ODP Bootstrap Reserve Range
Simulate the full distribution of the chain-ladder reserve using an over-dispersed Poisson bootstrap on Pearson residuals, with percentile ranges and a histogram.
Loaded: Federal Ins Co Grp — Workers' Compensation (paid, CAS Loss Reserve DB)
| Origin \ Dev | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 |
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| AY 10 |
Assumptions & limitations
- Incremental losses follow an over-dispersed Poisson process; Pearson residuals are treated as i.i.d. and exchangeable across the triangle.
- Each simulation re-fits volume-weighted chain-ladder factors on the resampled pseudo-triangle, then adds process variance around the resulting IBNR.
- Results are seeded (mulberry32 PRNG) for reproducibility; re-running with the same seed and N reproduces the same distribution.