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 Prediciton (MSEP) derived. This paper takes it 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.
Keywords: Bootstrapping; Claims Reserving; Schnieper model; IBNR and IBNER claims.
Volume
Vol. 39, No. 2
Page
1-13
Year
2009
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Actuarial Applications and Methodologies
Reserving
Publications
ASTIN Bulletin
