Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195821 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-32
Publisher: 
MDPI, Basel
Abstract: 
The aim of this project is to develop a stochastic simulation machine that generates individual claims histories of non-life insurance claims. This simulation machine is based on neural networks to incorporate individual claims feature information. We provide a fully calibrated stochastic scenario generator that is based on real non-life insurance data. This stochastic simulation machine allows everyone to simulate their own synthetic insurance portfolio of individual claims histories and back-test thier preferred claims reserving method.
Subjects: 
claims reserving
individual claims
claims cash flows
micro-level stochastic reserving
loss reserving
claims simulation
neural network reserving
individual claims features
individual claims covariates
chain-ladder
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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