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  #11  
Old 05-01-2014, 08:53 AM
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Originally Posted by MountainHawk View Post
What, I have 30 years of history for WC, and would have 40 more if some goofball decided that we didn't need the history of outstanding losses when they updated claims systems. It's not that outlandish.
Yea, but how useful is 70 years of ldfs unless you have a company historian documenting all the changes in claims reporting and posting reserves?
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Old 05-01-2014, 08:59 AM
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Yea, but how useful is 70 years of ldfs unless you have a company historian documenting all the changes in claims reporting and posting reserves?
You could use them for the variability though. Calculate [LDF_n - WA(LDF_n-1: LDF_n-10)]/SD(LDF_n-1:LDF_n-10) and then sample from that. More data is never worse than less data.
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Old 06-27-2014, 06:33 AM
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Hello,

Recently I came across an english actuary who was creating a range estimation for reserving by runing simulations resapling the Age to Age factors.

I have never seen something like this before and I cant find any literature about it. All the bootstrap simulations I have ever done were based on resampling errors (mainly pearson errors with a ODP bootstrap).

Did any of you ever done anythng similar to this Age-to Age factor resampling? does it work well? Did he invented it or it is a standard technique?

Thank you
Just like make the LDF stochatic. Sometimes we assume it follows a lognormal distribution but here he uses the bootstrapping to form a distribution.
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Old 06-27-2014, 06:34 AM
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Some guys in Australia use such a kind of methods as I have seen.
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