Publication
Title
Detection and correction of outliers in the bivariate chainladder method
Author
Abstract
The expected profit or loss of a non-life insurance company is determined for the whole of its multiple business lines. This implies the study of the claims reserving problem for a portfolio consisting of several correlated run-off triangles. A popular technique to deal with such a portfolio is the multivariate chainladder method of Merz and Wüthrich (2008). However, it is well known that the chainladder method is very sensitive to outlying data. For the univariate case, we have already developed a robust version of the chainladder method. In this article we propose two techniques to detect and correct outlying values in a bivariate situation. The methodologies are illustrated and compared on real examples from practice.
Language
Dutch
Source (journal)
Insurance: mathematics and economics. - Amsterdam
Publication
Amsterdam : 2011
ISSN
0167-6687
Volume/pages
49:2(2011), p. 188-193
ISI
000293157400003
Full text (Publisher's DOI)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 09.09.2011
Last edited 14.11.2017
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