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Analytic and bootstrap estimates of prediction errors in claims reserving

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  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. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
  3. Mathias Lindholm & Filip Lindskog & Felix Wahl, 2017. "Valuation of Non-Life Liabilities from Claims Triangles," Risks, MDPI, vol. 5(3), pages 1-28, July.
  4. 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.
  5. 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.
  6. Jorge De Andrés Sánchez & Antonio Terceño Gómez, 2003. "Applications of Fuzzy Regression in Actuarial Analysis," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 665-699, December.
  7. 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.
  8. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, vol. 5(1), pages 1-21, January.
  9. Margraf, Carolin & Elpidorou, Valandis & Verrall, Richard, 2018. "Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 54-65.
  10. Carnevale Giulio Ercole & Clemente Gian Paolo, 2020. "A Bayesian Internal Model for Reserve Risk: An Extension of the Correlated Chain Ladder," Risks, MDPI, vol. 8(4), pages 1-20, November.
  11. Gareth W. Peters & Mario V. Wuthrich & Pavel V. Shevchenko, 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Papers 1004.2548, arXiv.org.
  12. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
  13. Wahl, Felix & Lindholm, Mathias & Verrall, Richard, 2019. "The collective reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 34-50.
  14. 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.
  15. Albarrán Lozano, 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.
  16. Benjamin Avanzi & Mark Lavender & Greg Taylor & Bernard Wong, 2022. "Detection and treatment of outliers for multivariate robust loss reserving," Papers 2203.03874, arXiv.org, revised Jun 2023.
  17. Boj del Val, Eva & Costa Cor, Teresa, 2017. "Provisions for claims outstanding, incurred but not reported, with generalized linear models: prediction error formulated according to calendar year," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  18. Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis, 2015. "Robust loss reserving in a log-linear model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 14-27.
  19. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
  20. Hudecová, Šárka & Pešta, Michal, 2013. "Modeling dependencies in claims reserving with GEE," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 786-794.
  21. Kunkler, Michael, 2006. "Modelling negatives in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 540-555, June.
  22. 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.
  23. Irene Albarrán-Lozano & Pablo J. Alonso-González & Ana Arribas-Gil, 2017. "Dependence evolution in the Spanish disabled population: a functional data analysis approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 180(2), pages 657-677, February.
  24. László Martinek, 2019. "Analysis of Stochastic Reserving Models By Means of NAIC Claims Data," Risks, MDPI, vol. 7(2), pages 1-27, June.
  25. Taylor, Greg, 2021. "A special Tweedie sub-family with application to loss reserving prediction error," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 262-288.
  26. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
  27. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria De Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714, December.
  28. Jorge De Andrés-Sánchez, 2024. "Calculating Insurance Claim Reserves with an Intuitionistic Fuzzy Chain-Ladder Method," Mathematics, MDPI, vol. 12(6), pages 1-24, March.
  29. Karthik Sriram & Peng Shi, 2021. "Stochastic loss reserving: A new perspective from a Dirichlet model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 195-230, March.
  30. Bohnert, Alexander & Gatzert, Nadine & Kolb, Andreas, 2016. "Assessing inflation risk in non-life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 86-96.
  31. Jonas Harnau, 2018. "Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models," Risks, MDPI, vol. 6(2), pages 1-25, March.
  32. Roberto Bomgiovani Cazzari & Guilherme Rodovalho Fernandes Moreira, 2022. "Uncertainty of Claims Provisions from the Analysis of Financial Statements," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(3), pages 200400-2004.
  33. 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.
  34. Yining Feng & Shuanming Li, 2023. "Advancing the Use of Deep Learning in Loss Reserving: A Generalized DeepTriangle Approach," Risks, MDPI, vol. 12(1), pages 1-14, December.
  35. England, P.D. & Verrall, R.J. & Wüthrich, M.V., 2019. "On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 74-88.
  36. 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.
  37. Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2019. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 123-138, March.
  38. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Papers 1806.05939, arXiv.org.
  39. 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.
  40. 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.
  41. Kunkler, Michael, 2004. "Modelling zeros in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 23-35, February.
  42. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.
  43. Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
  44. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Economics Papers 2018-W02, Economics Group, Nuffield College, University of Oxford.
  45. 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, vol. 12(4), pages 523-529, November.
  46. repec:kap:iaecre:v:12:y:2006:i:4:p:523-529 is not listed on IDEAS
  47. 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.
  48. 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.
  49. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2019. "Infinitely Stochastic Micro Forecasting," Papers 1908.10636, arXiv.org, revised Sep 2019.
  50. Valeria D’Amato & Steven Haberman & Maria Russolillo, 2012. "The Stratified Sampling Bootstrap for Measuring the Uncertainty in Mortality Forecasts," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 135-148, March.
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