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Collective reserving using individual claims data
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0001-7235-384x
Number of Authors: 32022 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, Vol. 2022, no 1, p. 1-28Article in journal (Refereed) Published
Abstract [en]

The aim of this paper is to operationalize claims reserving based on individual claims data. We design a modeling architecture that is based on six different neural networks. Each network is a separate module that serves a certain modeling purpose. We apply our architecture to individual claims data and predict their settlement processes on a monthly time grid. A proof of concept is provided by benchmarking the resulting claims reserves with the ones received from the classical chain-ladder method which uses much coarser (aggregated) data.

Place, publisher, year, edition, pages
2022. Vol. 2022, no 1, p. 1-28
Keywords [en]
Claims reserving, individual claims data, micro-level reserving, neural networks, IBNR claims, RBNS claims, chain-ladder method, over-dispersed Poisson model
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-195613DOI: 10.1080/03461238.2021.1921836ISI: 000648794900001OAI: oai:DiVA.org:su-195613DiVA, id: diva2:1587482
Available from: 2021-08-24 Created: 2021-08-24 Last updated: 2022-02-25Bibliographically approved

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Lindholm, Mathias

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