Bootstrap Mean Squared Error of Prediction in Loss Reserving

DOI10.1007/978-3-319-54885-2_20zbMath1426.91235OpenAlexW2611299522MaRDI QIDQ5240336

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)

Related Items (1)

BootErrorLossReserveHGLM

Uses Software

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• hglm

Cites Work

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• Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
• Prediction error for credible claims reserves: an \(h\)-likelihood approach
• Which stochastic model is underlying the chain ladder method?
• Analytic and bootstrap estimates of prediction errors in claims reserving
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Claims reserving in the hierarchical generalized linear model framework
• IBNR-claims and the two-way model of ANOVA
• Lognormal Mixed Models for Reported Claims Reserves

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