One-yea reserve risk including a tail factor : closed formula and bootstrap approaches.

link: http://arxiv.org/abs/1107.0164
Abstract

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
W\"uthrich 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.