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Emerging Applications of the Resampling Methods in Actuarial Models

In: Intelligent And Other Computational Techniques In Insurance Theory and Applications

Author

Listed:
  • Krzysztof M. Ostaszewski

    (Actuarial Program, 313G Adlai Stevenson Hall, Campus Box 4520, Illinois State University, Normal IL 61790-4520, USA)

  • Grzegorz A. Rempala

    (Department of Mathematics, 226A Natural Sciences Bldg., University of Louisville, Louisville, KY 40292, USA)

Abstract

The following sections are included:IntroductionThe ConceptBootstrap Standard Error and Bias EstimatesBootstrap Confidence IntervalsDependent DataModeling US Mortality TablesCarriere Mortality LawFitting the Mortality CurveStatistical Properties of the Parameter Estimates in Carriere Mortality ModelAssessment of the Model Accuracy with Parametric BootstrapMethodology of Cash-Flow Analysis with ResamplingInterest Rates ProcessModeling Interest Rates with Nonparametric Bootstrap of Dependent DataModel Company AssumptionsInterest Rates Process AssumptionsBootstrapping the Surplus-Value Empirical ProcessBootstrap Estimates of the Surplus Cumulative DistributionEstimates Based on the Yields on the Long-Term Treasury Bonds for 1953-76Comparison with the Parametric Analysis ResultsConclusionsAcknowledgmentsReferences

Suggested Citation

  • Krzysztof M. Ostaszewski & Grzegorz A. Rempala, 2003. "Emerging Applications of the Resampling Methods in Actuarial Models," World Scientific Book Chapters, in: A F Shapiro & L C Jain (ed.), Intelligent And Other Computational Techniques In Insurance Theory and Applications, chapter 15, pages 523-560, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812794246_0015
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