Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result

22 Pages Posted: 16 May 2012 Last revised: 26 Nov 2016

See all articles by Jochen Heberle

Jochen Heberle

University of Hamburg

Luis Huergo

University of Tuebingen

Michael Merz

University of Hamburg

Date Written: May 4, 2011

Abstract

In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several correlated run-off-portfolios. We show method for achieving the whole (bootstrap) distribution. This distribution can be used for calculating several risk measures, such as Value-at-Risk or expected shortfall.

Note: Downloadable document is in German.

Keywords: Chain-Ladder, claims reserving, general insurance, non-life insurance, claims development result

JEL Classification: C10, C13, G22

Suggested Citation

Heberle, Jochen and Huergo, Luis and Merz, Michael, Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result (May 4, 2011). Available at SSRN: https://ssrn.com/abstract=2060361 or http://dx.doi.org/10.2139/ssrn.2060361

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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