An individual claims history simulation machine

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Risks ; ISSN: 2227-9091 ; Volume: 6 ; Year: 2018 ; Issue: 2 ; Pages: 1-32 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: 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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gabrielli, Andrea ; Wüthrich, Mario V.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2018

Further information

• DOI: doi:10.3390/risks6020029
• Handle: http://hdl.handle.net/10419/195821
• Last update: 10.03.2025, 11:44 AM CET