Micro-level VS macro-level reserving in non-life insurance: why and when?

Abstract : In non-life insurance, business sustainability requires accurate and robust predictions of reserves related to unpaid claims. To this aim, two different approaches have historically been developed: aggregated loss triangles and individual claim reserving. The former has reached operational great success in the past decades, whereas the use of the latter still remains very limited. Through two illustrative examples and introducing a new tree-based algorithm, we show, not surprisingly, that individual claim reserving is really promising in the context of long-term risks.
Type de document :
Pré-publication, Document de travail
2018
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https://hal.archives-ouvertes.fr/hal-01868744
Contributeur : Xavier Milhaud <>
Soumis le : mercredi 5 septembre 2018 - 17:37:41
Dernière modification le : vendredi 23 novembre 2018 - 01:48:11
Document(s) archivé(s) le : jeudi 6 décembre 2018 - 17:31:15

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  • HAL Id : hal-01868744, version 1

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Olivier Lopez, Xavier Milhaud, Pierre-Emmanuel Thérond. Micro-level VS macro-level reserving in non-life insurance: why and when?. 2018. 〈hal-01868744〉

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