22 citations · 82 across the 10 of their papers we have counts for
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stat.AP2022
Log normal claim models with common shocks
Greg Taylor
This paper is concerned with modelling multiple claim arrays that are subject to one or more common shocks. It uses a structure that involves very general forms both idiosyncratic…
stat.ME2022★ 4 cited
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…
stat.ME2022
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…