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• W2892150816 abstract "The chain ladder method is a popular technique to estimate the future reserves needed to handle claims that are not fully settled. Since the predictions of the aggregate portfolio (consisting of different subportfolios) do not need to be equal to the sum of the predictions of the subportfolios, a general multivariate chain ladder (GMCL) method has already been proposed. However, the GMCL method is based on the seemingly unrelated regression (SUR) technique which makes it very sensitive to outliers. To address this issue, we propose a robust alternative that estimates the SUR parameters in a more outlier resistant way. With the robust methodology it is possible to automatically flag the claims with a significantly large influence on the reserve estimates. We introduce a simulation design to generate artificial multivariate run-off triangles based on the GMCL model and illustrate the importance of taking into account contemporaneous correlations and structural connections between the run-off triangles. By adding contamination to these artificial datasets, the sensitivity of the traditional GMCL method and the good performance of the robust GMCL method is shown. From the analysis of a portfolio from practice it is clear that the robust GMCL method can provide better insight in the structure of the data." @default.
• W2892150816 created "2018-09-27" @default.
• W2892150816 creator A5051795351 @default.
• W2892150816 creator A5061537141 @default.
• W2892150816 creator A5085208338 @default.
• W2892150816 date "2018-09-30" @default.
• W2892150816 modified "2023-09-25" @default.
• W2892150816 title "A Robust General Multivariate Chain Ladder Method" @default.
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• W2892150816 doi "https://doi.org/10.3390/risks6040108" @default.
• W2892150816 hasPublicationYear "2018" @default.
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