Detection and correction of outliers in the bivariate chain-ladder method

DOI10.1016/j.insmatheco.2011.04.003zbMath1218.91098OpenAlexW2093072751MaRDI QIDQ634004

M. Van Wouwe, Tim Verdonck

Publication date: 2 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.003

zbMATH Keywords

sensitivityrobustnessbivariate outliersclaims reservingmultivariate chain-ladder method

Mathematics Subject Classification ID

Related Items (2)

Robust bootstrap procedures for the chain-ladder method ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING

Cites Work

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• Propagation of outliers in multivariate data
• Robust bivariate boxplots and multiple outlier detection.
• The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
• Least Median of Squares Regression
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• A Robustification of the Chain-Ladder Method

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