Individual Claims History Simulation Machine

34 Pages Posted: 6 Mar 2018

Date Written: February 26, 2018

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 his own synthetic insurance portfolio of individual claims histories and back-test his 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

JEL Classification: G22, G28

Suggested Citation

Gabrielli, Andrea and Wuthrich, Mario V., Individual Claims History Simulation Machine (February 26, 2018). Available at SSRN: https://ssrn.com/abstract=3130560 or http://dx.doi.org/10.2139/ssrn.3130560

Andrea Gabrielli

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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