Back
 JMF  Vol.5 No.2 , May 2015
The Stochastic Error Rate Estimation of Prediction Distributions
Abstract: The estimation of claims reserves is usually done by applying techniques called IBNR techniques within a stochastic framework. The main objective of this paper is to predict the partial reserve and to estimate the error rate of prediction distributions by using the stochastic model proposed in [1].
Cite this paper: Faires, H. (2015) The Stochastic Error Rate Estimation of Prediction Distributions. Journal of Mathematical Finance, 5, 172-177. doi: 10.4236/jmf.2015.52016.
References

[1]   Faires, H. (2014) Non-Life Claims Reserves Using Dirichlet Random Environment. International Journal of Engineering Research and Applications (IJERA), 4, 63-77.

[2]   Schnieper, R. (1991) Separating True IBNR and IBNER Claims. ASTIN Bulletin, 21, 111-127.

[3]   Mack, T. (2000) Distribution-Free Calculation of the Standard Error of Chain Ladder Reserve Estimates. ASTIN Bulletin, 23, 214-225.

[4]   Liu, H.J. and Verrall, R. (2002) Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims.
http://www.actuaries.org/ASTIN/Colloquia/Orlando/Papers/Liu.pdf

[5]   Verrall, R.J. and England, P.D. (2000) Comments on: “A Comparison of Stochastic Models That Reproduce Chain Ladder Reserve Estimates”, by Mack and Venter. Insurance: Mathematics and Economics, 26, 109-111.
http://ideas.repec.org/a/eee/insuma/v26y2000i1p109-111.html

[6]   Faires, H. (2012) SDEs in Dirichlet Random Environment. International Journal of Statistics and Systems, 1, 55-66.

[7]   Deshpande, A. and Ghosh, M.K. (2007) Risk Minimizing Option Pricing in a Regime Switching Market. Stochastic Analysis and Applications, 28, 313-324.

[8]   Dempster, A.P., Laird, R.M. and Rubin, D.B. (1977) Maximum Likelihood from Incomplete Data via the EM Algorithm. Journal of the Royal Statistical Society. Series B (Methodological), 39, 1-38.

[9]   Elliott, R.J., Malcolm, W.P. and Tsoi, A.H. (2003) Robust Parameter Estimation for Asset Price Models with Markov Modulated Volatilities. Journal of Economics Dynamics and Control, 27, 1391-1409.
http://dx.doi.org/10.1016/S0165-1889(02)00064-7

[10]   Hamilton, J. A. (1990) Analysis of Time Series Subject to Changes in Regime. Journal of Econometrics, 45, 39-70.
http://dx.doi.org/10.1016/0304-4076(90)90093-9

 
 
Top