2.3.1. Claims Generators Overview

Usage in Models

• A line of business normally contains different kinds of claims generators, i.e. an attritional claims generator and a single claims generator or several event claims generator.
• If an event affects several lines of business, the event generator will rather be part of a cat model than of a single line of business.

generate one claim of type attritional per period. Attritional claims are covered by proportional reinsurance contracts such as quota share and surplus and stop loss contracts.

generate a certain number of claims of type single per period. The number is normally received from a frequency generator. Single claims are covered by proportional reinsurance contracts and the working excess of loss (WXL) and stop loss contract.

generate a certain number of claims of type event aggregate per period. The number is normally received from an event generator. Event aggregate claims are covered by proportional contracts, cat excess of loss (CXL) and stop loss contracts.

Common Parameterization Structure

Independent of the generated claim type the following parameters may be set: 

Base: Apart from an absolute parameterization it is possible to calibrate the claim size based on premium written, number of policies and sum insured. In a first step a random number is generated according to the selected distribution and parameters. This number is then multiplied with the ‘base’ value. If the underwriting information consists of several risk bands the selected base values will be added up.

Distribution: The following ‘distributions’ are included. Adding further distributions is easy.

• chi square quadrat
• constant
• discrete empirical
• discrete empirical cumulative
• inverse Gaussian
• lognormal (mean, standard deviation)
• lognormal (mu, sigma)
• negative binomial
• normal
• pareto
• poisson
• piece wise linear
• piece wise linear empirical
• student
• triangular
• uniform

Parameter labels will be are switched in the tree view, if a different distribution is selected.

Modification: There are several ways to modify the random value, namely to censor, shift or truncate.

Background Information on Random Numbers

We use the SSJ Library from the University of Montreal for random number generators. Currently all random number generators are using F2NL607.

Next: Attritional and Single Claims Generator Previous: Generators