Tue 21 Feb 2023 - 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
Head of Pricing & Research, Gen Re | Life/Health UK & Ireland
As Segment Head of Research and Analytics Louis Rossouw is based in Gen Re's Cape Town office. He and his team support life insurance clients in Canada, the UK, South Africa, Australia, and New Zealand with research and analytics.
He has previously worked on individual pricing and product development, group pricing, and reserving and has also worked for two years in Gen Re’s Singapore branch as Regional Chief Actuary.
He currently serves on the Actuarial Society of South Africa’s Continuous Statistical Investigation Committee as well as the IFoA COVID-19 Actuaries Response Group.