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The Stochastic Error Rate Estimation of Prediction Distributions
Department of Mathematics and Statistics, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia
- 1 Department of Mathematics and Statistics, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), Riyadh, Saudi Arabia
Journal of Mathematical Finance·Volume 05 (2015)·Pages 172–177·Published 30 March 2015·DOI10.4236/jmf.2015.52016
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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].
KeywordsReserving ClaimsEDSError RatePrediction Distributions
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