On Comparison of Stochastic Reserving Methods with Bootstrapping

Liivika Tee, Meelis Käärik and Rauno Viin
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Liivika Tee: Institute of Mathematics and Statistics, Faculty of Science and Technology, University of Tartu, J. Liivi 2, 50409 Tartu, Estonia
Meelis Käärik: Institute of Mathematics and Statistics, Faculty of Science and Technology, University of Tartu, J. Liivi 2, 50409 Tartu, Estonia
Rauno Viin: Institute of Mathematics and Statistics, Faculty of Science and Technology, University of Tartu, J. Liivi 2, 50409 Tartu, Estonia

Risks, 2017, vol. 5, issue 1, 1-21

Abstract: We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootstrap method is considered. In the bootstrapping framework, we discuss the choice of residuals, namely the Pearson residuals, the deviance residuals and the Anscombe residuals. In addition, several possible residual adjustments are discussed and compared in a case study. We carry out a practical implementation and comparison of methods using real-life insurance data to estimate reserves and their prediction errors. We propose to consider proper scoring rules for model validation, and the assessments will be drawn from an extensive case study.

Keywords: chain-ladder; claim reserving; bootstrap; generalized linear model; model validation (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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