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

  • Olivier Lopez (a1), Xavier Milhaud (a2) and Pierre-E. Thérond (a3)
  • Please note a correction has been issued for this article.

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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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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References

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Keywords

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

  • Olivier Lopez (a1), Xavier Milhaud (a2) and Pierre-E. Thérond (a3)
  • Please note a correction has been issued for this article.

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A correction has been issued for this article: