claim_closure: Claim Closure

In SynthETIC: Synthetic Experience Tracking Insurance Claims

Claim Closure

Description

Simulates and returns the closure/settlement delays of each of the claims occurring in each of the periods, assuming a Weibull distribution.

Usage

claim_closure(frequency_vector, claim_size_list, rfun, paramfun, ...)

Arguments

frequency_vector	a vector of claim frequencies for all the periods.
claim_size_list	list of claim sizes.
rfun	optional alternative random sampling function; if not specified, assumes Weibull.
paramfun	parameters for the random sampling function, as a function of claim_size and occurrence_period; see Details.
...	other arguments/parameters to be passed onto paramfun.

Details

Claim settlement delay represents the delay from claim notification to closure. The epoch of closure is the sum of occurrence time, notification delay and settlement delay.

By default, it is assumed that the settlement delay follows a Weibull distribution. The default Weibull parameters have been set up such that the mean settlement delay (in quarters, but automatically converted to the relevant time_unit as defined in set_parameters) is porportional to

min(25, max(1, 6 + 4 log[claim_size/(0.10 * ref_claim)]))

(where ref_claim is a packagewise-global variable that user is required to define by set_parameters) up to a scaling factor "a", which is dependent on occurrence_perid. Specifically,

a = min(0.85, 0.65 + 0.02 * (occurrence_period - 21))

if claim_size < (0.10 * ref_claim) and occurrence_period \ge 21, and

a = max(0.85, 1 - 0.0075 * occurrence_period)

otherwise. The CoV of the settlement delay is constant at 60%, independent of the size and occurrence period of the claim.

Note that this function can create out-of-bound settlement dates. In these cases, the simulated epoch of occurrence of the transaction is maintained throughout the simulation of details of the claim concerned. Adjustments will only be made for the tabulation of results in claim_output and payment inflation.

Of course, like any other SynthETIC modules, the user may wish to sample from a different distribution rfun and/or a different set of parameters. The paramfun should return the distribution parameters in a vector, e.g. for gamma distribution paramfun should return a value in the format of c(shape = , scale = ), for exponential distribution this should return c(rate = ). See Examples. If a rfun is specified without a paramfun, SynthETIC will try to proceed without parameterisation (i.e. directly calling rfun with claim size and occurrence period), and if it fails, then return an error message.

Value

A list of settlement delays such that the ith component of the list gives the settlement delays for all claims that occurred in period i.

Examples

n_vector <- c(90, 79, 102, 78, 86, 88, 116, 84, 93, 104)

# Try a constant Weibull distribution
# (i.e. independent of claim size and occurrence period)
setldel_param <- function(claim_size, occurrence_period) {
  mean <- 10; cv <- 0.70
  shape <- get_Weibull_parameters(mean, cv)[1, ]
  scale <- get_Weibull_parameters(mean, cv)[2, ]
  c(shape = shape, scale = scale)
}

setldel <- claim_closure(n_vector, claim_size(n_vector),
                         paramfun = setldel_param)
setldel[[1]] # show settlement delay of claims originating from period 1

SynthETIC documentation built on Sept. 3, 2023, 5:06 p.m.