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Journal Articles ASTIN Bulletin Year : 2019

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

Olivier Lopez
Xavier Milhaud
Pierre-Emmanuel Thérond

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.
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Dates and versions

hal-01868744 , version 1 (05-09-2018)
hal-01868744 , version 2 (17-01-2019)

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Olivier Lopez, Xavier Milhaud, Pierre-Emmanuel Thérond. A tree-based algorithm adapted to microlevel reserving and long development claims. ASTIN Bulletin, 2019, 49 (3), pp.741-762. ⟨10.1017/asb.2019.12⟩. ⟨hal-01868744v2⟩
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