The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool

DOI10.1016/j.insmatheco.2010.10.001zbMath1233.91156MaRDI QIDQ2276208

Tim Verdonck, Michiel Debruyne

Publication date: 1 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.001

zbMATH Keywords

sensitivity; robustness; influence function; outlier; chain-ladder method

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F10: Point estimation

Related Items

Robust bootstrap procedures for the chain-ladder method, FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING, Robust loss reserving in a log-linear model, Detection and correction of outliers in the bivariate chain-ladder method, Optimal risk transfer under quantile-based risk measurers

Uses Software

• bootstrap

Cites Work

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