Individual Claims Generator for Claims Reserving Studies: Data Simulation.R

17 Pages Posted: 15 Jun 2022

See all articles by Melantha Wang

Melantha Wang

UNSW Australia Business School, School of Risk & Actuarial Studies

Mario V. Wuthrich

RiskLab, ETH Zurich

Date Written: June 3, 2022

Abstract

This manuscript explains the individual claims generator “data simulation.R”. We use the statistical computing software R to design this individual claims generator. It may be used for developing and back-testing individual claims reserving methods in non-life insurance. We give a descriptive analysis of the generated data, and we provide Mack’s chain-ladder results as a benchmark.

Keywords: individual claims reserving, granular claims data, individual claims generator, chain-ladder reserving method, Mack’s reserving model, non-life insurance

JEL Classification: G22

Suggested Citation

Wang, Melantha and Wuthrich, Mario V., Individual Claims Generator for Claims Reserving Studies: Data Simulation.R (June 3, 2022). Available at SSRN: https://ssrn.com/abstract=4127073 or http://dx.doi.org/10.2139/ssrn.4127073

Melantha Wang

UNSW Australia Business School, School of Risk & Actuarial Studies

Level 6, East Wing, UNSW Business School Building
Kensington
Sydney, NSW 2052
Australia

Mario V. Wuthrich (Contact Author)

RiskLab, ETH Zurich ( email )

Department of Mathematics
Ramistrasse 101
Zurich, 8092
Switzerland

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