• Economics
  • Published 2010

On Small Samples and the Use of Robust Estimators in Loss Reserving

@inproceedings{Jeng2010OnSS,
  title={On Small Samples and the Use of Robust Estimators in Loss Reserving},
  author={Hou-wen Jeng},
  year={2010}
}
This paper explores the use of robust location estimators such as AverageExcluding-High-And-Low and Huber’s M-estimators in loss reserving. Standard order statistics results are used to investigate the nite-sample properties of Average-Excluding-High-And-Low for positively skewed distributions including bias and eciency, based on the criterion of mean squared error. The paper concludes that Averages-Excluding-High-And-Low, although biased with respect to the population mean for positively… CONTINUE READING

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