Journal article
Detection and treatment of outliers for multivariate robust loss reserving
B Avanzi, M Lavender, G Taylor, B Wong
Annals of Actuarial Science | CAMBRIDGE UNIV PRESS | Published : 2024
Abstract
Traditional techniques for calculating outstanding claim liabilities such as the chain-ladder are notoriously at risk of being distorted by outliers in past claims data. Unfortunately, the literature in robust methods of reserving is scant, with notable exceptions such as Verdonck & Debruyne (2011, Insurance: Mathematics and Economics, 48, 85–98) and Verdonck & Van Wouwe (2011, Insurance: Mathematics and Economics, 49, 188–193). In this paper, we put forward two alternative robust bivariate chain-ladder techniques to extend the approach of Verdonck & Van Wouwe (2011, Insurance: Mathematics and Economics, 49, 188–193). The first technique is based on Adjusted Outlyingness (Hubert & Van der Ve..
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Funding Acknowledgements
This research was supported under Australian Research Council's Linkage (LP130100723, with funding partners Allianz Australia Insurance Ltd, Insurance Australia Group Ltd, and Suncorp Metway Ltd) and Discovery Project funding scheme(DP200101859). Furthermore, Lavender acknowledges support from the UNSW Business School Honours Scholarship. Theviews expressed herein are those of the authors and are not necessarily those of the supporting organizations.