Related papers: Continuous-time modeling and bootstrap for chain-l…
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…
Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic…
Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution…
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to estimate quantities of interest in claims reserving and…
This paper presents the hierarchical generalized linear model (HGLM) for loss reserving in a non-life insurance company. Because in this case the error of prediction is expressed by a complex analytical formula, the error bootstrap…
Bootstrap methods, initially developed for solving statistical and quantum field theories, have recently been shown to capture the discrete spectrum of quantum mechanical problems, such as the single particle Schr\"odinger equation with an…
This article present a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade. One multiplicatively…
We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order $p$ and is achieved through the use of latent variables. We…
Statistical multispecies models of multiarea marine ecosystems use a variety of data sources to estimate parameters using composite or weighted likelihood functions with associated weighting issues and questions on how to obtain variance…
This paper studies a fixed-design residual bootstrap method for the two-step estimator of Francq and Zako\"ian (2015) associated with the conditional Expected Shortfall. For a general class of volatility models the bootstrap is shown to be…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…
Inference for functional linear models in the presence of heteroscedastic errors has received insufficient attention given its practical importance; in fact, even a central limit theorem has not been studied in this case. At issue,…
The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. It has been shown that the popular chain-ladder reserving approach is at significant risk to such aberrant…
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…
Claims reserving is one of the most important actuarial tasks in non-life insurance modeling. There are several popular methods to perform claims reserving such as the chain-ladder (CL), the Bornhuetter--Ferguson (BF) or the generalized…
Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…
Model averaging has gained significant attention in recent years due to its ability of fusing information from different models. The critical challenge in frequentist model averaging is the choice of weight vector. The bootstrap method,…
A bootstrap procedure for constructing prediction bands for a stationary functional time series is proposed. The procedure exploits a general vector autoregressive representation of the time-reversed series of Fourier coefficients appearing…
We propose a new bootstrap-based online algorithm for stochastic linear bandit problems. The key idea is to adopt residual bootstrap exploration, in which the agent estimates the next step reward by re-sampling the residuals of mean reward…
The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance. This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for…