Related papers: Dynamic and granular loss reserving with copulae
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…
One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is…
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…
We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order $p$ and is achieved through the use of latent variables. We…
The appropriate estimation of incurred but not reported (IBNR) reserves is traditionally one of the most important task of actuaries working in casualty and property insurance. As certain claims are reported many years after their…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…
The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance. This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for…
Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic…
In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid claims. Notably, reserves for different lines of business…
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate…
The occurrence of a claim often impacts not one but multiple insurance coverages provided in the contract. To account for this multivariate feature, we propose a new individual claims reserving model built around the activation of the…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
Detailed information about individual claims are completely ignored when insurance claims data are aggregated and structured in development triangles for loss reserving. In the hope of extracting predictive power from the individual claims…