SynthETIC: an individual insurance claim simulator with feature control

TL;DR

SynthETIC is an open-source individual insurance claim simulator that allows detailed control over complex data features, aiding research and development in insurance analytics with customizable synthetic data.

Contribution

The paper introduces SynthETIC, a novel, flexible, and publicly available simulator that models complex claim features and dependencies, filling a key gap in non-life actuarial tools.

Findings

Simulator supports complex data features like inflation and discontinuities

Allows full control over claim evolution mechanics

Generates data complexity from simple to highly intricate

Abstract

Recent years have seen rapid increase in the application of machine learning to insurance loss reserving. They yield most value when applied to large data sets, such as individual claims, or large claim triangles. In short, they are likely to be useful in the analysis of any data set whose volume is sufficient to obscure a naked-eye view of its features. Unfortunately, such large data sets are in short supply in the actuarial literature. Accordingly, one needs to turn to synthetic data. Although the ultimate objective of these methods is application to real data, the use of synthetic data containing features commonly observed in real data is also to be encouraged. While there are a number of claims simulators in existence, each valuable within its own context, the inclusion of a number of desirable (but complicated) data features requires further development. Accordingly, in this paper we review those desirable features, and propose a new simulator of individual claim experience called `SynthETIC`. Our simulator is publicly available, open source, and fills a gap in the non-life actuarial toolkit. The simulator specifically allows for desirable (but optionally complicated) data features typically occurring in practice, such as variations in rates of settlements and development patterns; as with superimposed inflation, and various discontinuities, and also enables various dependencies between variables. The user has full control of the mechanics of the evolution of an individual claim. As a result, the complexity of the data set generated (meaning the level of difficulty of analysis) may be dialled anywhere from extremely simple to extremely complex.