Title
Detection and correction of outliers in the bivariate chainladder method Detection and correction of outliers in the bivariate chainladder method
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
Amsterdam ,
Subject
Economics
Mathematics
Source (journal)
Insurance: mathematics and economics. - Amsterdam
Volume/pages
49(2011) :2 , p. 188-193
ISSN
0167-6687
ISI
000293157400003
Carrier
E
Target language
Dutch (dut)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
E-info
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000293157400003&DestLinkType=RelatedRecords&DestApp=ALL_WOS&UsrCustomerID=ef845e08c439e550330acc77c7d2d848
http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000293157400003&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=ef845e08c439e550330acc77c7d2d848
Handle