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摘要翻译：
本文详细介绍了一年期准备金风险度量的主要模拟方法，并描述了bootstrap方法，给出了索赔发展结果(CDR)的经验分布，其方差与W\'Uthrich等人提出的预测误差的闭式表达式相同。（2008年）。特别地，我们在bootstrap过程中集成了尾部因子的随机建模。我们证明了与已有分析结果的等价性，并给出了包含尾部因子的预测误差的闭式表达式。最后给出了一个数值算例。
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英文标题：
《One-year reserve risk including a tail factor: closed formula and
bootstrap approaches》
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作者：
Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau (SAF),
Jean-Philippe Boisseau
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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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 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.
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PDF链接：
https://arxiv.org/pdf/1107.0164
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