We present an approach to individual claims reserving and claim watching in general insurance based on classification and regression trees (CART). We propose a compound model consisting of a frequency section, for the prediction of events concerning...
In a recent paper “Stochastic Chain-Ladder Reserving with Modeled General Inflation”, the effects of modeled general inflation on non-life claims reserving were studied using, along with the so called “market approach”, a stoc...
A highly relevant topic in the actuarial literature is so-called “claim reserving” or “loss reserving”, which involves estimating reserves to be provisioned for pending claims, as they can be deferred over various periods. Thi...
One of the challenges in the healthcare sector is making accurate forecasts across insurance years for claims reserve. Healthcare claims present huge variability and heterogeneity influenced by random decisions of the courts and intrinsic characteris...
In the past two decades increasing computational power resulted in the development of more advanced claims reserving techniques, allowing the stochastic branch to overcome the deterministic methods, resulting in forecasts of enhanced quality. Hence,...
The aim of this paper is to carry out a closed tool to estimate the one-year volatility of the claims reserve, calculated through the generalized linear models (GLM), notably the overdispersed- Poisson model. Up to now, this one-year volatility has b...
This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which co...
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. W...
We consider two possible approaches to the problem of incorporating explicit general (i.e., economic) inflation in the non-life claims reserve estimates and the corresponding reserve SCR, defined—as in Solvency II—under the one-year view....
The Munich chain-ladder method for claims reserving was introduced by Quarg and Mack on an axiomatic basis. We analyze these axioms, and we define a modified Munich chain-ladder method which is based on an explicit stochastic model. This stochastic m...
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootst...
The chain ladder method is a popular technique to estimate the future reserves needed to handle claims that are not fully settled. Since the predictions of the aggregate portfolio (consisting of different subportfolios) do not need to be equal to the...
In actuarial modelling of risk pricing and loss reserving in general insurance, also known as P&C or non-life insurance, there is business value in the predictive power and automation through machine learning. However, interpretability can be cri...
Often, the claims reserves exceed the available equity of non-life insurance companies and a change in the claims reserves by a small percentage has a large impact on the annual accounts. Therefore, it is of vital importance for any non-life insurer...
Estimating loss reserves is a crucial activity for non-life insurance companies. It involves adjusting the expected evolution of claims over different periods of active policies and their fluctuations. The chain-ladder (CL) technique is recognized as...
In this paper, the insurance reserve period will be classified according to the claim frequency domain, such as high- or low-frequency periods. We use the clustering method to create and group claims data according to their frequency period. Meanwhil...
Traditionally, actuaries have used run-off triangles to estimate reserve (“macro” models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncerta...
In stochastic claims reserving, state space models have been used for almost 40 years to forecast loss reserves and to compute their mean squared error of prediction. Although state space models and the associated Kalman filter learning algorithms ar...
The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance a...
The goal of this paper was to exploit the Bayesian approach and MCMC procedures to structure an internal model to quantify the reserve risk of a non-life insurer under Solvency II regulation. To this aim, we provide an extension of the Correlated Cha...
We introduce a generalization of the one-dimensional accelerated failure time model allowing the covariate effect to be any positive function of the covariate. This function and the baseline hazard rate are estimated nonparametrically via an iterativ...
In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes. Applying t...
This paper proposes a generalized deep learning approach for predicting claims developments for non-life insurance reserving. The generalized approach offers more flexibility and accuracy in solving actuarial reserving problems. It predicts claims ou...
Equalization reserves is an insurance liability with features of own capital. By law, Swiss reinsurance and non-life undertakings must hold equalization reserves within their statutory accounts. Regarding Swiss solvency modeling, the equalization res...
We analyse four stochastic claims reserving methods in terms of their capability to estimate reserve risk and how successful they are at predicting distributions and VaRs of claim developments in particular. Both actual data and hypothetical claim tr...
