[Statlist] Research Seminar in Statistics *FRIDAY 23 NOVEMBER 2018* GSEM, University of Geneva

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Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you

Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY 23 NOVEMBER 2018 at 11:15am, Uni-Mail M 5220

Robust Generalized Linear Models for claims reserving
Tim VERDONCK - KU Leuven, Belgium

ABSTRACT:

'Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled.

A well-known and widely used technique is the chain-ladder method, which is a deterministic algorithm. To include a stochastic component one may apply generalized linear models (GLMs) to the run-off triangles based on past claims data. The chain-ladder method is not robust and even one outlier can lead to a huge over- or underestimation of the overall reserve when using the chain-ladder method.

Therefore we present a robust chain-ladder method and a diagnostic tool to detect which claims have an abnormally positive or negative influence on the reserve estimates.

In real data the variability often deviates from the relation imposed by the exponential family distribution, which results in over- or underdispersion. Dispersion effects may even vary in the data. The family of double exponential distributions allows to model both the mean and the dispersion as a function of covariates in the GLM framework. We propose the robust double exponential (RDE) estimator and simulation studies for binomial and Poisson models show its good performance of the RDE estimator.'


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/