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Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"

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  • England, Peter

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  • England, Peter, 2002. "Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 461-466, December.
    • Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:461-466
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    References listed on IDEAS

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    1. England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
    2. W. R. Gilks & N. G. Best & K. K. C. Tan, 1995. "Adaptive Rejection Metropolis Sampling Within Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 44(4), pages 455-472, December.
    3. Renshaw, A.E. & Verrall, R.J., 1998. "A Stochastic Model Underlying the Chain-Ladder Technique," British Actuarial Journal, Cambridge University Press, vol. 4(4), pages 903-923, October.
    4. Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, vol. 23(1), pages 37-61, September.
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    Citations

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    Cited by:

    1. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
    2. Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Working Papers hal-00605329, HAL.
    3. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
    4. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
    5. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    6. Jonas Harnau, 2018. "Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models," Risks, MDPI, vol. 6(2), pages 1-25, March.
    7. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    8. Zoë Fannon & B. Nielsen, 2018. "Age-period cohort models," Economics Papers 2018-W04, Economics Group, Nuffield College, University of Oxford.
    9. J. Harnau & B. Nielsen, 2017. "Over-dispersed age-period-cohort models," Economics Papers 2017-W06, Economics Group, Nuffield College, University of Oxford.
    10. 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.
    11. Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2019. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance," International Business Research, Canadian Center of Science and Education, vol. 12(3), pages 123-138, March.
    12. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Papers 1806.05939, arXiv.org.
    13. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.
    14. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Economics Papers 2018-W02, Economics Group, Nuffield College, University of Oxford.
    15. Steinmetz, Julia & Jentsch, Carsten, 2024. "Bootstrap consistency for the Mack bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 83-121.
    16. Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau, 2011. "One-year reserve risk including a tail factor: closed formula and bootstrap approaches," Papers 1107.0164, arXiv.org, revised Apr 2012.

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