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  • Search: subject:"Tail factor"
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Subject
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Bootstrap method 1 Claims Development Result 1 Non‐life insurance 1 Prediction error 1 Reserve risk 1 Solvency II 1 Tail factor 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Angoua, Yoboua 1 Boisseau, Jean-Philippe 1 Boumezoued, Alexandre 1 Devineau, Laurent 1
Institution
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HAL 1
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Working Papers / HAL 1
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RePEc 1
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One-year reserve risk including a tail factor: closed formula and bootstrap approaches
Boumezoued, Alexandre; Angoua, Yoboua; Devineau, Laurent; … - HAL - 2011
the stochastic modeling of a tail factor in the bootstrap procedure. We demonstrate the equivalence with existing … analytical results and develop closed-form expressions for the error of prediction including a tail factor. A numerical example …
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