Abstract
In this paper, we use the bootstrap technique to obtain prediction errors for different claim reserving methods, namely methods based on the chain ladder technique and on generalised 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.
Keywords: Claim reserving, bootstrap, generalised linear models.
Volume
Washington
Year
2001
Categories
Financial and Statistical Methods
Statistical Models and Methods
Boot-Strapping and Resampling Methods
Financial and Statistical Methods
Statistical Models and Methods
Generalized Linear Modeling
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Publications
ASTIN Colloquium
