ChainLadder (version 0.1.4-2)

chris: Incremental claims triangle

Description

Incremental claims triangle with four accident years and four development years

Usage

data(chris)

source

Faculty and Institute of Actuaries, Claims Reserving Manual v.2 (09/1997), Section D5, Regression Models Based on Log-Incremental Payments, S Christofides

Examples

# transform from triangle into long format
chrisl <- expand.grid(dimnames(chris))
chrisl$value <- as.vector(chris)
chrisl <- na.omit(chrisl)
lm(log(value) ~ origin + dev, data=chrisl)
model.matrix(log(value) ~ dev + origin-1, data=chrisl)
co=summary(lm(log(value) ~ origin + dev, data=chrisl))$coef[,1]
c(co[1], co[1]+co[2], co[1]+co[3], co[1]+co[4], co[5:7])