Centro de Documentacion de Fundación MAPFRE - Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance

MAP20240013455

Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance / Axel Bücher & Alexander Rosenstock

Sumario: Usually, the actuarial problems of predicting the number of claims incurred but not reported (IBNR) and of modelling claim frequencies are treated successively by insurance companies. New micro-level methods designed for large datasets are proposed that address the two problems simultaneously. The methods are based on an elaborated occurrence process model that includes both a claim intensity model and a claim development model. The influence of claim feature variables is modelled by suitable neural networks. Extensive simulation experiments and a case study on a large real data set from a motor legal insurance portfolio show accurate predictions at both the aggregate and individual policy level, as well as appropriate fitted models for claim frequencies. Moreover, a novel alternative approach combining data from classic triangle-based methods with a micro-level intensity model is introduced and compared to the full micro-level approach

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/08/2024 Volumen 14 - Número 2 - agosto 2024 , P. 623-655

1. Seguro de salud . 2. Mercado de seguros . 3. Siniestros . 4. Seguros no vida . 5. Cálculo actuarial . 6. Automóviles . 7. Seguro de automóviles . I. Rosenstock, Alexander . II. Title.