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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2406.03252 |
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Table of 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.