An Essay at Measuring the Variance of Estimates of Outstanding Claim Payments

Frank Ashe

ASTIN Bulletin, 1986, vol. 16, issue S1, S99-S113

Abstract: The variance of statistical estimates of outstanding claim payments for long-tailed general insurance portfolios is examined. The variance's three components are discussed. As there is no accepted technique for measuring this variance three methods are investigated empirically for its measurement—a parametric method, the jackknife method, and the bootstrap method. No method stands out as superior to the others and it is recommended that all three be evaluated and used to gauge the possible errors in the estimation of outstanding claims.

Date: 1986
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