ChainLadder (version 0.1.4-2)

ChainLadder-package: Various chain-ladder methods for claims reserving

Description

The ChainLadder-package grew out of presentations given at the Stochastic Reserving Seminar at the Institute of Actuaries in 2007 and 2008 and followed by talks at CAS meetings in 2008 and 2010. This package has currently implementations for the Mack-, Munich- and Bootstrap-chain-ladder methods. The package offers also some utility functions to convert quickly tables into triangles, triangles into tables, cumulative into incremental and incremental into cumulative triangles. Since version 0.1.4-0 the package also includes the "LDF Curve Fitting" methods of David Clark's paper in the 2003 CAS Forum. The ChainLadder-package comes with an example spreadsheet which demonstrates how to use the ChainLadder functions in Excel. The spreadsheet is located in the Excel folder of the package. The R command system.file("Excel", package="ChainLadder") will tell you the exact path to the directory. To use the spreadsheet you will need to have the RExcel-Addin, see http://sunsite.univie.ac.at/rcom/ for more details. It also provides an example SWord file, demonstarting how the the functions of the package can be integrated into a MS Word file via SWord. Again you find the Word file via the command:system.file("SWord", package="ChainLadder") More information is available on the project web site http://code.google.com/p/chainladder/ If you are also interested in loss distributions modeling, risk theory (including ruin theory), simulation of compound hierarchical models and credibility theory check out the actuar package by C. Dutang, V. Goulet and M. Pigeon.

Another package you might want to look into is lossDev. It implements a Bayesian time series loss development model. Features include skewed-t distribution with time-varying scale parameter, reversible jump MCMC for determining the functional form of the consumption path, and a structural break in this path; by Christopher W. Laws and Frank A. Schmid see also http://lossdev.r-forge.r-project.org/ For more financial packages see also CRAN Task View 'Emperical Finance' at http://cran.r-project.org/web/views/Finance.html.

Details

ll{ Package: ChainLadder Type: Package Version: 0.1.4-0 Date: 20010-09-10 License: GPL version 2 or later }

References

Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates. Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225

Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366

Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26. Munich. 2004.

England, PD and Verrall, RJ. Stochastic Claims Reserving in General Insurance (with discussion). British Actuarial Journal 8. III. 2002

B. Zehnwirth and G. Barnett. Best Estimates for Reserves. Proceedings of the CAS. Volume LXXXVII. Number 167.November 2000.

Clark, David R., "LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Approach," CAS Forum, Fall 2003.

Examples

demo(ChainLadder)