\texttt{SynthETIC}: an individual insurance claim simulator with feature control

DOI10.48550/ARXIV.2008.05693MaRDI QIDQ87223zbMATH OpenOpenAlexFDO

Authors Benjamin Avanzi, Gregory Clive Taylor, Melantha Wang, Bernard Wong, Benjamin Avanzi, Greg Taylor, Melantha Wang, Bernard Wong

Publication date 13 August 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.05693

zbMATH Keywords

\texttt{SynthETIC}granular modelsindividual claim simulatorindividual claimsloss reservingpartial paymentssimulated lossessuperimposed inflation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)

Abstract: Recent years have seen rapid increase in the application of machine learning to insurance loss reserving. They yield most value when applied to large data sets, such as individual claims, or large claim triangles. In short, they are likely to be useful in the analysis of any data set whose volume is sufficient to obscure a naked-eye view of its features. Unfortunately, such large data sets are in short supply in the actuarial literature. Accordingly, one needs to turn to synthetic data. Although the ultimate objective of these methods is application to real data, the use of synthetic data containing features commonly observed in real data is also to be encouraged. While there are a number of claims simulators in existence, each valuable within its own context, the inclusion of a number of desirable (but complicated) data features requires further development. Accordingly, in this paper we review those desirable features, and propose a new simulator of individual claim experience called `SynthETIC`. Our simulator is publicly available, open source, and fills a gap in the non-life actuarial toolkit. The simulator specifically allows for desirable (but optionally complicated) data features typically occurring in practice, such as variations in rates of settlements and development patterns; as with superimposed inflation, and various discontinuities, and also enables various dependencies between variables. The user has full control of the mechanics of the evolution of an individual claim. As a result, the complexity of the data set generated (meaning the level of difficulty of analysis) may be dialled anywhere from extremely simple to extremely complex.

Recommendations

• An individual claims reserving model for reported claims
• A statistical basis for claims experience monitoring
• Collective reserving using individual claims data
• scientific article; zbMATH DE number 3850334
• Machine learning in individual claims reserving

Cites work

• scientific article; zbMATH DE number 3936330 (Why is no real title available?)
• A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Double Chain Ladder and Bornhuetter-Ferguson
• Machine learning in individual claims reserving
• Neural networks applied to chain-ladder reserving
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Stochastic claims reserving methods in insurance

Cited in

(5)

• scientific article; zbMATH DE number 1980966 (Why is no real title available?)
• SynthETIC
• Stochastic loss reserving with mixture density neural networks
• Ensemble distributional forecasting for insurance loss reserving
• A hierarchical reserving model for reported non-life insurance claims

Describes a project that uses

Uses Software

• SynthETIC
• fitdistrplus
• DCL
• ChainLadder
• actuar

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