The Analysis of Motor Vehicle Insurance Claim Reserve Using Robust Chain Ladder

DOI

10.2991/aebmr.k.210831.031How to use a DOI?

Keywords

Insurance, Insurance Claim, Robust Chain Ladder

Abstract

In a non-life insurance business, an insurer often needs to build up a reserve to ensure the company can fulfill its obligation. Chain ladder is one of the most widely used methods in claim reserving. However, the chain ladder method is very vulnerable to an outlier. This study focused on claim reserving that was resistant to outlier data by using a robust chain ladder. There are two steps to robustify the chain ladder method. The first step is to detect outlier by using the median as a development factor to compute the residual and adjust the outlying values. The second step is to apply a classic chain ladder method to the adjusted data. This study shows that a robust chain ladder has a better result than a standard chain ladder method.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Desnu Anggara Suwardi
AU  - Yogo Purwono
PY  - 2021
DA  - 2021/09/02
TI  - The Analysis of Motor Vehicle Insurance Claim Reserve Using Robust Chain Ladder
BT  - Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)
PB  - Atlantis Press
SP  - 153
EP  - 158
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210831.031
DO  - 10.2991/aebmr.k.210831.031
ID  - Suwardi2021
ER  -