Machine Learning in Individual Claims Reserving

19 Pages Posted: 11 Nov 2016 Last revised: 29 Mar 2017

Mario V. Wuthrich

RiskLab, ETH Zurich

Date Written: November 11, 2016

Abstract

Machine learning techniques make it feasible to calculate claims reserves on individual claims data. This paper illustrates how these techniques can be used by providing an explicit example in individual claims reserving.

Keywords: individual claims data, individual claims reserving, micro-level stochastic reserving, regression tree, machine learning

JEL Classification: G22, G28

Suggested Citation

Wuthrich, Mario V., Machine Learning in Individual Claims Reserving (November 11, 2016). Swiss Finance Institute Research Paper No. 16-67. Available at SSRN: https://ssrn.com/abstract=2867897 or http://dx.doi.org/10.2139/ssrn.2867897

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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