In
this presentation we review existing modelling approaches for analysing claims
experience in the presence of reporting delays, reviewing the formulation of
mortality incidence models such as GLMs. We then show how these approaches have
traditionally been adjusted for late reporting of claims using either the IBNR
approach or the more recent EBNER approach. We then go on to introduce a new
model formulation that combines a model for late reported claims with a model
for mortality incidence into a single model formulation. We then illustrate the
use and performance of the traditional and the combined model formulations on
data from a multinational reinsurer. We show how GLMs, lasso regression,
gradient boosted trees and deep learning can be applied to the new formulation
to produce results of superior accuracy compared to the traditional approaches.
Machine learning & experience analysis