A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model
Copyright policy )A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model
AbstractThis paper considers the bootstrapping approach for measuring reserve uncertainty when applying the model of Schnieper for reserves which separate Incurred But Not Reported (IBNR) and Incurred But Not Enough Reserved (IBNER) claims. The Schnieper method has been explored in Liu and Verrall (2009), and the Mean Square Errors of Prediction (MSEP) derived. This paper takes this further by deriving the full predictive distribution, using bootstrapping. Numerical examples are provided and the MSEP from the bootstrapping approach are compared with those obtained analytically.
- University of London United Kingdom
- City, University of London United Kingdom
Applications of statistics to actuarial sciences and financial mathematics, Schnieper model, claims reserving, Risk theory, insurance, bootstrapping, HG, IBNR and IBNER claims
Applications of statistics to actuarial sciences and financial mathematics, Schnieper model, claims reserving, Risk theory, insurance, bootstrapping, HG, IBNR and IBNER claims
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