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Analytic and bootstrap estimates of prediction errors in claims reserving

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  • England, Peter
  • Verrall, Richard

Abstract

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  • England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
  • Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:281-293
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    References listed on IDEAS

    as
    1. Verrall, R. J., 1991. "On the estimation of reserves from loglinear models," Insurance: Mathematics and Economics, Elsevier, pages 75-80.
    2. Mack, Thomas, 1991. "A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 21(01), pages 93-109, April.
    3. Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, vol. 23(1), pages 37-61, September.
    4. Moulton, Lawrence H. & Zeger, Scott L., 1991. "Bootstrapping generalized linear models," Computational Statistics & Data Analysis, Elsevier, pages 53-63.
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    Citations

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    Cited by:

    1. 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, vol. 38(1), pages 1-20, February.
    2. repec:gam:jrisks:v:5:y:2017:i:3:p:39-:d:105172 is not listed on IDEAS
    3. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 265-310.
    4. England, Peter, 2002. "Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 461-466, December.
    5. Verrall, R. J., 2000. "An investigation into stochastic claims reserving models and the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 91-99, February.
    6. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-21, January.
    7. Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko, 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Papers 1004.2548, arXiv.org.
    8. 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-00605329, HAL.
    9. Albarrán, Irene & Alonso González, Pablo & Arribas Gil, Ana, 2013. "Dependency evolution in Spanish disabled population : a functional data analysis approach," DES - Working Papers. Statistics and Econometrics. WS ws130403, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. repec:ehu:cuader:21773 is not listed on IDEAS
    11. Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis, 2015. "Robust loss reserving in a log-linear model," Insurance: Mathematics and Economics, Elsevier, pages 14-27.
    12. Hudecová, Šárka & Pešta, Michal, 2013. "Modeling dependencies in claims reserving with GEE," Insurance: Mathematics and Economics, Elsevier, pages 786-794.
    13. Kunkler, Michael, 2006. "Modelling negatives in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 540-555, June.
    14. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
    15. Bohnert, Alexander & Gatzert, Nadine & Kolb, Andreas, 2016. "Assessing inflation risk in non-life insurance," Insurance: Mathematics and Economics, Elsevier, pages 86-96.
    16. Han, Zhongxian & Gau, Wu-Chyuan, 2008. "Estimation of loss reserves with lognormal development factors," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 389-395, February.
    17. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 85-98, January.
    18. Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V., 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 36-51, August.
    19. 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 Chain-Lad," 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 Methods for Economics and Business Administration, vol. 14(1), pages 124-136, December.
    20. Kunkler, Michael, 2004. "Modelling zeros in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 23-35, February.
    21. 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;International Atlantic Economic Society, pages 523-529.
    22. repec:kap:iaecre:v:12:y:2006:i:4:p:523-529 is not listed on IDEAS
    23. Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Papers 1107.0164, arXiv.org, revised Apr 2012.
    24. Alicja Wolny-Dominiak, 2016. "The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company," Papers 1612.04126, arXiv.org.

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