Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem
作者：
Highlights：
• Link between classical reserving and modern mathematical statistics.
• Classical chain ladder as a structured histogram allows further developments.
• Chain ladder is a granular method since histograms work on continuous data.
• Aggregation is not the key model feature of chain ladder, it is the multiplicative structure.
• Continuous Chain Ladder: the natural kernel smoother improving classical histograms.
摘要
•Link between classical reserving and modern mathematical statistics.•Classical chain ladder as a structured histogram allows further developments.•Chain ladder is a granular method since histograms work on continuous data.•Aggregation is not the key model feature of chain ladder, it is the multiplicative structure.•Continuous Chain Ladder: the natural kernel smoother improving classical histograms.
论文关键词：Chain Ladder,Claims reserves,Reserve risk,Multiplicative bias correction,Density estimation,Cross-validation,Smoothing,Kernel
论文评审过程：Available online 19 April 2013.
论文官网地址：https://doi.org/10.1016/j.eswa.2013.04.006
