Chain ladder method: Bayesian bootstrap versus classical bootstrap

DOI10.1016/j.insmatheco.2010.03.007zbMath1231.91225arXiv1004.2548OpenAlexW2036883793MaRDI QIDQ661207

Gareth W. Peters, Mario V. Wüthrich, Pavel V. Shevchenko

Publication date: 10 February 2012

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

Full work available at URL: https://arxiv.org/abs/1004.2548

zbMATH Keywords

bootstrapMarkov chain Monte Carloapproximate Bayesian computationannealingclaims reservingBayesian chain ladderdistribution-free chain laddermean square error of prediction

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05)

Related Items (13)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Loss prediction based on run-off triangles ⋮ COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ Parameter Estimation for Hidden Markov Models with Intractable Likelihoods ⋮ Bayesian model choice of grouped \(t\)-copula ⋮ Statistical inference for dynamical systems: a review ⋮ Bootstrap consistency for the Mack bootstrap ⋮ Approximate Bayesian computations to fit and compare insurance loss models ⋮ On sequential Monte Carlo, partial rejection control and approximate Bayesian computation ⋮ A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving ⋮ MULTIVARIATE LONG-MEMORY COHORT MORTALITY MODELS ⋮ Combining chain-ladder claims reserving with fuzzy numbers ⋮ Asymptotic behaviour of the posterior distribution in approximate Bayesian computation

Uses Software

• bootstrap
• bootlib

Cites Work

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• On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
• Bootstrap methods: another look at the jackknife
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Inference from iterative simulation using multiple sequences
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
• Sequential Monte Carlo Samplers
• Credibility for the Chain Ladder Reserving Method
• Bayesian Symbol Detection in Wireless Relay Networks via Likelihood-Free Inference
• Sequential Monte Carlo without likelihoods

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