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Analytic and bootstrap estimates of prediction errors in claims reserving

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  • England, Peter
  • Verrall, Richard
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-3Y3PTSN-3/2/cfcf4bd5454a57e569a646512ee7d9a4
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 25 (1999)
    Issue (Month): 3 (December)
    Pages: 281-293

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    Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:281-293

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Moulton, Lawrence H. & Zeger, Scott L., 1991. "Bootstrapping generalized linear models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 11(1), pages 53-63, January.
    2. Verrall, R. J., 1991. "On the estimation of reserves from loglinear models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 10(1), pages 75-80, March.
    3. Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, Elsevier, vol. 23(1), pages 37-61, September.
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    Cited by:
    1. Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V., 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 47(1), pages 36-51, August.
    2. Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Working Papers, HAL hal-00605329, HAL.
    3. Kunkler, Michael, 2004. "Modelling zeros in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 34(1), pages 23-35, February.
    4. England, Peter, 2002. "Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(3), pages 461-466, December.
    5. Álvarez-Jareño, José Antonio & Coll-Serrano, Vicente, 2012. "Estimación de reservas en una compañía aseguradora. Una aplicación en Excel del método Chain-Ladder y Bootstrap || Estimating the Reserves in Insurance Companies: An Excel Application of the Chai," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative M, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 14(1), pages 124-136, December.
    6. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(2), pages 355-370, October.
    7. Verrall, R. J., 2000. "An investigation into stochastic claims reserving models and the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 26(1), pages 91-99, February.
    8. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer, Springer, vol. 96(2), pages 265-310, June.
    9. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(1), pages 85-98, January.
    10. Han, Zhongxian & Gau, Wu-Chyuan, 2008. "Estimation of loss reserves with lognormal development factors," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 389-395, February.
    11. Irene Albarrán Lozano & Pablo Alonso González & Ana Arribas Gil, 2013. "Dependency evolution in Spanish disabled population : a functional data analysis approach," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws130403, Universidad Carlos III, Departamento de Estadística y Econometría.
    12. Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran, 2006. "Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(1), pages 1-20, February.
    13. Antonio Ibarra Alfaraz & Santiago Leguey Galán & Ana Cid Cid & Ana Rabadán Gómez, 2006. "A Stochastic Minimax Model to Calculate Outstanding Claims," International Advances in Economic Research, Springer, Springer, vol. 12(4), pages 523-529, November.
    14. Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Papers, arXiv.org 1107.0164, arXiv.org, revised Apr 2012.
    15. Hudecová, Šárka & Pešta, Michal, 2013. "Modeling dependencies in claims reserving with GEE," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 786-794.
    16. Kunkler, Michael, 2006. "Modelling negatives in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(3), pages 540-555, June.
    17. Gareth W. Peters & Mario V. W\"uthrich & Pavel V. Shevchenko, 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Papers, arXiv.org 1004.2548, arXiv.org.

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