Bootstrap Methodology in Claim Reserving

In this article, we use the bootstrap technique to obtain prediction errors for different claim-reserving methods, namely, the chain ladder technique and methods based on generalized linear models. We discuss several forms of performing the bootstrap and illustrate the different solutions using the data set from Taylor and Ashe (1983), which has already been used by several authors. Copyright The Journal of Risk and Insurance.

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Year of publication:	2003
Authors:	Pinheiro, Paulo J. R. ; Silva, João Manuel Andrade e ; Centeno, Maria de Lourdes
Published in:	Journal of Risk & Insurance. - American Risk and Insurance Association - ARIA, ISSN 0022-4367. - Vol. 70.2003, 4, p. 701-714
Publisher:	American Risk and Insurance Association - ARIA

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005683402