Addendum to “Analytic and bootstrap estimates of prediction errors in claims reserving”

In England and Verrall [Insur. Math. Econ. 25 (1999) 281], an appropriate residual definition was considered for use in a bootstrap exercise to provide a computationally simple method of obtaining reserve prediction errors for the chain ladder model. However, calculation of the first two moments of the predictive distribution only was considered. In this paper, the method is extended by using a two-stage process: bootstrapping to obtain the estimation error and simulation to obtain the process error. This has the advantage of providing realisations from the whole predictive distribution, rather than just the first two moments.