claim-specific into process. Hierarchical decompose joint likelihood process Moreover, they are t...

The valuation of insurance liabilities has traditionally been dealt with by actuaries, who closely monitored underlying illiquid features, assumed a long-term perspective, and exercised their own subjective, expert judgment. However, the new EU regulatory regime Solvency II (S2) come to require market-consistent supplemented risk-sensitive capital. This is considered an unwanted shift towards s...