Artikel
An individual claims history simulation machine
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 2 ; Pages: 1-32 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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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
- Event
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Geistige Schöpfung
- (who)
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Gabrielli, Andrea
Wüthrich, Mario V.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2018
- DOI
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doi:10.3390/risks6020029
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Gabrielli, Andrea
- Wüthrich, Mario V.
- MDPI
Time of origin
- 2018
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Analysis of stochastic reserving models by means of NAIC claims data
On the validation of claims with excess zeros in liability insurance: A comparative study
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