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

DOI10.1016/J.INSMATHECO.2010.10.001MaRDI QIDQ2276208zbMATH OpenOpenAlexFDO

Authors 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

sensitivityoutlierrobustnessinfluence functionchain-ladder method

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5640261 (Why is no real title available?)
• scientific article; zbMATH DE number 472968 (Why is no real title available?)
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 3998990 (Why is no real title available?)
• A robustification of the chain-ladder method
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Conditionally Unbiased Bounded-Influence Estimation in General Regression Models, with Applications to Generalized Linear Models
• Least-absolute-deviations fits for generalized linear models
• Longitudinal data analysis using generalized linear models
• On the distribution of discounted loss reserves using generalized linear models
• On the estimation of reserves from loglinear models
• Robust Inference for Generalized Linear Models
• Robust Regression for Clustered Data with Application to Binary Responses
• Robust covariance estimates based on resampling
• Robust factor analysis.
• The Influence Curve and Its Role in Robust Estimation
• The Standardized Influence Matrix and Its Applications

Cited in

(10)

• A robustification of the chain-ladder method
• Diagonal effects in claims reserving
• Detection and correction of outliers in the bivariate chain-ladder method
• FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
• Bootstrap consistency for the Mack bootstrap
• Robust bootstrap procedures for the chain-ladder method
• Optimal risk transfer under quantile-based risk measurers
• Robust loss reserving in a log-linear model
• On the impact of outliers in loss reserving
• Double chain ladder, claims development inflation and zero-claims

Describes a project that uses

Uses Software

• bootstrap

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