22 citations · 155 across the 27 of their papers we have counts for
3 papers · 2 filters
Ensemble distributional forecasting for insurance loss reserving
Benjamin Avanzi, Yanfeng Li, Bernard Wong +1
Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing d…
Detection and treatment of outliers for multivariate robust loss reserving
Benjamin Avanzi, Mark Lavender, Greg Taylor +1
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. Unfortunat…
On the impact of outliers in loss reserving
Benjamin Avanzi, Mark Lavender, Greg Taylor +1
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…