On the impact of outliers in loss reserving

DOI10.1007/S13385-023-00356-2MaRDI QIDQ6550188zbMATH OpenFDO

Authors Benjamin Avanzi, Mark Lavender, Greg Taylor, Bernard Wong

Publication date 4 June 2024

Published in European Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S13385-023-00356-2

zbMATH Keywords

chain-ladderimpact functionsMack's modelrobust loss reserving

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

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Cites work

• A robustification of the chain-ladder method
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool

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