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An Essay at Measuring the Variance of Estimates of Outstanding Claim Payments

Published online by Cambridge University Press:  29 August 2014

Frank Ashe
Frank Ashe*
Affiliation:
E. S. Knight & Co. Research Centre, Sydney
*
E. S. Knight & Co. Research Centre, 71 York Street, Sydney, N.S.W. 2000, Australia
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Abstract

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The variance of statistical estimates of outstanding claim payments for long-tailed general insurance portfolios is examined. The variance's three components are discussed. As there is no accepted technique for measuring this variance three methods are investigated empirically for its measurement—a parametric method, the jackknife method, and the bootstrap method. No method stands out as superior to the others and it is recommended that all three be evaluated and used to gauge the possible errors in the estimation of outstanding claims.

Type
Astin Competition 1985: Prize-Winning Papers and Other Selected Papers
Information
ASTIN Bulletin: The Journal of the IAA , Volume 16 , Issue S1 , April 1986 , pp. S99 - S113
Copyright
Copyright © International Actuarial Association 1986

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