Verrall, R. J. & Liu, H. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves using Paid and Incurred Claims. Paper presented at the ASTIN Colloquium 2008, 13-16 Jul 2008, Manchester, UK.
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This paper presents a bootstrap approach to estimate the prediction distributions of reserves produced by the Munich chain ladder (MCL) model. The MCL model was introduced by Quarg and Mack (2004) and takes into account both paid and incurred claims information. In order to produce bootstrap distributions, this paper addresses the application of bootstrapping methods to dependent data, with the consequence that correlations are considered. Numerical examples are provided to illustrate the algorithm and the prediction errors are compared for the new bootstrapping method applied to MCL and a more standard bootstrapping method applied to the chain-ladder technique.
|Item Type:||Conference or Workshop Item (Paper)|
|Uncontrolled Keywords:||Bootstrap, Munich chain ladder, Correlation, Simulation|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Cass Business School > Faculty of Actuarial Science & Insurance|
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