An Individual Claims History Simulation Machine

Andrea Gabrielli and Mario V. Wüthrich
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Andrea Gabrielli: RiskLab, Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
Mario V. Wüthrich: RiskLab, Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland

Risks, 2018, vol. 6, issue 2, 1-32

Abstract: The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We provide a fully calibrated stochastic scenario generator that is based on real non-life insurance data. This stochastic simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back-test thier preferred claims reserving method.

Keywords: claims reserving; individual claims; claims cash flows; micro-level stochastic reserving; loss reserving; claims simulation; neural network reserving; individual claims features; individual claims covariates; chain-ladder (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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