A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model
Liu, H. & 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 |
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| Publisher Keywords: | Bootstrapping, Claims Reserving, Schnieper model, IBNR and IBNER claims |
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Actuarial Science & Insurance |
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