A robustification of the chain-ladder method
From MaRDI portal
Publication:5029068
DOI10.1080/10920277.2009.10597555zbMATH Open1483.91210OpenAlexW2019837422MaRDI QIDQ5029068FDOQ5029068
M. Van Wouwe, J. Dhaene, Tim Verdonck
Publication date: 11 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/274683
Recommendations
- Robust bootstrap procedures for the chain-ladder method
- The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
- Detection and correction of outliers in the bivariate chain-ladder method
- Robust loss reserving in a log-linear model
- scientific article; zbMATH DE number 5274743
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust Statistics
- Longitudinal data analysis using generalized linear models
- An adjusted boxplot for skewed distributions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Robust Statistics
- Robust Regression for Clustered Data with Application to Binary Responses
- Robust Inference for Generalized Linear Models
- Robust measures of tail weight
- The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
- Least-absolute-deviations fits for generalized linear models
- Conditionally Unbiased Bounded-Influence Estimation in General Regression Models, with Applications to Generalized Linear Models
- Title not available (Why is that?)
- Title not available (Why is that?)
- Analytic and bootstrap estimates of prediction errors in claims reserving
- Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
- An investigation into stochastic claims reserving models and the chain-ladder technique.
- On the estimation of reserves from loglinear models
- A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
- Bounds on the estimation error in the chain ladder method
- Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
- Robust covariance estimates based on resampling
Cited In (15)
- A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION
- The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
- Detection and correction of outliers in the bivariate chain-ladder method
- Title not available (Why is that?)
- Micro-level stochastic loss reserving for general insurance
- Bounds on the estimation error in the chain ladder method
- A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS
- Holt-winters method for run-off triangles in claims reserving
- Robust bootstrap procedures for the chain-ladder method
- A marked Cox model for the number of IBNR claims: theory
- Robust minium bias iteration algorithms for classification ratemaking and loss reserving
- Robust loss reserving in a log-linear model
- APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING
- A hierarchical reserving model for reported non-life insurance claims
- On the impact of outliers in loss reserving
Uses Software
This page was built for publication: A robustification of the chain-ladder method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5029068)
