Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios
Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), DOI:10.1007/s12297-008-0035-5
Posted: 20 May 2012
Date Written: January 16, 2010
Abstract
The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for several correlated run-off portfolios in the framework of the Chain-ladder claims reserving method for several correlated run-off portfolios.
Keywords: Chain-Ladder, claims reserving, general insurance, non-life insurance, predictive distribution
JEL Classification: C10, C13, G22
Suggested Citation: Suggested Citation