Collective reserving using individual claims data

Łukasz Delong, Mathias Lindholm and Mario V. Wüthrich

Scandinavian Actuarial Journal, 2022, vol. 2022, issue 1, 1-28

Abstract: 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.

Date: 2022
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DOI: 10.1080/03461238.2021.1921836

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