The Game saves automatically, so theres no loading a previous save. When you die, Old Graham will simply joke about it, then the Game will load just before the bad decision is made.
Sadly there are only 4 Save Slots in witch you can copy one to save it in a different slot or Delete it or Rename it. Hence your Chapter 1 Save Slot will be overwritten for the Next Chapter and the next. Careful when you Delete a Save Slot just to start the Next Chapter, as the Game is Narrative Driven, witch means the Chapter 1 Data to the Next Chapter is Essential.
At the Main Menu of the Game is a Gallery Section that will have an image shown of Graham and the deeds he has done. Depending on your Chosen Save Slot as to how you played the Chapter, the image will look different. Theres also a Left/Right Arrow for the Next Chapters, but they will only be shown when you cleared the Next Chapter of the Game.
Each Chapter will Continue from the last Chapter, so everything you did and how you played with the Choices you made, will be Included into the Next Chapter.
To Replay a Chapter, go to the Main Menu and click on Play, then click on the Previous Chapter where you will be asked if you want to make a New Save Slot or Overwrite it. Now you will watch the Ending Cutscene of the Previous Chapter to start Fresh with the Next Chapter. To start from Chapter 1, you must Delete the Save Slot to start from Beginning or play from an Empty Save Slot.