SynthETIC: an individual insurance claim simulator with feature control
share
A simulator of individual claim experience called SynthETIC is described. It is publicly available, open source and fills a gap in the non-life actuarial toolkit. It simulates, for each claim, occurrence, notification, the timing and magnitude of individual partial payments, and closure. Inflation, including (optionally) superimposed inflation, is incorporated in payments. Superimposed inflation may occur over calendar or accident periods. The claim data are summarized by accident and payment "periods" whose duration is an arbitrary choice (e.g. month, quarter, etc.) available to the user. The code is structured as eight modules (occurrence, notification, etc.), any one or more of which may be re-designed according to the user's requirements. The default version is parameterized so as to include a broad (though not numerically precise) resemblance to the major features of experience of a specific (but anonymous) Auto Bodily Injury portfolio. It thus reflects a number of desirable (but complicated) data features, but the general structure is suitable for most lines of business, with some amendment of modules. The structure of the simulator enables the inclusion of a number of important dependencies between the variables related to an individual claim, e.g. dependence of notification delay on claim size, of the size of a partial payment on the sizes of those preceding, etc. The user has full control of the mechanics of the evolution of an individual claim. As a result, the complexity of the data set generated (meaning the level of difficulty of analysis) may be dialled anywhere from extremely simple to extremely complex. The user may generate a collection of data sets that provide a spectrum of complexity, and the collection may be used to present a model under test with a steadily increasing challenge.
READ FULL TEXT