Robust bootstrap procedures for the chain-ladder method

  title={Robust bootstrap procedures for the chain-ladder method},
  author={Kris Peremans and Pieter Segaert and Stefan Van Aelst and Tim Verdonck},
  journal={Scandinavian Actuarial Journal},
  pages={870 - 897}
Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic algorithm. To include a stochastic component one may apply generalized linear models to the run-off triangles based on past claims data. Analytical expressions for the standard deviation of the resulting reserve estimates are typically difficult to derive. A… 
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