2 papers
math.ST2023
Bootstrap Consistency for the Mack Bootstrap
Julia Steinmetz, Carsten Jentsch
Mack's distribution-free chain ladder reserving model belongs to the most popular approaches in non-life insurance mathematics. Proposed to determine the first two moments of the r…
math.ST2022
Testing exogeneity in the functional linear regression model
Manuela Dorn, Melanie Birke, Carsten Jentsch
We propose a novel test statistic for testing exogeneity in the functional linear regression model. In contrast to Hausman-type tests in finite dimensional linear regression setups…