The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More...

The prediction of outstanding loss liabilities for non-life run-off portfolios and the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a bivariate context. More precisely, we derive...

In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several...