A tree-based algorithm adapted to microlevel reserving and long development claims

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 limited. Through two illustrative examples and introducing an appropriate tree-based algorithm, we show that individual claim reserving can be really promising, especially in the context of long-term risks.
Type de document :
Pré-publication, Document de travail
2019
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https://hal.archives-ouvertes.fr/hal-01868744
Contributeur : Xavier Milhaud <>
Soumis le : jeudi 17 janvier 2019 - 17:26:17
Dernière modification le : mercredi 6 février 2019 - 14:36:11

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WhyUsingIndividualClaimReservi...
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  • HAL Id : hal-01868744, version 2

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Olivier Lopez, Xavier Milhaud, Pierre-Emmanuel Thérond. A tree-based algorithm adapted to microlevel reserving and long development claims. 2019. 〈hal-01868744v2〉

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