IDEAS home Printed from https://ideas.repec.org/a/taf/uaajxx/v11y2007i3p70-88.html
   My bibliography  Save this article

A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error

Author

Listed:
  • Greg Taylor
  • Gráinne McGuire

Abstract

In this article we consider the situation in which an insurer requires a loss reserve, together with the estimated prediction error, in respect of a number of stochastically dependent lines of business, individually and in aggregate. We suppose that generalized linear models are used to estimate each of the individual loss reserves, and that bootstrapping is used to estimate prediction errors. Specialized forms of the bootstrap, referred to as synchronous bootstraps, are constructed to capture the dependencies. Numerical examples are given in which loss reserve forecasts and their prediction errors are obtained for individual lines of business and in aggregate.

Suggested Citation

  • Greg Taylor & Gráinne McGuire, 2007. "A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(3), pages 70-88.
    • Handle: RePEc:taf:uaajxx:v:11:y:2007:i:3:p:70-88
    DOI: 10.1080/10920277.2007.10597467
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/10920277.2007.10597467
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/10920277.2007.10597467?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    2. Ioannis Badounas & Georgios Pitselis, 2020. "Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model," Risks, MDPI, vol. 8(1), pages 1-26, February.
    3. Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko, 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Papers 1004.2548, arXiv.org.
    4. Yannick Appert-Raullin & Laurent Devineau & Hinarii Pichevin & Philippe Tann, 2013. "One-Year Volatility of Reserve Risk in a Multivariate Framework," Working Papers hal-00848492, HAL.
    5. 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.
    6. Heo, Wookjae & Lee, Jae Min & Park, Narang & Grable, John E., 2020. "Using Artificial Neural Network techniques to improve the description and prediction of household financial ratios," Journal of Behavioral and Experimental Finance, Elsevier, vol. 25(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:uaajxx:v:11:y:2007:i:3:p:70-88. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/uaaj .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.