2024/06/05 by Baradel, Nicolas
#FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Probability (math.PR)
paper · doi:10.48550/arxiv.2406.03252
We revisit the famous Mack's model which gives an estimate for the conditional mean squared error of prediction of the chain-ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model the accumulated total claims amount for the chain-ladder method. Within this continuous-time framework, we propose a bootstrap technique for estimating the distribution of claims reserves. It turns out that our approach leads to inherently capturing asymmetry and non-negativity, eliminating the necessity for additional assumptions. We conclude with a case study and comparative analysis against alternative methodologies based on Mack's model.