The Sign Covariance Matrix is an orthogonal equivariant estimator of multivariate scale. It is often used as an easy-to-compute and highly robust estimator. In this paper we propose a k-step version of the Sign Covariance Matrix, which improves its efficiency while keeping the maximal breakdown...

The chain ladder method is a popular technique to estimate the future reserves needed to handle claims that are not fully settled. Since the predictions of the aggregate portfolio (consisting of different subportfolios) do not need to be equal to the sum of the predictions of the subportfolios,...