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Risks 2017, 5(1), 2; doi:10.3390/risks5010002

On Comparison of Stochastic Reserving Methods with Bootstrapping

Institute of Mathematics and Statistics, Faculty of Science and Technology, University of Tartu, J. Liivi 2, 50409 Tartu, Estonia
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Academic Editor: Mogens Steffensen
Received: 30 September 2016 / Revised: 19 December 2016 / Accepted: 20 December 2016 / Published: 4 January 2017
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Abstract

We consider the well-known stochastic reserve estimation methods on the basis of generalized linear models, such as the (over-dispersed) Poisson model, the gamma model and the log-normal model. For the likely variability of the claims reserve, bootstrap method is considered. In the bootstrapping framework, we discuss the choice of residuals, namely the Pearson residuals, the deviance residuals and the Anscombe residuals. In addition, several possible residual adjustments are discussed and compared in a case study. We carry out a practical implementation and comparison of methods using real-life insurance data to estimate reserves and their prediction errors. We propose to consider proper scoring rules for model validation, and the assessments will be drawn from an extensive case study. View Full-Text
Keywords: chain-ladder; claim reserving; bootstrap; generalized linear model; model validation chain-ladder; claim reserving; bootstrap; generalized linear model; model validation
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Tee, L.; Käärik, M.; Viin, R. On Comparison of Stochastic Reserving Methods with Bootstrapping. Risks 2017, 5, 2.

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