Centro de Documentacion de Fundación MAPFRE - On the impact of outliers in loss reserving

Notas: Sumario: The sensitivity of loss reserving techniques to outliers in the data or deviations from model assumptions is a well known challenge. It has been shown that the popular chain-ladder reserving approach is at significant risk to such aberrant observations in that reserve estimates can be significantly shifted in the presence of even one outlier. As a consequence the chain-ladder reserving technique is non-robust. In this paper we investigate the sensitivity of reserves and mean squared errors of prediction under Mack's Model (ASTIN Bull 23(2):213225, 1993). This is done through the derivation of impact functions which are calculated by taking the first derivative of the relevant statistic of interest with respect to an observation. We also provide and discuss the impact functions for quantiles when total reserves are assumed to be lognormally distributed. Additionally, comparisons are made between the impact functions for individual accident year reserves under Mack's Model and the BornhuetterFerguson methodologyRegistros relacionados: En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/04/2024 Volúmen 14 - Número 1 - abril 2024 , p. 257-296Materia / lugar / evento: Reservas técnicas Pérdidas Ciencias Actuariales y Financieras Reclamaciones Siniestros Matemática del seguro Seguros Otras clasificaciones: 6

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