Robust loss reserving in a log-linear model

DOI10.1016/J.INSMATHECO.2015.04.005MaRDI QIDQ495440zbMATH OpenOpenAlexFDO

Authors Georgios Pitselis, Vasiliki Grigoriadou, Ioannis Badounas

Publication date 14 September 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.04.005

zbMATH Keywords

chain ladderdiagnosticslog-linear modelloss reservingrobust estimators

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Which stochastic model is underlying the chain ladder method?

Cited in

(14)

• Robust paradigm applied to parameter reduction in actuarial triangle models
• The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
• Robust estimation of reserve risk
• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Robust bootstrap procedures for the chain-ladder method
• Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
• A robustification of the chain-ladder method
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• Applying state space models to stochastic claims reserving
• On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company
• Detection and correction of outliers in the bivariate chain-ladder method
• On the impact of outliers in loss reserving
• Claims Reserving with a Robust Generalized Additive Model
• On the estimation of reserves from loglinear models

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