Bootstrap consistency for the Mack bootstrap

DOI10.1016/j.insmatheco.2024.01.001arXiv2303.05913OpenAlexW4391074055MaRDI QIDQ6199668

Carsten Jentsch, Julia Steinmetz

Publication date: 21 March 2024

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.05913

zbMATH Keywords

predictive inferenceloss reservingbootstrap consistencyMack's modelMack bootstrap

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Actuarial mathematics (91G05)

Cites Work

• Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
• Chain ladder method: Bayesian bootstrap versus classical bootstrap
• Time series: theory and methods.
• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Analytic and bootstrap estimates of prediction errors in claims reserving
• A justification of conditional confidence intervals
• The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
• Asymptotic theory for Mack's model
• Bootstrapping the separation method in claims reserving.
• Robust bootstrap procedures for the chain-ladder method
• The bootstrap and Edgeworth expansion
• Bootstrap Prediction Bands for Functional Time Series

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