Individual claims reserving using activation patterns

DOI10.1007/S13385-023-00355-3MaRDI QIDQ6201528zbMATH OpenFDO

Authors Marie Michaelides, Mathieu Pigeon, Hélène Cossette

Publication date 21 February 2024

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.08430

zbMATH Keywords

dependence modellinggranular reservinginsurance coveragesmultinomial

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Abstract: The occurrence of a claim often impacts not one but multiple insurance coverages provided in the contract. To account for this multivariate feature, we propose a new individual claims reserving model built around the activation of the different coverages to predict the reserve amounts. Using the framework of multinomial logistic regression, we model the activation of the different insurance coverages for each claim and their development in the following years, i.e. the activation of other coverages in the later years and all the possible payments that might result from them. As such, the model allows us to complete the individual development of the open claims in the portfolio. Using a recent automobile dataset from a major Canadian insurance company, we demonstrate that this approach generates accurate predictions of the total reserves as well as of the reserves per insurance coverage. This allows the insurer to get better insights in the dynamics of his claims reserves.

Recommendations

• Collective reserving using individual claims data
• Machine learning in individual claims reserving
• An individual claims reserving model for reported claims
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Cites work

• A Bayesian approach to modeling multivariate multilevel insurance claims in the presence of unsettled claims
• A censored copula model for micro-level claim reserving
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• A contribution to modelling of IBNR claims
• A hierarchical reserving model for reported non-life insurance claims
• Applying copula models to individual claim loss reserving methods
• Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims
• Collective reserving using individual claims data
• Conditional least squares and copulae in claims reserving for a single line of business
• Dependent Multi-Peril Ratemaking Models
• Hierarchical insurance claims modeling
• scientific article; zbMATH DE number 3860199 (Why is no real title available?)
• scientific article; zbMATH DE number 3686629 (Why is no real title available?)
• Individual loss reserving using paid-incurred data
• Individual loss reserving with the multivariate skew normal framework
• Machine learning in individual claims reserving
• Micro-level stochastic loss reserving for general insurance
• Multilevel modeling of insurance claims using copulas
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor
• Tree-based censored regression with applications in insurance
• Which stochastic model is underlying the chain ladder method?

Cited in

(3)

• Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle
• Individual loss reserving for multi-coverage insurance
• Parametric estimation of conditional Archimedean copula generators for censored data

This page was built for publication: Individual claims reserving using activation patterns

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6201528)