Title: Micro-level stochastic loss reserving in general insurance
Authors: Antonio, Katrien ×
Plat, H.J. #
Issue Date: 2014
Publisher: Scandinavian University Press
Series Title: Scandinavian Actuarial Journal vol:2014 issue:7 pages:649-669
Abstract: The vast literature on stochastic loss reserving concentrates on data aggregated in run-off triangles. However, a triangle is a summary of an underlying data-set with the development of individual claims. We refer to this data-set as ‘micro-level’ data. Using the framework of Position Dependent Marked Poisson Processes) and statistical tools for recurrent events, a data-set is analyzed with liability claims from a European insurance company. We use detailed information of the time of occurrence of the claim, the delay between occurrence and reporting to the insurance company, the occurrences of payments and their sizes, and the final settlement. Our specifications are (semi)parametric and our approach is likelihood based. We calibrate our model to historical data and use it to project the future development of open claims. An out-of-sample prediction exercise shows that we obtain detailed and valuable reserve calculations. For the case study developed in this paper, the micro-level model outperforms the results obtained with traditional loss reserving methods for aggregate data.
ISSN: 0346-1238
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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