An individual claims history simulation machine

Andrea Gabrielli and Mario V. Wüthrich

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 their own synthetic insurance portfolio of individual claims histories and back-test thier preferred claims reserving method.

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Year of publication:	June 2018
Authors:	Gabrielli, Andrea ; Wüthrich, Mario V.
Published in:	Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 2, p. 1-32
Subject:	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 \| Simulation \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/risks6020029 [DOI] hdl:10419/195821 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011811737