Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks (Q6173881)

Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the chain ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. The authors propose a new approach based on a micro-level model for reporting delays involving neural networks. It is shown by simulation experiments and an application to a large-scale real data set involving motor legal insurance claims that the new approach provides more accurate predictions in case of non-homogeneous portfolios.