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

See all articles by Jochen Heberle

Jochen Heberle

University of Hamburg

Luis Huergo

University of Tuebingen

Michael Merz

University of Hamburg

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

Heberle, Jochen and Huergo, Luis and Merz, Michael, Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios (January 16, 2010). Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), DOI:10.1007/s12297-008-0035-5, Available at SSRN: https://ssrn.com/abstract=2060341

Jochen Heberle (Contact Author)

University of Hamburg ( email )

Von-Melle-Park 5
Hamburg, 20146
Germany

Luis Huergo

University of Tuebingen ( email )

Wilhelmstr. 19
72074 Tuebingen, Baden Wuerttemberg 72074
Germany

Michael Merz

University of Hamburg ( email )

Allende-Platz 1
Hamburg, 20146
Germany

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