Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios

The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for several correlated run-off portfolios in the framework of the Chain-ladder claims reserving method for several correlated run-off portfolios