Bootstrapping the chain-ladder method for several correlated run-off portfolios |
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Authors: | Luis Huergo Jochen Heberle Michael Merz |
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Institution: | 1.Faculty of Economics,University Tübingen,Tübingen,Germany;2.Faculty of Economics,University Hamburg,Hamburg,Germany |
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Abstract: | The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction
error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem
in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for
several correlated run-off portfolios in the framework of the Chain-ladder claims reserving method for several correlated
run-off portfolios. |
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Keywords: | |
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