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Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
Axel Bücher1, Alexander Rosenstock1,2
1Mathematisches Institut, Heinrich-Heine-Universität Düsseldorf, Universitätsstraße 1, 40225 Düsseldorf, Germany.
Abstract:
Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. A new approach based on a micro-level model for reporting delays involving neural networks is proposed. It is shown by extensive simulation experiments and an application to a large-scale real data set involving motor legal insurance claims that the new approach provides more accurate predictions in case of non-homogeneous portfolios.
Supplementary Information:
The online version contains supplementary material available at 10.1007/s13385-022-00314-4.
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