PreprintCC BY 4.0arXiv
Exponential Seniority Weighting Chain-Ladder Reserving
Abstract
We develop a tractable state-space version of the chain-ladder model. The state-space dynamics acts on the accident year axis which, in contrast to the classical chain-ladder model, makes accident years dependent. This state-space version yields an exponential seniority weighting in the chain-ladder factor estimation, and it admits an analytical likelihood representation that enables us to compute the seniority weighted chain-ladder reserves and their prediction uncertainty: the one-year uncertainty is available in closed form and the total uncertainty requires a Monte Carlo simulation from the fully tractable likelihood representation.
Related
- Supervising the Chain Ladder
- A Multiplicative Loss Function for Chain Ladder
- What Paid Triangles Identify about Reserve Uncertainty: Information Boundaries in Loss Reserving
- Conditional Prediction for Macro-Level Claims Reserving: What a Single Paid Triangle Identifies
- A stable multipersistence invariant for ladder modules
BibTeX
@misc{wuthrich2026exponential,
title = {{Exponential Seniority Weighting Chain-Ladder Reserving}},
author = {Mario V. Wüthrich},
howpublished = {arXiv},
year = {2026},
month = nov,
doi = {10.48550/arxiv.2611.06126},
eprint = {2611.06126},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2611.06126},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Exponential Seniority Weighting Chain-Ladder Reserving
AU - Mario V. Wüthrich
PY - 2026
DA - 2026/11/04
PB - arXiv
DO - 10.48550/arxiv.2611.06126
UR - https://arxiv.org/abs/2611.06126
AB - We develop a tractable state-space version of the chain-ladder model. The state-space dynamics acts on the accident year axis which, in contrast to the classical chain-ladder model, makes accident years dependent. This state-space version yields an exponential seniority weighting in the chain-ladder factor estimation, and it admits an analytical likelihood representation that enables us to compute the seniority weighted chain-ladder reserves and their prediction uncertainty: the one-year uncertainty is available in closed form and the total uncertainty requires a Monte Carlo simulation from the fully tractable likelihood representation.
ER -