One-year reserve risk including a tail factor: closed formula and bootstrap approaches

Abstract : In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error proposed by Wüthrich et al. (2008). In particular, we integrate the stochastic modeling of a tail factor in the bootstrap procedure. We demonstrate the equivalence with existing analytical results and develop closed-form expressions for the error of prediction including a tail factor. A numerical example is given at the end of this study.
Type de document :
Pré-publication, Document de travail
48 pages. 2011


https://hal.archives-ouvertes.fr/hal-00605329
Contributeur : Matthieu Chauvigny <>
Soumis le : lundi 2 avril 2012 - 15:49:27
Dernière modification le : lundi 2 avril 2012 - 16:03:39

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  • HAL Id : hal-00605329, version 2
  • ARXIV : 1107.0164

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Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau, Jean-Philippe Boisseau. One-year reserve risk including a tail factor: closed formula and bootstrap approaches. 48 pages. 2011. <hal-00605329v2>

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