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- Title
Kalman Filter Learning Algorithms and State Space Representations for Stochastic Claims Reserving.
- Authors
Chukhrova, Nataliya; Johannssen, Arne
- Abstract
In stochastic claims reserving, state space models have been used for almost 40 years to forecast loss reserves and to compute their mean squared error of prediction. Although state space models and the associated Kalman filter learning algorithms are very powerful and flexible tools, comparatively few articles on this topic were published during this period. Most recently, several articles have been published which highlight the benefits of state space models in stochastic claims reserving and may lead to a significant increase in its popularity for applications in actuarial practice. To further emphasize the merits of these papers, this commentary highlights various additional aspects that are useful for practical applications and offer some fruitful directions for future research.
- Subjects
KALMAN filtering; MACHINE learning; INSURANCE reserves; STOCHASTIC models; MULTIVARIATE analysis
- Publication
Risks, 2021, Vol 9, Issue 6, p112
- ISSN
2227-9091
- Publication type
Article
- DOI
10.3390/risks9060112