Related papers: A multistate approach to disability insurance rese…
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…
In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is…
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…
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…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
Claims reserving, also known as Incurred But Not Reported (IBNR) claims prediction, is an important issue in general insurance. State space modeling is widely recognized as a statistically robust method for addressing this problem. In state…
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…
Point and interval estimation of future disability inception and recovery rates are predominantly carried out by combining generalized linear models (GLM) with time series forecasting techniques into a two-step method involving parameter…
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…
In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
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 an individual claims reserving model based on the conditional Aalen-Johansen estimator, as developed in Bladt and Furrer (2023b). In our approach, we formulate a multi-state problem, where the underlying variable is the…
We introduce an individual claims forecasting framework utilizing Bayesian mixture density networks that can be used for claims analytics tasks such as case reserving and triaging. The proposed approach enables incorporating claims…
Continuous-time multi-state survival models can be used to describe health-related processes over time. In the presence of interval-censored times for transitions between the living states, the likelihood is constructed using transition…
This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and RBNS claims and for modeling IBNR claim counts. We use…
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…
Multimorbidity in older adults is common, heterogeneous, and highly dynamic, and it is strongly associated with disability and increased healthcare utilization. However, existing approaches to studying multimorbidity trajectories are…
We study how nonlinear, state-dependent health dynamics shape economic behavior, inequality, and the evaluation of disability insurance at older ages. Using English panel data, we construct a continuous health index and estimate its…