Chukhrova, Nataliya; Johannssen, Arne - In: Risks : open access journal 5 (2017) 2, pp. 1-44
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...