Stochastic Claims Reserving Methods with State Space Representations: A Review

Risks

卷:9

Nataliya Chukhrova¹  Arne Johannssen¹ 

[1] Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany;

关键词: adaptive learning;    dependence modeling;    evolutionary models;    insurance;    Kalman filter;    machine learning;   

DOI  :  10.3390/risks9110198

来源: DOAJ

【 摘 要 】

Often, the claims reserves exceed the available equity of non-life insurance companies and a change in the claims reserves by a small percentage has a large impact on the annual accounts. Therefore, it is of vital importance for any non-life insurer to handle claims reserving appropriately. Although claims data are time series data, the majority of the proposed (stochastic) claims reserving methods is not based on time series models. Among the time series models, state space models combined with Kalman filter learning algorithms have proven to be very advantageous as they provide high flexibility in modeling and an accurate detection of the temporal dynamics of a system. Against this backdrop, this paper aims to provide a comprehensive review of stochastic claims reserving methods that have been developed and analyzed in the context of state space representations. For this purpose, relevant articles are collected and categorized, and the contents are explained in detail and subjected to a conceptual comparison.

【 授权许可】

Unknown