2022
DOI: 10.3390/risks10090171
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Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business

Abstract: Estimating outstanding claims reserves in the non-life insurance business is often impaired by outlier-contaminated datasets. Widely used methods to eliminate outliers in non-life development triangles are either limiting the number of outliers by robust statistical methods or by change of development factors. However, the whole estimation process is likewise adversely affected so that: (i) the total sum of all triangle payments is not correct or (ii) the difference between the original triangle and its backwa… Show more

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Cited by 1 publication
(1 citation statement)
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“…Datasets in non-life insurance industry are often contaminated by outliers [3]. The standard chain ladder reserving method is sensitive towards outlier data, making the estimate of the future claim inaccurate, thus posing an additional risk on the solvency of the insurance company [4].…”
Section: Introductionmentioning
confidence: 99%
“…Datasets in non-life insurance industry are often contaminated by outliers [3]. The standard chain ladder reserving method is sensitive towards outlier data, making the estimate of the future claim inaccurate, thus posing an additional risk on the solvency of the insurance company [4].…”
Section: Introductionmentioning
confidence: 99%