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

作者：Verdonck T^*; Van Wouwe M

来源：Insurance: Mathematics and Economics , 2011, 49(2): 188-193.

DOI：10.1016/j.insmatheco.2011.04.003

• Multivariate chain-ladder method
• Claims reserving
• Bivariate outliers
• Robustness
• Sensitivity

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.

• 出版日期2011-9