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The bootstrap method and some reserving applications

Author:
Christian R Larsen
Source:
General Insurance Convention 1995
Publication date:
18 October 1995
File:
PDF 353.19 KB
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Document description

It is concluded that if the individual claim data are available the Bootstrap is an effective method to calculate approximations to the uncertainty distributions of claims reserves. Only distribution assumptions regarding the claim frequency are required. The application is not dependent on the reserving method and even for complicated reserving methods the uncertainty can be estimated. It can be used to select between different reserving methods to obtain the most robust method and to calculate reserving margins.