Related papers: One-Shot Individual Claims Reserving
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…
Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…
Outstanding claim liabilities are revised repeatedly as claims develop, yet most modern reserving models are trained as one-shot predictors and typically learn only from settled claims. We formulate individual claims reserving as a…
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…
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…
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…
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…
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…
The Chain-Ladder (CL) method remains the dominant macro-level technique for claims reserving in non-life insurance, yet its classical formulation lacks a coherent probabilistic foundation. Existing stochastic extensions-including the Mack…
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…
Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunately, the literature in robust methods of reserving is scant,…
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…
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…
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…
Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and…
An insurance company is required to prepare a certain amount of money, called reserve, as a mean to pay its policy holders claims in the future. There are several types of reserve, one of them is IBNR reserve, for which the payments are…
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…
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…
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…
An intensive research sprang up for stochastic methods in insurance during the past years. To meet all future claims rising from policies, it is requisite to quantify the outstanding loss liabilities. Loss reserving methods based on…