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We now put forward a framework for N-dimensional robust chain-ladder reserving. The methodology is as follows. Firstly, perform the robust Poisson GLM chain-ladder technique on each triangle separately to obtain residuals. These residuals are then stored in an N-dimensional matrix.
chain-ladder are used to generate a bagplot (Rousseeuw, Ruts, and Tukey, 1999) which may be considered as a bivariate boxplot. The second approach employed to detect and treat outliers is the minimum covariance
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Sep 1, 2011 · Univariate chain–ladder method popular technique to determine claims reserve. Some multivariate versions have recently been proposed. Chain–ladder method very sensitive to outliers. We detect and correct the outliers in bivariate context. Presented methodologies illustrated on real examples.
- Tim Verdonck, M Van Wouwe
- 2011
Dec 28, 2012 · The paper focuses on two approaches to robustify the chain-ladder method: the first method detects and adjusts the outlying values, whereas the second method is based on a robust generalized linear model technique.
- T. Verdonck, M. van Wouwe, J. Dhaene
- 2009
Apr 1, 2009 · 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...
Jun 9, 2021 · Abstract. 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. By relaxing the usual regression assumptions ...
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Dec 10, 2016 · However, the standard procedures are very sensitive to the possible presence of outliers. These atypical observations, deviating from the pattern of the majority of the data, may both inflate...
