Micro-level parametric duration-frequency-severity modeling for outstanding claim payments

Juan Sebastian Yanez and Mathieu Pigeon

Insurance: Mathematics and Economics, 2021, vol. 98, issue C, 106-119

Abstract: Unlike collective models, individual models have the advantage of keeping the attributes of each claim intact. We propose a three-component parametric individual model that uses this information in the form of explanatory variables. The first component predicts the delays between the occurrence, report, and closure of each claim using parametric survival models. For the second (frequency) and third (severity) components, we use generalized linear models and splice models. Moreover, the elapsed time between report and closure of claims is converted into an exposure variable in the count model. Finally, we discuss estimation procedures, make predictions, and compare the results with other models using a data set from a major Canadian insurance company.

Keywords: Loss Reserving; Individual models; Survival; GLM; Micro Reserve (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:98:y:2021:i:c:p:106-119

DOI: 10.1016/j.insmatheco.2021.01.008

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