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Bootstrap Methodology in Claim Reserving
Author(s) -
Pinheiro Paulo J. R.,
Andrade e Silva João Manuel,
De Lourdes Centeno Maria
Publication year - 2003
Publication title -
journal of risk and insurance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.055
H-Index - 63
eISSN - 1539-6975
pISSN - 0022-4367
DOI - 10.1046/j.0022-4367.2003.00071.x
Subject(s) - computer science , econometrics , set (abstract data type) , data set , mathematics , artificial intelligence , programming language
In this article, we use the bootstrap technique to obtain prediction errors for different claim‐reserving methods, namely, the chain ladder technique and methods based on generalized linear models. We discuss several forms of performing the bootstrap and illustrate the different solutions using the data set from Taylor and Ashe (1983), which has already been used by several authors.