包含尾部因子的一年期准备金风险：封闭公式和自助法
One-year reserve risk including a tail factor: closed formula and bootstrap approaches
摘要：
在本文中，我们详细介绍了在实践中使用的主要模拟方法来衡量一年期准备金风险，并描述了自助法提供的索赔开发结果（CDR）的经验分布，其方差与Wüthrich等人（2008）提出的预测误差的封闭式表达式相同。特别是，我们整合了随机建模的尾部因子的引导过程。我们证明了与现有的分析结果的等价性，并开发了封闭形式的表达式，包括尾部因子的预测误差。最后给出了一个数值算例。
英文摘要：
In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error proposed by Wüthrich et al. (2008). In particular, we integrate the stochastic modeling of a tail factor in the bootstrap procedure. We demonstrate the equivalence with existing analytical results and develop closed-form expressions for the error of prediction including a tail factor. A numerical example is given at the end of this study.
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