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Open AccessArticle

An Individual Claims History Simulation Machine

RiskLab, Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092 Zürich, Switzerland
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Risks 2018, 6(2), 29; https://doi.org/10.3390/risks6020029
Received: 5 March 2018 / Revised: 26 March 2018 / Accepted: 27 March 2018 / Published: 30 March 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 their own synthetic insurance portfolio of individual claims histories and back-test thier preferred claims reserving method. View Full-Text
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 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
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Gabrielli, A.; V. Wüthrich, M. An Individual Claims History Simulation Machine. Risks 2018, 6, 29.

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