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A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model

Liu, H. and Verrall, R. J. (2009). A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model. ASTIN Bulletin, 39(2), pp. 677-689. doi: 10.2143/AST.39.2.2044653

Abstract

This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the model of Schnieper for reserves which separate Incurred But Not Reported (IBNR) and Incurred But Not Enough Reserved (IBNER) claims. The Schnieper method has been explored in Liu and Verrall (2009), and the Mean Square Errors of Prediction (MSEP) derived. This paper takes this further by deriving the full predictive distribution, using bootstrapping. Numerical examples are provided and the MSEP from the bootstrapping approach are compared with those obtained analytically.

Publication Type: Article
Publisher Keywords: Bootstrapping, Claims Reserving, Schnieper model, IBNR and IBNER claims
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Actuarial Science & Insurance
Related URLs:
URI: http://openaccess.city.ac.uk/id/eprint/3847
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