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Ch14!!

L

Leela

Member
I am struggling with Ch14 and trying not to get bogged down with the detail, but keep getting dragged into it!

Three questions;

1. Bootstrapping

Fit model -> find residuals
Create lots of new triangles with residuals
Project each triangle with CL.

Qu. p.18 Step 3 implies we might project the triangles with other methods to CL, I think this is wrong??

2. ODP - Analytic This is my understanding
ODP means we assume sigma = mu * phi
Given data we can estimate mu and sigma of incremental claims
Could assume incremental claims are logNormal and use mu and sigma to give estimated ditribution

Qu. Is my understanding right?

3. ODP bootstrap
Calculate fitted triangles using ODP
Find residuals
Create lots of new triangles with residuals
Project each triangle with CL

Qu. How do you calculate fitted triangles?
ODP gives you an assumed distribution of inc claims how do you use this to get the fitted triangles?

Also notes say this gives parameter variance? I don't understand this. Probably because I don't actually understand what we're doing!

Trying to get the main points down with this chatper and move on but I'm really really struggling!

:confused:

Leela
 
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