Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving.
2009 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, no 4, 306-331 p.Article in journal (Refereed) Published
In the literature, one of the main objects of stochastic claims reserving is to find models underlying the chain-ladder method in order to analyze the variability of the outstanding claims, either analytically or by bootstrapping. In bootstrapping these models are used to find a full predictive distribution of the claims reserve, even though there is a long tradition of actuaries calculating the reserve estimate according to more complex algorithms than the chain-ladder, without explicit reference to an underlying model. In this paper we investigate existing bootstrap techniques and suggest two alternative bootstrap procedures, one non-parametric and one parametric, by which the predictive distribution of the claims reserve can be found for other age-to-age development factor methods than the chain-ladder, using some rather mild model assumptions. For illustration, the procedures are applied to three different development triangles.
Place, publisher, year, edition, pages
2009. no 4, 306-331 p.
Bootstrap, Development factor method, Development triangle, Stochastic claims reserving
IdentifiersURN: urn:nbn:se:su:diva-35100DOI: 10.1080/03461230903239738ISI: 000283721900004OAI: oai:DiVA.org:su-35100DiVA: diva2:286417