We build an argument directed to agnostics who think there’s a realistic possibility some specific revelatory claim is true (for instance, the Christian, or Judaic, or Islamic claim) and who find that claim more plausible than its theistic comp...
We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process. In addition, the two net cumulative claim proces...
This paper works on the claims data generated by individual policies which are randomly exposed to a period of continuous time. The main aim is to model the occurrence times of individual claims, as well as their developments given the feature inform...
It is probably fair to date loss reserving by means of claim modelling from the late 1960s [...]
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initi...
We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a simulation study. The first goal is to validate the so-called linear emergence pattern formula, which maps the ultimate loss to the on...
A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with...
We propose a novel approach for loss reserving based on deep neural networks. The approach allows for joint modeling of paid losses and claims outstanding, and incorporation of heterogeneous inputs. We validate the models on loss reserving data acros...
In this paper, we propose models for non-life loss reserving combining traditional approaches such as Mack’s or generalized linear models and gradient boosting algorithm in an individual framework. These claim-level models use information about...
Modelling claim frequency and claim severity are topics of great interest in property-casualty insurance for supporting underwriting, ratemaking, and reserving actuarial decisions. Standard Generalized Linear Models (GLM) frequency–severity mod...
This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinato...
The estimation of age-to-age development factors is fundamental to loss reserving, with direct implications for risk management and regulatory compliance in the auto insurance sector. The precise and robust estimation of these factors underpins the c...
This paper provides a complete program for the valuation of aggregate non-life insurance liability cash flows based on claims triangle data. The valuation is fully consistent with the principle of valuation by considering the costs associated with a...
Legumes are valued in agricultural systems, as they can contribute to a more sustainable land use. However, their economic value is low. Despite health and environmental benefits, marketers struggle to communicate the worth of legumes to consumers. W...
This paper proposes a quantum computing approach for insurance capital modelling. Using an open-source software development kit, Qiskit, an algorithm for working on a superconducting type IBM quantum computer is developed and implemented to predict t...
We present some new evidence on the tail distribution of commercial property losses based on a recently constructed dataset on large commercial risks. The dataset is based on contributions from Lloyd’s of London syndicates, and provides information o...
In terms of a human responsibility for the wrongful expulsion of non-human nature from natural habitats through wildfires, global warming, the over-exploitation of lands, seas and biological life, humanity is forced to revisit some fundamental issues...
The establishment of enclosed conservation areas are claimed to be the driving force for the long-term survival of wildlife populations. Whilst fencing provides an important tool in conservation, it simultaneously represents a controversial matter as...
We investigate a control problem leading to the optimal payment of dividends in a Cramér-Lundberg-type insurance model in which capital injections incur proportional cost, and may be used or not, the latter resulting in bankruptcy. For general claims...
Estimating outstanding claims reserves in the non-life insurance business is often impaired by outlier-contaminated datasets. Widely used methods to eliminate outliers in non-life development triangles are either limiting the number of outliers by ro...
One of the most difficult types of land-related conflict is that between Indigenous peoples and third parties, such as settler farmers or companies looking for new opportunities who are encroaching on Indigenous communal lands. Nearly 30% of Colombia...
Research Highlights: Landscape approach principles were developed to address competing claims on resources at local scales. We used the principles to address agricultural expansion in Ghana’s forest reserves. Background and Objectives: Agricult...
In non-life insurance practice, actuaries are often faced with the challenge of predicting the number of claims and claim amounts to be incurred at any given time, which serve to implement fair pricing and reserves given the nature of the risk. This...
With more than 25 million tests sold by early 2019, direct-to-consumer genetic ancestry tests expose the public to critical issues of genetics, ancestry, and identity. This study examines how individuals understand the results of a genetic ancestry t...
Two insurance companies I 1 , I 2 with reserves R 1 ( t ) , R 2 ( t ) compete for customers, such that in a suitable differential game the smaller company I 2 with R 2 ( 0 ) < R 1 ( 0 ) aims at m...
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