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
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: Suggested Citation