SPLICE：一个综合的已付损失和发生成本经验模拟器
SPLICE: A Synthetic Paid Loss and Incurred Cost Experience Simulator
摘要：
在本文中，我们首先介绍了一个模拟器的情况下估计发生的损失，所谓的'SPLICE'（合成支付的损失和发生的成本经验）。在三个模块中，案件估计是在连续时间内模拟的，并为每一个索赔输出一个记录。在若干不同的情况下，还模拟了索赔期内对案例估计数的修订。此外，还纳入了与已发生损失的个案估计有关的一些依赖性，特别是认识到在实践中发现的个案估计的某些性质。例如，修订的幅度取决于最终索赔额，修订随时间的分布也是如此。这些修订中的一些是为了响应索赔付款的发生而发生的，因此“SPLICE”需要输入模拟的每次索赔付款历史。索赔数据可以按事故和付款“期间”进行汇总，期间可以任意选择（例如月、季度等）。用户可用。SPLICE是一个完整的R软件包，它是公开的和开源的（在CRAN上）。它建立在一个名为“SynthETIC”的现有个人索赔经验模拟器上（Avanzi等人，2021 a，b），它提供了发生、通知以及个别部分付款的时间和幅度的灵活模型。这与造成的损失形成对照，后者构成`SPLICE '的额外贡献。包括发生的损失估计提供了一个几乎没有其他模拟器做的工具。
英文摘要：
In this paper, we first introduce a simulator of cases estimates of incurred losses, called `SPLICE` (Synthetic Paid Loss and Incurred Cost Experience). In three modules, case estimates are simulated in continuous time, and a record is output for each individual claim. Revisions for the case estimates are also simulated as a sequence over the lifetime of the claim, in a number of different situations. Furthermore, some dependencies in relation to case estimates of incurred losses are incorporated, particularly recognizing certain properties of case estimates that are found in practice. For example, the magnitude of revisions depends on ultimate claim size, as does the distribution of the revisions over time. Some of these revisions occur in response to occurrence of claim payments, and so `SPLICE` requires input of simulated per-claim payment histories. The claim data can be summarized by accident and payment "periods" whose duration is an arbitrary choice (e.g. month, quarter, etc.) available to the user. `SPLICE` is a fully documented R package that is publicly available and open source (on CRAN). It is built on an existing simulator of individual claim experience called `SynthETIC` (Avanzi et al., 2021a,b), which offers flexible modelling of occurrence, notification, as well as the timing and magnitude of individual partial payments. This is in contrast with the incurred losses, which constitute the additional contribution of `SPLICE`. The inclusion of incurred loss estimates provides a facility that almost no other simulators do.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
