Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance
Axel Bücher,
Alexander Rosenstock
Abstract:Usually, the actuarial problems of predicting the number of claims incurred but not reported (IBNR) and of modelling claim frequencies are treated successively by insurance companies. New micro-level methods designed for large datasets are proposed that address the two problems simultaneously. The methods are based on an elaborated occurrence process model that includes both a claim intensity model and a claim development model. The influence of claim feature variables is modelled by suitable neural networks. … Show more
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