Bootstrapping the separation method in claims reserving

DOI10.2143/AST.40.2.2061138MaRDI QIDQ3071120zbMATH OpenOpenAlexFDO

Authors Susanna Björkwall, Esbjörn Ohlsson, Ola G. Hössjer

Publication date 1 February 2011

Full work available at URL https://econpapers.repec.org/RePEc:cup:astinb:v:40:y:2010:i:02:p:845-869_00

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Non-parametric and parametric bootstrap techniques for age-to-age development factor methods in stochastic claims reserving
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Stochastic chain-ladder methods in non-life insurance
• Bootstrapping individual claim histories

Cited in

(12)

• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Loss prediction based on run-off triangles
• Analytic and bootstrap estimates of prediction errors in claims reserving
• An estimation of a hybrid log-Poisson regression using a quadratic optimization program for optimal loss reserving in insurance
• Bootstrapping individual claim histories
• Separation of small and large claims on the basis of collective models
• Estimation of outstanding claims reserving based on inflation risk on car insurance companies by using the bootstrap method
• Calendar year effect modeling for claims reserving in HGLM
• Parametric expectile regression and its application for premium calculation
• An incremental loss ratio method using prior information on calendar year effects
• Bootstrap consistency for the Mack bootstrap
• Assessing inflation risk in non-life insurance

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