Continuous-time modeling and bootstrap for chain-ladder reserving

Fuente: arXiv
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Auteur principal: Baradel, Nicolas
Format: Preprint
Publié: 2024
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author Baradel, Nicolas
author_facet Baradel, Nicolas
contents We revisit the famous Mack's model which gives an estimate for the conditional mean squared error of prediction of the chain-ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model the accumulated total claims amount for the chain-ladder method. Within this continuous-time framework, we propose a bootstrap technique for estimating the distribution of claims reserves. It turns out that our approach leads to inherently capturing asymmetry and non-negativity, eliminating the necessity for additional assumptions. We conclude with a case study and comparative analysis against alternative methodologies based on Mack's model.
format Preprint
id arxiv_https___arxiv_org_abs_2406_03252
institution arXiv
publishDate 2024
record_format arxiv
spellingShingle Continuous-time modeling and bootstrap for chain-ladder reserving
Baradel, Nicolas
Methodology
Probability
We revisit the famous Mack's model which gives an estimate for the conditional mean squared error of prediction of the chain-ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model the accumulated total claims amount for the chain-ladder method. Within this continuous-time framework, we propose a bootstrap technique for estimating the distribution of claims reserves. It turns out that our approach leads to inherently capturing asymmetry and non-negativity, eliminating the necessity for additional assumptions. We conclude with a case study and comparative analysis against alternative methodologies based on Mack's model.
title Continuous-time modeling and bootstrap for chain-ladder reserving
topic Methodology
Probability
url https://arxiv.org/abs/2406.03252