The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool
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Cited by:
- Emmanuel Jordy Menvouta & Jolien Ponnet & Robin Van Oirbeek & Tim Verdonck, 2022. "mCube: Multinomial Micro-level reserving Model," Papers 2212.00101, arXiv.org.
- Steinmetz, Julia & Jentsch, Carsten, 2024. "Bootstrap consistency for the Mack bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 83-121.
- Nataliya Chukhrova & Arne Johannssen, 2017. "State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing," Risks, MDPI, vol. 5(2), pages 1-23, May.
- Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
- Benjamin Avanzi & Mark Lavender & Greg Taylor & Bernard Wong, 2022. "Detection and treatment of outliers for multivariate robust loss reserving," Papers 2203.03874, arXiv.org, revised Jun 2023.
- Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis, 2015. "Robust loss reserving in a log-linear model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 14-27.
- Jan Barlak & Matus Bakon & Martin Rovnak & Martina Mokrisova, 2022. "Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business," Risks, MDPI, vol. 10(9), pages 1-17, August.
- Kris Peremans & Stefan Van Aelst & Tim Verdonck, 2018. "A Robust General Multivariate Chain Ladder Method," Risks, MDPI, vol. 6(4), pages 1-18, September.
- Benjamin Avanzi & Mark Lavender & Greg Taylor & Bernard Wong, 2022. "On the impact of outliers in loss reserving," Papers 2203.00184, arXiv.org, revised Jun 2023.
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Keywords
Chain-ladder method Sensitivity Outlier Robustness Influence function;Statistics
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