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, demonstrating 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.