Bootstrap Methodology in Claim Reserving

Paulo J. R. Pinheiro, João Manuel Andrade e Silva and Maria de Lourdes Centeno

Journal of Risk & Insurance, 2003, vol. 70, issue 4, pages 701-714

Abstract: In this article, we use the bootstrap technique to obtain prediction errors for different claim-reserving methods, namely, the chain ladder technique and methods based on generalized linear models. We discuss several forms of performing the bootstrap and illustrate the different solutions using the data set from Taylor and Ashe (1983), which has already been used by several authors. Copyright The Journal of Risk and Insurance.

Date: 2003

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Persistent link: http://EconPapers.repec.org/RePEc:bla:jrinsu:v:70:y:2003:i:4:p:701-714

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