One-year reserve risk including a tail factor: closed formula and bootstrap approachesReport as inadecuate




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* Corresponding author 1 R&D, Milliman, Paris 2 R&D Milliman 3 SAF - Laboratoire de Sciences Actuarielle et Financière

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 Wüthrich 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.

Keywords : Non‐life insurance Reserve risk Claims Development Result Bootstrap method Tail factor Prediction error Solvency II





Author: Alexandre Boumezoued - Yoboua Angoua - Laurent Devineau - Jean-Philippe Boisseau -

Source: https://hal.archives-ouvertes.fr/



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