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Individual Claim Loss Reserving Conditioned by Case Estimates

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  • Taylor, Greg
  • McGuire, Gráinne
  • Sullivan, James

Abstract

This paper examines various forms of individual claim model for the purpose of loss reserving, with emphasis on the prediction error associated with the reserve. Each form of model is calibrated against a single extensive data set, and then used to generate a forecast of loss reserve and an estimate of its prediction error. The basis of this is a model of the “paids” type, in which the sizes of strictly positive individual finalised claims are expressed in terms of a small number of covariates, most of which are in some way functions of time. Such models can be found in the literature. The purpose of the current paper is to extend these to individual claim “incurreds” models. These are constructed by the inclusion of case estimates in the model's conditioning information. This form of model is found to involve rather more complexity in its structure. For the particular data set considered here, this did not yield any direct improvement in prediction error. However, a blending of the paids and incurreds models did so.

Suggested Citation

  • Taylor, Greg & McGuire, Gráinne & Sullivan, James, 2008. "Individual Claim Loss Reserving Conditioned by Case Estimates," Annals of Actuarial Science, Cambridge University Press, vol. 3(1-2), pages 215-256, September.
    • Handle: RePEc:cup:anacsi:v:3:y:2008:i:1-2:p:215-256_00
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    Citations

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    Cited by:

    1. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
    2. Łukasz Delong & Mario V. Wüthrich, 2020. "Neural Networks for the Joint Development of Individual Payments and Claim Incurred," Risks, MDPI, vol. 8(2), pages 1-34, April.
    3. Stephan M. Bischofberger, 2020. "In-Sample Hazard Forecasting Based on Survival Models with Operational Time," Risks, MDPI, vol. 8(1), pages 1-17, January.
    4. Jacky H. L. Poon, 2019. "Penalising Unexplainability in Neural Networks for Predicting Payments per Claim Incurred," Risks, MDPI, vol. 7(3), pages 1-11, September.
    5. Sebastian Calcetero-Vanegas & Andrei L. Badescu & X. Sheldon Lin, 2023. "Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method," Papers 2307.10808, arXiv.org, revised Jun 2024.
    6. Christopher Blier-Wong & Hélène Cossette & Luc Lamontagne & Etienne Marceau, 2020. "Machine Learning in P&C Insurance: A Review for Pricing and Reserving," Risks, MDPI, vol. 9(1), pages 1-26, December.
    7. Francis Duval & Mathieu Pigeon, 2019. "Individual Loss Reserving Using a Gradient Boosting-Based Approach," Risks, MDPI, vol. 7(3), pages 1-18, July.
    8. Massimo De Felice & Franco Moriconi, 2019. "Claim Watching and Individual Claims Reserving Using Classification and Regression Trees," Risks, MDPI, vol. 7(4), pages 1-36, October.
    9. Richard J. Verrall & Mario V. Wüthrich, 2016. "Understanding Reporting Delay in General Insurance," Risks, MDPI, vol. 4(3), pages 1-36, July.
    10. Taylor, Greg, 2021. "A special Tweedie sub-family with application to loss reserving prediction error," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 262-288.
    11. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    12. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.
    13. Zhao, XiaoBing & Zhou, Xian, 2010. "Applying copula models to individual claim loss reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 290-299, April.
    14. Greg Taylor, 2019. "Loss Reserving Models: Granular and Machine Learning Forms," Risks, MDPI, vol. 7(3), pages 1-18, July.
    15. Ihsan Chaoubi & Camille Besse & H'el`ene Cossette & Marie-Pier C^ot'e, 2022. "Micro-level Reserving for General Insurance Claims using a Long Short-Term Memory Network," Papers 2201.13267, arXiv.org.
    16. Avanzi, Benjamin & Wong, Bernard & Yang, Xinda, 2016. "A micro-level claim count model with overdispersion and reporting delays," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 1-14.
    17. Benjamin Avanzi & Gregory Clive Taylor & Bernard Wong & Xinda Yang, 2020. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Papers 2004.11169, arXiv.org, revised Dec 2020.
    18. Pavel Zimmermann, 2011. "Possibilities of Individual Claim Reserve Risk Modeling," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2011(6), pages 46-64.
    19. Andrea Gabrielli & Mario V. Wüthrich, 2018. "An Individual Claims History Simulation Machine," Risks, MDPI, vol. 6(2), pages 1-32, March.
    20. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2019. "Infinitely Stochastic Micro Forecasting," Papers 1908.10636, arXiv.org, revised Sep 2019.
    21. Benjamin Avanzi & Gregory Clive Taylor & Melantha Wang, 2021. "SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator," Papers 2109.04058, arXiv.org, revised Mar 2022.
    22. Yanez, Juan Sebastian & Pigeon, Mathieu, 2021. "Micro-level parametric duration-frequency-severity modeling for outstanding claim payments," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 106-119.

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