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arXiv · 2611.06126

Exponential Seniority Weighting Chain-Ladder Reserving

Mario V. Wüthrich
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Abstract

We develop a tractable state-space version of the chain-ladder model. The state-space dynamics acts on the accident year axis which, in contrast to the classical chain-ladder model, makes accident years dependent. This state-space version yields an exponential seniority weighting in the chain-ladder factor estimation, and it admits an analytical likelihood representation that enables us to compute the seniority weighted chain-ladder reserves and their prediction uncertainty: the one-year uncertainty is available in closed form and the total uncertainty requires a Monte Carlo simulation from the fully tractable likelihood representation.

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Mario V. Wüthrich. 2026-11-04. Exponential Seniority Weighting Chain-Ladder Reserving. https://arxiv.org/abs/2611.06126

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