A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error
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Publication:5019746
DOI10.1080/10920277.2007.10597467zbMath1480.91247OpenAlexW2264918182MaRDI QIDQ5019746
Publication date: 10 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2007.10597467
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Actuarial mathematics (91G05)
Related Items (7)
Loss prediction based on run-off triangles ⋮ Risk Management and Capital Allocation for Non-Life Insurance Companies ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ Prediction Error of the Multivariate Chain Ladder Reserving Method ⋮ Rank-based methods for modeling dependence between loss triangles
Cites Work
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- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Bootstrap methods: another look at the jackknife
- The jackknife and the bootstrap for general stationary observations
- The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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