Robustifying Reserving

Robust statistical procedures have a growing body of literature and in actuarial applications have been applied in loss severity fitting. Here an introduction of robust methods is made for loss reserving. In particular, following Tampubolon [1], reserve models for a development triangle are compared based on the sensitivity of the reserve estimates to changes in individual data points. This is then related to the generalized degrees of freedom used by the model at each point.

Keywords. Loss reserving; regression modeling; robust, generalized degrees of freedom.