State Space Models and the Kalman-Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing

State Space Models and the Kalman-Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing

This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to facili...

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Bibliographic Details
Main Authors: Nataliya Chukhrova, Arne Johannssen
Format: Article
Language:English
Published: MDPI AG 2017-05-01
Series:Risks
Subjects:
state space models
K
">alman-filter
stochastic claims reserving
outstanding loss liabilities
ultimate loss
prediction uncertainty
chain ladder method
Online Access:http://www.mdpi.com/2227-9091/5/2/30

Internet

http://www.mdpi.com/2227-9091/5/2/30

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