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Individual Claims History Simulation Machine

We provide a fully calibrated simulation machine that allows one to simulate individual claims histories of non-life insurance claims. These claims histories depend on individual claims features, such as the age of the injured, and the resulting simulations provide reporting delays, individual cash flow patterns as well as the claims closing processes.

For a description of the R package:
Readme.pdf

For mathematical details we refer to the following reference:
An individual claims history simulation machine
(with A. Gabrielli). Risks 6/2 (2018), 29.

▸ Simulation Machine (Version 1) (zip download)

For further reading:
Back-testing the chain-ladder method
(with A. Gabrielli). SSRN Manuscript, ID 3211107, 2018.

 
 
 
 

v-a Heatmap Simulation Machine

We provide an R code that allows to simulate (synthetic) v-a heatmaps of individual car drivers in the speed bucket (5,20]km/h. This simulation machine is based on a neural network architecture which has been calibrated to real GPS car driving data. The scale has been chosen rather coarse for computational reasons. For mathematical details we refer to the following reference:

Feature extraction from telematics car driving heatmaps
(with G. Gao). To appear in European Actuarial Journal .

▸ Simulation Machine (Version 1) (zip download)

For further reading:
Claims frequency modeling using telematics car driving data
(with G. Gao, S. Meng). To appear in Scandinavian Actuarial Journal .