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Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance

Cowell, R. (2009). Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance (Report No. Actuarial Research Paper No. 192). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Abstract

This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models.

Publication Type: Monograph (Working Paper)
Publisher Keywords: Stochastic claims reserving, chain ladder, non parametric, bootstrap, distribution of reserves
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance > Actuarial Research Reports
URI: http://openaccess.city.ac.uk/id/eprint/2323
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