One-year reserve risk including a tail factor: closed formula and bootstrap approaches
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References listed on IDEAS
- 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.
- Buchwalder, Markus & Bühlmann, Hans & Merz, Michael & Wüthrich, Mario V., 2006. "The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 36(02), pages 521-542, November.
- England, P. D. & Verrall, R. J., 2006. "Predictive Distributions of Outstanding Liabilities in General Insurance," Annals of Actuarial Science, Cambridge University Press, vol. 1(02), pages 221-270, September.
- 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.
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KeywordsNon‐life insurance; Reserve risk; Claims Development Result; Bootstrap method; Tail factor; Prediction error; Solvency II;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-IAS-2011-07-13 (Insurance Economics)
- NEP-RMG-2011-07-13 (Risk Management)
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