output
20112025
most citedOne-year reserve risk including a tail factor: closed formula and bootstrap approaches

3 citations

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q-fin.RM2011★ 3 cited

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

Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau +1

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…