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A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model

Published online by Cambridge University Press:  09 August 2013

Huijuan Liu  and
Richard Verrall
Huijuan Liu
Affiliation:
RBS Insurance, Churchill Court, 6th Floor, MP3, Bromley, BD1 1DP., E-Mail: Huijuan.Liu@rbs.co.uk
Richard Verrall
Affiliation:
Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8TZ., E-Mail: r.j.verrall@city.ac.uk
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Abstract

This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the model of Schnieper for reserves which separate Incurred But Not Reported (IBNR) and Incurred But Not Enough Reserved (IBNER) claims. The Schnieper method has been explored in Liu and Verrall (2009), and the Mean Square Errors of Prediction (MSEP) derived. This paper takes this further by deriving the full predictive distribution, using bootstrapping. Numerical examples are provided and the MSEP from the bootstrapping approach are compared with those obtained analytically.

Keywords

BootstrappingClaims ReservingSchnieper modelIBNR and IBNER claims

Information

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 2 , November 2009 , pp. 677 - 689
Copyright
Copyright © International Actuarial Association 2009

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References

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