TITLE:
The Stochastic Error Rate Estimation of Prediction Distributions
AUTHORS:
Hafedh Faires
KEYWORDS:
Reserving Claims, EDS, Error Rate, Prediction Distributions
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.5 No.2,
May
13,
2015
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].