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An Essay at Measuring the Variance of Estimates of Outstanding Claim Payments

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  • Ashe, Frank

Abstract

The variance of statistical estimates of outstanding claim payments for long-tailed general insurance portfolios is examined. The variance's three components are discussed. As there is no accepted technique for measuring this variance three methods are investigated empirically for its measurement—a parametric method, the jackknife method, and the bootstrap method. No method stands out as superior to the others and it is recommended that all three be evaluated and used to gauge the possible errors in the estimation of outstanding claims.

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  • Ashe, Frank, 1986. "An Essay at Measuring the Variance of Estimates of Outstanding Claim Payments," ASTIN Bulletin, Cambridge University Press, vol. 16(S1), pages 99-113, April.
    • Handle: RePEc:cup:astinb:v:16:y:1986:i:s1:p:s99-s113_01
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    Cited by:

    1. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, vol. 5(1), pages 1-21, January.
    2. László Martinek, 2019. "Analysis of Stochastic Reserving Models By Means of NAIC Claims Data," Risks, MDPI, vol. 7(2), pages 1-27, June.
    3. England, P.D. & Verrall, R.J. & Wüthrich, M.V., 2019. "On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 74-88.

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