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Bootstrap consistency for the Mack bootstrap

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  • Steinmetz, Julia
  • Jentsch, Carsten

Abstract

Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the reserve, it does not allow to identify the whole distribution of the reserve. For this purpose, Mack's model is usually equipped with a tailor-made bootstrap procedure. Although widely used in practice to estimate the reserve risk, no theoretical bootstrap consistency results exist that justify this approach.

Suggested Citation

  • Steinmetz, Julia & Jentsch, Carsten, 2024. "Bootstrap consistency for the Mack bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 83-121.
    • Handle: RePEc:eee:insuma:v:115:y:2024:i:c:p:83-121
    DOI: 10.1016/j.insmatheco.2024.01.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Bootstrap consistency; Loss reserving; Mack's model; Mack bootstrap; Predictive inference;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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