Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem
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.
chain ladder kernel claims reserves reserve risk multiplicative bias correction density estimation cross-validation smoothing