A Robustification of the Chain-Ladder Method

DOI10.1080/10920277.2009.10597555zbMath1483.91210OpenAlexW2019837422MaRDI QIDQ5029068

M. Van Wouwe, Jan Dhaene, Tim Verdonck

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/274683

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items

A hierarchical reserving model for reported non-life insurance claims ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ Micro-level stochastic loss reserving for general insurance ⋮ Robust bootstrap procedures for the chain-ladder method ⋮ Robust minium bias iteration algorithms for classification ratemaking and loss reserving ⋮ Holt-winters method for run-off triangles in claims reserving ⋮ Detection and correction of outliers in the bivariate chain-ladder method ⋮ Robust loss reserving in a log-linear model ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool ⋮ A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION

Uses Software

• robustbase
• bootstrap

Cites Work

• Longitudinal data analysis using generalized linear models
• On the estimation of reserves from loglinear models
• Robust measures of tail weight
• An adjusted boxplot for skewed distributions
• Robust covariance estimates based on resampling
• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Analytic and bootstrap estimates of prediction errors in claims reserving
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Bounds on the estimation error in the chain ladder method
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
• Least-absolute-deviations fits for generalized linear models
• Robust Inference for Generalized Linear Models
• Robust Regression for Clustered Data with Application to Binary Responses
• Conditionally Unbiased Bounded-Influence Estimation in General Regression Models, with Applications to Generalized Linear Models
• Robust Statistics
• Robust Statistics
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