From Chain-Ladder to Individual Claims Reserving
Applications
2026-02-19 v2 Risk Management
Machine Learning
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.
Cite
@article{arxiv.2602.15385,
title = {From Chain-Ladder to Individual Claims Reserving},
author = {Ronald Richman and Mario V. Wüthrich},
journal= {arXiv preprint arXiv:2602.15385},
year = {2026}
}