Exploration of a novel bootstrap technique for estimating the distribution of outstanding claims reserves in general insurance

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Cowell, R. (2009)
  • Publisher: Faculty of Actuarial Science & Insurance, City University London
  • Subject: HG

This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method for estimating claims reserves, which we call the local chain ladder bootstrap technique. The method is simple and can readily be implemented in a spreadsheet. In addition analytic estimates of the first few moments of reserves are shown to the readily evaluated, obviating the need for simulation if desired. The behaviour of the method on three datasets is presented and compared to published predictions of some other stochastic methods. In addition, a small study of the method using simulated claims triangles is presented and compared with other stochastic models.
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