Individual Claims History Simulation Machine
34 Pages Posted: 6 Mar 2018
Date Written: February 26, 2018
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
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