Continuous-time modeling and bootstrap for chain-ladder reserving
Fuente:
arXiv
Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866908668625158144 |
|---|---|
| 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 |