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1. www.cambridge.org › core › journalsDetection and treatment of outliers for multivariate robust ...

   www.cambridge.org › core › journals

   The refined robust GLM chain-ladder technique is an integral component of the robust bivariate chain-ladder as developed by Verdonck & Van Wouwe (Reference Verdonck and Van Wouwe 2011). In particular, the residuals given after fitting the robust GLM chain-ladder are used to generate a bagplot (Rousseeuw et al ., Reference Rousseeuw, Ruts and Tukey 1999 ) which may be considered as a bivariate ...

2. www.actuaries.asn.au › Library › EventsOn the impact, detection and treatment of outliers in robust ...

   www.actuaries.asn.au › Library › Events

   This provides a formal basis for the non-robustness of the chain-ladder technique. The re ned robust GLM chain-ladder technique is an integral component of the robust bivariate chain-ladder (Verdonck and Van Wouwe, 2011). In particular, the residuals given after tting the robust GLM chain-ladder are used to generate a bagplot (Rousseeuw, Ruts ...

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     Loss Reserving | Intro to Chain-Ladder Method

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4. www.sciencedirect.com › science › articleDetection and correction of outliers in the bivariate chain ...

   www.sciencedirect.com › science › article

   Sep 1, 2011 · Furthermore, it is proven that the influence functions of the classical chain–ladder method are unbounded, which confirms its sensitivity to outliers (Verdonck and Debruyne, 2011). Therefore Verdonck et al. (2009) have developed two robust versions (a deterministic and a stochastic one) of the chain–ladder method. The detection of the ...

   • Author: Tim Verdonck, M Van Wouwe

   • Publish Year: 2011

5. www.cambridge.org › core › journalsA robust random coefficient regression representation of the ...

   www.cambridge.org › core › journals

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   Jun 9, 2021 · It is well known that the presence of outliers can mis-estimate (underestimate or overestimate) the overall reserve in the chain-ladder method, when we consider a linear regression model, based on the assumption that the coefficients are fixed and identical from one observation to another.

6. wis.kuleuven.be › stat › robustRobust bootstrap procedures for the chain-ladder method

   wis.kuleuven.be › stat › robust

   2.1 Classical chain-ladder method Insurers have to build up reserves enabling them to pay outstanding claims and to meet claims arising in the future on the written contracts. The chain-ladder method is a very popular algorithm to compute these reserve estimates. Let Y ij and C ij denote respectively the incremental and cumulative claim amount ...

7. www.researchgate.net › publication › 311096024(PDF) Robustifying the multivariate chain-ladder method: A ...

   www.researchgate.net › publication › 311096024

   Mar 1, 2016 · For the bivariate situation, we have already developed robust solutions for the chain-ladder method by introducing two techniques for detecting and correcting outliers. In this article we focus on ...

8. People also ask

   Does robust chain-ladder method produce unreliable results if data contains outliers?

   • The robust chain-ladder method is brie y described in Section 3 and it is shown that the classical bootstrap method may produce unreliable results when the data contains outlier(s), even when the classical chain-ladder method is replaced by its robust alternative.

   Robust bootstrap procedures for the chain-ladder method

   wis.kuleuven.be/stat/robust/papers/2016/peremansetal-bootstrapchainladder-scandactuarialj.pdf

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   Can outliers mis-estimate the overall reserve in the chain-ladder method?

   • It is well known that the presence of outliers can mis-estimate (underestimate or overestimate) the overall reserve in the chain-ladder method, when we consider a linear regression model, based on the assumption that the coefficients are fixed and identical from one observation to another.

   A robust random coefficient regression representation of the chain

   www.cambridge.org/core/journals/annals-of-actuarial-science/article/abs/robust-random-coefficient-regression-representation-of-the-chainladder-method/AF7255DD5FC2E88D493A4F1C49C1C005

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   How to robustify the chain-ladder method?

   • The paper focuses on two approaches to robustify the chain-ladder method: the first method detects and adjusts the out-lying values, whereas the second method is based on a robust generalized linear model technique.

   A Robustification of the Chain-Ladder Method - ResearchGate

   www.researchgate.net/publication/228958260_A_Robustification_of_the_Chain-Ladder_Method

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   What is robust GLM chain-ladder technique?

   • The re ned robust GLM chain-ladder technique is an integral component of the robust bivariate chain- ladder (Verdonck and Van Wouwe, 2011). In particular, the residuals given after tting the robust GLM chain-ladder are used to generate a bagplot (Rousseeuw, Ruts, and Tukey, 1999) which may be considered as bivariate boxplot.

   On the impact, detection and treatment of outliers in robust loss reservi…

   www.actuaries.asn.au/Library/Events/GIS/2016/PaperAvanziLavenderTaylorWong.pdf

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   Are there robust bivariate chain-ladder techniques?

   • We begin by reviewing the two robust bivariate chain-ladder techniques that were introduced by Verdonck and Van Wouwe (2011) based on the bagplot (Rousseeuw, Ruts, and Tukey, 1999) or MCD (Rousseeuw, 1984) Mahalanobis distance respectively. In our alternative approaches, we explore the use of two di erent outlier detection techniques.

   On the impact, detection and treatment of outliers in robust loss reservi…

   www.actuaries.asn.au/Library/Events/GIS/2016/PaperAvanziLavenderTaylorWong.pdf

   See all results for this question

   Is the multivariate chain–ladder method sensitive to outlying values?

   • In looking at a non-life insurance company with multiple business lines, we have discovered that the multivariate chain–ladder method is sensitive towards outlying values. This is similar to what was observed for the univariate chain–ladder method.

   Detection and correction of outliers in the bivariate

   www.sciencedirect.com/science/article/pii/S0167668711000436

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9. www.researchgate.net › publication › 228958260_AA Robustification of the Chain-Ladder Method - ResearchGate

   www.researchgate.net › publication › 228958260_A

   Apr 1, 2009 · The robust chain-ladder method is applied to sev-eral run-off triangles with and without outliers, showing its excellent performance. Plot of Reserve Estimates for the Different Methods