A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error

North American Actuarial Journal

Volumn 11, Issue 3, 2007, Pages 70-88

  Taylor, Greg ^a   McGuire, Gráinne ^a  

^a Taylor Fry Consulting Actuaries   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77955164730     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2007.10597467     Document Type: Article

References (11)

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2. Brehm, P. J. 2002. Correlation and the Aggregation of Unpaid Loss Distributions. Casualty Actuarial Society Fall Forum on Reserving Call Papers, 1-21.
3. Carltstein, E. 1986. The Use of Subseries Values for Estimating the Variance of a General Statistic from a Stationary Sequence. Annals of Statistics 14: 1171-79.
4. Duffie, D., and J. Pan. 1997. An Overview of Value at Risk. Journal of Derivatives 4(3): 7-49.
5. Efron, B. 1979. Bootstrap Methods: Another Look at the Jackknife. Annals of Statistics 7: 1-26.
6. Kirschner, G. S., C. Kerley, and B. Isaacs. 2002. Two Approaches to Calculating Correlated Reserve Indications across Multiple Lines of Business. Casualty Actuarial Society Fall Forum on Reserving Call Papers, 211-45.
7. Kunsch, H. R. 1989. The Jackknife and the Bootstrap for General Stationary Observations. Annals of Statistics 17: 1217-41.
8. Nelder, J. A., and R. W. M. Wedderburn. 1972. Generalised Linear Models. Journal of the Royal Statistical Society, Series A 135: 370-84.
9. Srivastava, V. K., and D. E. Giles. 1987. Seemingly Unrelated Regression Equation Models: Estimation and Inference. New York: Marcel Dekker.
10. Taylor, G. C. 2000. Loss Reserving: An Actuarial Perspective. Dordrecht: Kluwer.
11. Zellner, A. 1962. An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregate Bias. Journal of the American Statistical Association 57: 346-68.