Collective reserving using individual claims data
| Autor: | Mathias Lindholm, Łukasz Delong, Mario V. Wüthrich |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
Statistics and Probability
Economics and Econometrics RBNS claims Operationalization Artificial neural network Operations research Computer science Claims reserving chain-ladder method over-dispersed Poisson model Benchmarking General insurance neural networks Grid Data science Chain-ladder method Individual claims data micro-level reserving IBNR claims Proof of concept Claims data Statistics Probability and Uncertainty Architecture Settlement (litigation) |
| Zdroj: | Scandinavian Actuarial Journal, 2022 (1) |
| ISSN: | 0346-1238 1651-2030 |
| Popis: | The aim of this paper is to operationalize claims reserving based on individual claims data. We design a modeling architecture that is based on six different neural networks. Each network is a separate module that serves a certain modeling purpose. We apply our architecture to individual claims data and predict their settlement processes on a monthly time grid. A proof of concept is provided by benchmarking the resulting claims reserves with the ones received from the classical chain-ladder method which uses much coarser (aggregated) data. Scandinavian Actuarial Journal, 2022 (1) ISSN:0346-1238 ISSN:1651-2030 |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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