Forecasting
#3Catastrophic Claims Forecasting Engine
Tail risk modeling for extreme healthcare cost events
Catastrophic Claims Projection with Confidence Bands
Historical shock claims and forward projections with P95/P99 tail risk estimates
Tail Risk Distribution - Annual Maximum Claims
Percentile-based estimates for worst-case shock claim scenarios
P50
Median Scenario
$2.8M
P75
75th Percentile
$3.9M
P90
90th Percentile
$5.2M
P95
95th Percentile
$6.8M
P99
99th Percentile
$9.5M
P99.9
Extreme Tail
$14.2M
Historical Shock Claims Pattern Analysis
Major catastrophic claims from recent years with cost and duration
Premature Birth + NICU
Year: 2023 • Duration: 180 days
$3.8M
Organ Transplant
Year: 2022 • Duration: 90 days
$2.9M
Cancer + Complications
Year: 2024 • Duration: 365 days
$4.2M
Trauma + Rehab
Year: 2021 • Duration: 120 days
$2.4M
Rare Disease Treatment
Year: 2023 • Duration: 270 days
$5.1M
Overview
Specialized tail risk forecasting engine for catastrophic healthcare events using extreme value theory, Pareto distribution modeling, and Monte Carlo simulation. Predicts frequency and severity of shock claims ($250K+) to inform stop-loss attachment point selection and reserve adequacy. Integrates clinical acuity scoring and population health risk factors.
Key Capabilities
- Pareto tail distribution modeling for shock claims
- Frequency-severity analysis using Poisson-GPD
- Stop-loss attachment optimization scenarios
- Large claim ($100K-$1M+) predictive scoring
- Aggregate excess modeling for multiple shocks
- Clinical pathway cost volatility assessment
- Value-at-Risk (VaR) and Conditional VaR (CVaR) metrics
Required Inputs
- •Historical large claim data ($100K+ threshold)
- •Member demographics and chronic conditions
- •Clinical acuity and risk scores (HCC, CDPS)
- •Specialty drug utilization patterns
- •Transplant and oncology treatment prevalence
- •NICU and trauma care capacity
- •Stop-loss insurance contract terms
Generated Outputs
- •Catastrophic claim probability distributions
- •Expected annual shock claim costs
- •Percentile-based risk scenarios (P95, P99, P99.9)
- •Stop-loss attachment recommendations
- •Aggregate excess exposure estimates
- •Reserve adequacy stress tests
- •Reinsurance premium benchmarks