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From Chain-Ladder to Individual Claims Reserving

Author

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  • Ronald Richman
  • Mario V. Wuthrich

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.

Suggested Citation

  • Ronald Richman & Mario V. Wuthrich, 2026. "From Chain-Ladder to Individual Claims Reserving," Papers 2602.15385, arXiv.org, revised Feb 2026.
    • Handle: RePEc:arx:papers:2602.15385
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    File URL: http://arxiv.org/pdf/2602.15385
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