SPLICE: a synthetic paid loss and incurred cost experience simulator

Abstract

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 recognising 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 revisio..