A Robust General Multivariate Chain Ladder Method
A Robust General Multivariate Chain Ladder Method is a scholarly work, published in 2018 in ''Risks''. The main subjects of the publication include volatility, portfolio, anomaly detection, regularization, econometrics, skew normal distribution, outlier, data mining, robust statistics, chain, algorithm, biological robustness, aggregate, sensitivity, computer science, and multivariate statistics. The authors introduce a simulation design to generate artificial multivariate run-off triangles based on the GMCL model and illustrate the importance of taking into account contemporaneous correlations and structural connections between the run-off triangles.