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ChainLadder

ChainLadder is an R package providing methods and models which are typically used in insurance claims reserving, including:

Mack chain-ladder, Munich chain-ladder and Bootstrap models
General multivariate chain ladder-models
Loss development factor fitting and Cape Cod models
Generalized linear models
One year claims development result functions
Utility functions to:
- convert tables into triangles and triangles into tables
- convert cumulative into incremental and incremental into cumulative triangles
- visualise triangles

Installation

You can install the stable version from CRAN:

install.packages('ChainLadder', dependencies = TRUE)

To install the current development version from github you can use the devtools package:

To install ChainLadder run:

library(devtools)
install_github("mages/ChainLadder", dependencies = TRUE)

Usage

library(ChainLadder)
?ChainLadder
demo(ChainLadder)

See the ChainLadder package vignette for more details.

Citation

To cite package 'ChainLadder' in publications see the output of:

citation(package="ChainLadder")

See also:

Markus Gesmann. Claims Reserving and IBNR. Computational Actuarial Science with R. 2014. Chapman and Hall/CRC

License

This package is free and open source software, licensed under GPL.

ChainLadder documentation is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

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Version

Install

install.packages('ChainLadder')

Monthly Downloads

4,706

Version

0.2.12

License

GPL (>= 2)

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/mages/ChainLadder

Maintainer

Markus Gesmann

Last Published

January 5th, 2021

Functions in ChainLadder (0.2.12)

Clark LDF method

Run off triangle of claims data.

Run off triangle of accumulated claims data

One year claims development result

Berquist-Sherman Paid Claim Development Adjustment

BootChainLadder

Bootstrap-Chain-Ladder Model

ChainLadder-package

Methods and Models for Claims Reserving

Clark Cape Cod method

Find "selection consistent" values of delta

Run off triangles of accumulated claim data

Calculate the Link Ratio Function

Run off triangle of claims data

Run-off claims triangle

Run off triangles of accumulated paid and incurred claims data.

MultiChainLadderSummary-class

Class "MultiChainLadderSummary"

MultiChainLadderMse-class

Class "MultiChainLadderMse"

Methods for Generic Function Mse

Run off triangles of accumulated claim data

MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results

Run off triangle of accumulated claims data

PaidIncurredChain

PaidIncurredChain

MackChainLadder

Mack Chain-Ladder Model

Quantile estimation for the IFRS 17 Risk Adjustment

as.LongTriangle

Convert Triangle from wide to long

Example paid and incurred triangle data from CAS web site.

Run-off claims triangle

MunichChainLadder

Munich-chain-ladder Model

Class "NullNum", "NullChar" and "NullList"

triangle S3 Methods

Generic functions for triangles

UK motor claims triangle

Join Two Fitted MultiChainLadder Models

inflateTriangle

Inflate a Triangle based on an Inflation Rate

Functions to Reproduce Clark's Tables

Run off triangle of accumulated claims data

GLM-based Reserving Model

Run off triangle of accumulated claim data

plot-MultiChainLadder

Methods for Function plot

Calculate Age-to-Age Factors

Run off triangle of accumulated claim data

getLatestCumulative

Triangle information for most recent calendar period.

Join Model Fit and Mse Estimation

Testing for Correlations between Subsequent Development Factors

plot.BootChainLadder

Plot method for a BootChainLadder object

plot.MunichChainLadder

Plot method for a MunichChainLadder object

Plot method for a dfCorTest object

predict.TriangleModel

Prediction of a claims triangle

Plot Clark method residuals

Plot method for a cyEffTest object

plot.checkTriangleInflation

Plot method for a checkTriangleInflation object

Tweedie Stochastic Reserving Model

plot.MackChainLadder

Plot method for a MackChainLadder object

Cumulative and incremental triangles

Cumulative and incremental triangles

Summary method for object of class 'ata'

summary.MunichChainLadder

Summary and print function for Munich-chain-ladder

summary.BootChainLadder

Methods for BootChainLadder objects

print.checkTriangleInflation

Print function for a checkTriangleInflation object

Print Age-to-Age factors

summary.MackChainLadder

Summary and print function for Mack-chain-ladder

print.dfCorTest

Print function for a dfCorTest object

residuals.MackChainLadder

Extract residuals of a MackChainLadder model

quantile.MackChainLadder

quantile function for Mack-chain-ladder

MultiChainLadderFit-class

Class "MultiChainLadderFit", "MCLFit" and "GMCLFit"

Estimate age-to-age factors

Generic function for residCov and residCor

MultiChainLadder

Multivariate Chain-Ladder Models

Quarterly run off triangle of accumulated claims data

summary-methods

Methods for Function summary

summary.cyEffTest

Summary function for a cyEffTest object

summary.checkTriangleInflation

Summary function for a checkTriangleInflation object

checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates

Summary methods for Clark objects

coef.ChainLadder

Extract residuals of a ChainLadder model

Testing for Calendar Year Effect

tweedieReserve methods

Reserve Risk Capital Report

triangles-class

S4 Class "triangles"

Print results of Clark methods

print.cyEffTest

Print function for a cyEffTest object

Covariance Matrix of Parameter Estimates -- Clark's methods

summary.dfCorTest

Summary function for a dfCorTest object