Segmented individual claim reserve estimation using BART refinement

Abstract

We want to extend an individual claim reserving method proposed by [1] and also [2] by using segmented calculation. This method is an individual method of claims reserve estimation which involves detailed condition on claim characteristics in the calculation process. Data is divided into several segments according to combination of background variables. We then apply RDC method to find estimated IBNR and RBNS reserves for each segment. Bayesian Additive Regression Tree (BART) is used to refine the estimated reserves. This is because the estimation become unstable due to a lot of combination factors for each segment.

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