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Claims reserving and generalised additive models. (English) Zbl 0894.62114

Summary: This paper shows how nonparametric smoothing can be applied in the context of claims reserving. The paper concentrates on the chain-ladder technique, within the framework of the chain-ladder linear model, but the methods can easily be applied to other models. It is shown that non-parametric smoothing can provide more stable reserve estimates, and is an alternative to other methods suggested for this purpose such as the Kalman filter. The methods are implemented in the statistical package S-PLUS.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62G07 Density estimation
65C99 Probabilistic methods, stochastic differential equations

Software:

S-PLUS; R
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References:

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