Bootstrap Mean Squared Error of Prediction in Loss Reserving

DOI10.1007/978-3-319-54885-2_20MaRDI QIDQ5240336zbMATH OpenOpenAlexFDO

Authors Alicja Wolny-Dominiak

Publication date 25 October 2019

Published in Contemporary Trends and Challenges in Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-54885-2_20

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

• On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Bootstrapping the mean integrated squared error
• Bootstrap based probability forecasting in multiplicative error models
• Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
• Bootstrap and cross-validation estimates of the prediction error for linear regression models
• Bootstrap prediction and Bayesian prediction under misspecified models
• Estimating the variance of bootstrapped risk measures

Cites work

• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Claims reserving in the hierarchical generalized linear model framework
• Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 946661 (Why is no real title available?)
• IBNR-claims and the two-way model of ANOVA
• Lognormal mixed models for reported claims reserves
• Prediction error for credible claims reserves: an h-likelihood approach
• Which stochastic model is underlying the chain ladder method?

Cited in

(6)

• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Bootstrap estimation of uncertainty in prediction for generalized linear mixed models
• Analytic and bootstrap estimates of prediction errors in claims reserving
• A bootstrap estimate of the predictive distribution of outstanding claims for the Schnieper model
• BootErrorLossReserveHGLM
• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error

Describes a project that uses

Uses Software

• R
• hglm

This page was built for publication: Bootstrap Mean Squared Error of Prediction in Loss Reserving

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5240336)