Robustifying Reserving

By Gary G. Venter, Dumaria Rulina R. Tampubolon

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Abstract

Robust statistical procedures have a growing body of literature and have been applied to loss severity fitting in actuarial applications. An introduction of robust methods for loss reserving is presented in this paper. In particular, following Tampubolon (2008), reserving models for a development triangle are compared based on the sensitivity of the reserve estimates to changes in individual data points. This measure of sensitivity is then related to the generalized degrees of freedom used by the model at each point.

Keywords: Loss reserving; regression modeling; robust, generalized degrees of freedom.

Citation

Venter, Gary G., and Dumaria Rulina R. Tampubolon, "Robustifying Reserving," Variance 4:2, 2010, pp. 136-154.

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Variance is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.