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Simulate Claims

Brian A. Fannin

2022-01-25

Individual claim simulation fits into two basic categories: 1) wait-time and 2) link ratio. An example of the first may be found in Stanard and an example of the second may be found in Guszcza.

Wait-time modelling

Claim simulation occurs once we have a data frame of policies. For each row in this data frame, we will simulate zero or more claims and zero or more claim transactions.

library(imaginator)
set.seed(12345)
tbl_policy <- policies_simulate(2, 2001:2005)

We’ll begin with non-stochastic wait times and claim frequencies.

tbl_claim_transaction <- claims_by_wait_time(
  tbl_policy,
  claim_frequency = 2,
  payment_frequency = 3,
  occurrence_wait = 10,
  report_wait = 5,
  pay_wait = 5,
  pay_severity = 50)

Here we have assumed that each policy will generate 2 claims and each claim will produce 3 payment. Because we have 10 policies, this means we have 60 claim payments. Here they are for the first policy:

claim_id occurrence_date report_date payment_date payment_amount
1 2001-06-02 2001-06-07 2001-06-12 50
1 2001-06-02 2001-06-07 2001-06-17 50
1 2001-06-02 2001-06-07 2001-06-22 50
2 2001-06-02 2001-06-07 2001-06-12 50
2 2001-06-02 2001-06-07 2001-06-17 50
2 2001-06-02 2001-06-07 2001-06-22 50

Let’s do that again with some random amounts. We’ll keep the claim frequency fixed so that we can compare to the output above.

library(distributions3)
tbl_claim_transaction <- claims_by_wait_time(
  tbl_policy,
  claim_frequency = 2,
  payment_frequency = Poisson(2),
  occurrence_wait = Poisson(10),
  report_wait = Poisson(5),
  pay_wait = Poisson(5),
  pay_severity = LogNormal(log(50), 0.5 * log(50)))
claim_id occurrence_date report_date payment_date payment_amount
1 2001-05-27 2001-06-03 2001-06-07 8.660829
1 2001-05-27 2001-06-03 2001-06-13 273.995097
1 2001-05-27 2001-06-03 2001-06-23 134.503747
1 2001-05-27 2001-06-03 2001-06-29 95.663423
2 2001-06-03 2001-06-06 2001-06-11 1503.396967
2 2001-06-03 2001-06-06 2001-06-19 49.134663

Note that the transaction data is denormalized. The policy and claim information fields are repeated.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.