12.07.2015 Views

Bootstrapping the triangles

Bootstrapping the triangles

Bootstrapping the triangles

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Reserving Issue- consider traditional actuarial approach to reservingrisk . . . <strong>the</strong> uncertainty in <strong>the</strong> outcomes over <strong>the</strong>lifetime of <strong>the</strong> liabilities- bootstrap can be also applied under Solvency II. . . outstanding liabilities after 1 year- distribution-free methods (e.g., chain ladder) onlyprovide a standard deviation of <strong>the</strong>ultimates/reserves (or claims developmentresult/run-off result)? ano<strong>the</strong>r risk measure (e.g., V aR @ 99.5%) moreover, distributions of ultimate cost of claimsand <strong>the</strong> associated cash flows (not just a standarddeviation)?! claims reserving techniqueapplied mechanically and without judgement

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