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A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS

Published online by Cambridge University Press:  07 May 2019

Olivier Lopez
Affiliation:
Sorbonne Université, CNRS Laboratoire de Probabilités Statistique et Modélisation LPSM, 4 place Jussieu F-75005 Paris, France
Xavier Milhaud*
Affiliation:
Université de Lyon Université Claude Bernard Lyon1 ISFA, LSAF, F-69007, Lyon, France E-Mail: xavier.milhaud@univ-lyon1.fr
Pierre-E. Thérond
Affiliation:
Galea & Associés 25 rue de Choiseul 75002, Paris, France

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
Research Article
Copyright
© Astin Bulletin 2019 

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Footnotes

*

The affiliation for Pierre-E. Thérond has been updated since this article’s original publication. An erratum detailing this change has also been published. See https://doi.org/10.1017/asb.2019.21.

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A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS
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