Download This PaperIndividual Claims Generator for Claims Reserving Studies: Data Simulation.R
17 Pages Posted: 15 Jun 2022
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: Suggested Citation
Melantha Wang
UNSW Australia Business School, School of Risk & Actuarial Studies
Level 6, East Wing, UNSW Business School Building
Kensington
Sydney, NSW 2052
Australia