Title: Detection and correction of outliers in the bivariate chain-ladder method
Authors: Verdonck, Tim ×
Van Wouwe, M #
Issue Date: Sep-2011
Publisher: Elsevier science bv
Series Title: Insurance: Mathematics & Economics vol:49 issue:2 pages: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 Wuthrich (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. (C) 2011 Elsevier B.V. All rights reserved.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Statistics Section
× corresponding author
# (joint) last author

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