Detection and correction of outliers in the bivariate chain-ladder method

T. Verdonck and Martine van Wouwe ()

Insurance: Mathematics and Economics, 2011, vol. 49, issue 2, 188-193

Abstract: The expected profit or loss of a non-life insurance company is determined for the whole of its multiple business lines. This implies the study of the claims reserving problem for a portfolio consisting of several correlated run-off triangles. A popular technique to deal with such a portfolio is the multivariate chain-ladder method of Merz and Wüthrich (2008). However, it is well known that the chain-ladder method is very sensitive to outlying data. For the univariate case, we have already developed a robust version of the chain-ladder method. In this article we propose two techniques to detect and correct outlying values in a bivariate situation. The methodologies are illustrated and compared on real examples from practice.

Keywords: Multivariate; chain-ladder; method; Claims; reserving; Bivariate; outliers; Robustness; Sensitivity (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:2:p:188-193

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