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 an illustrative example and introducing an appropriate tree-based algorithm, we show that individual claim reserving can be promising, especially in the context of long-term risks.
Cass Business School, 106 Bunhill Row
106 Bunhill Row, London EC1Y 8TZ, UK