From Chain-Ladder to Individual Claims Reserving

• URL: http://arxiv.org/abs/2602.15385v2
• Date: Wed, 18 Feb 2026 16:31:41 GMT
• Title: From Chain-Ladder to Individual Claims Reserving
• Authors: Ronald Richman, Mario V. Wüthrich,
• Abstract summary: The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance.<n>This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for the CL prediction procedure.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance. This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for the CL prediction procedure. Instead of rolling forward the cumulative claims with estimated CL factors, we estimate multi-period factors that project the latest observations directly to the ultimate claims. This alternative perspective on CL reserving creates a natural pathway for the application of machine learning techniques to individual claims reserving. As a proof of concept, we present a small-scale real data application employing neural networks for individual claims reserving.

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