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Analytic and bootstrap estimates of prediction errors in claims reserving. (English) Zbl 0944.62093

Summary: We consider an appropriate residual definition for use in a bootstrap exercise to provide a computationally simple method of obtaining reserve prediction errors for a generalised linear model which reproduces the reserve estimates of the chain ladder technique (under certain restrictions which are specified in the paper). We show how the bootstrap prediction errors can be computed easily in a spreadsheet, without the need for statistical software packages. The bootstrap prediction errors are compared with their analytic equivalent from other stochastic reserving models, and also compared with other methods commonly used, including T. Mack’s distribution-free approach [ASTIN Bull. 23 No. 2, 213-225 (1993)] and methods based on log-linear models.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62G09 Nonparametric statistical resampling methods
62J12 Generalized linear models (logistic models)

Software:

bootstrap
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References:

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