City Research Online

Abstract

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.

Publication Type:	Article
Publisher Keywords:	Bootstrap, Munich chain ladder, Correlation, Simulation
Subjects:	H Social Sciences > HG Finance
Departments:	Bayes Business School > Actuarial Science & Insurance
SWORD Depositor:	Symplectic Administrator

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