One-year reserve risk including a tail factor: closed formula and bootstrap approaches
Risk Management
2012-04-03 v2
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 W\"uthrich 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.
Cite
@article{arxiv.1107.0164,
title = {One-year reserve risk including a tail factor: closed formula and bootstrap approaches},
author = {Alexandre Boumezoued and Yoboua Angoua and Laurent Devineau and Jean-Philippe Boisseau},
journal= {arXiv preprint arXiv:1107.0164},
year = {2012}
}
Comments
48 pages