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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

5,230

Version

0.2.14

License

GPL (>= 2)

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/mages/ChainLadder

Maintainer

Markus Gesmann

Last Published

November 11th, 2021

Functions in ChainLadder (0.2.14)

Clark LDF method

Berquist-Sherman Paid Claim Development Adjustment

One year claims development result

Find "selection consistent" values of delta

BootChainLadder

Bootstrap-Chain-Ladder Model

Run off triangle of claims data.

Run off triangle of accumulated claims data

ChainLadder-package

Methods and Models for Claims Reserving

Clark Cape Cod method

Run off triangles of accumulated claim data

Run-off claims triangle

Run off triangles of accumulated paid and incurred claims data.

Methods for Generic Function Mse

MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results

Run off triangle of accumulated claims data

Run off triangles of accumulated claim data

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

MunichChainLadder

Munich-chain-ladder Model

PaidIncurredChain

PaidIncurredChain

as.LongTriangle

Convert Triangle from wide to long

Example paid and incurred triangle data from CAS web site.

Join Two Fitted MultiChainLadder Models

Join Model Fit and Mse Estimation

Run-off claims triangle

Quantile estimation for the IFRS 17 Risk Adjustment

plot-MultiChainLadder

Methods for Function plot

Estimate age-to-age factors

Run off triangle of accumulated claim data

checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates

Plot Clark method residuals

MultiChainLadderMse-class

Class "MultiChainLadderMse"

Run off triangle of accumulated claims data

MultiChainLadder

Multivariate Chain-Ladder Models

MackChainLadder

Mack Chain-Ladder Model

MultiChainLadderFit-class

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

triangle S3 Methods

Generic functions for triangles

Print results of Clark methods

Functions to Reproduce Clark's Tables

UK motor claims triangle

print.cyEffTest

Print function for a cyEffTest object

plot.checkTriangleInflation

Plot method for a checkTriangleInflation object

GLM-based Reserving Model

Testing for Calendar Year Effect

plot.MunichChainLadder

Plot method for a MunichChainLadder object

coef.ChainLadder

Extract residuals of a ChainLadder model

inflateTriangle

Inflate a Triangle based on an Inflation Rate

print.dfCorTest

Print function for a dfCorTest object

MultiChainLadderSummary-class

Class "MultiChainLadderSummary"

Quarterly run off triangle of accumulated claims data

Testing for Correlations between Subsequent Development Factors

getLatestCumulative

Triangle information for most recent calendar period.

Plot method for a cyEffTest object

summary.dfCorTest

Summary function for a dfCorTest object

predict.TriangleModel

Prediction of a claims triangle

residuals.MackChainLadder

Extract residuals of a MackChainLadder model

Plot method for a dfCorTest object

summary.cyEffTest

Summary function for a cyEffTest object

tweedieReserve methods

Reserve Risk Capital Report

triangles-class

S4 Class "triangles"

summary.BootChainLadder

Methods for BootChainLadder objects

summary.MackChainLadder

Summary and print function for Mack-chain-ladder

summary-methods

Methods for Function summary

Covariance Matrix of Parameter Estimates -- Clark's methods

Run off triangle of claims data

Calculate Age-to-Age Factors

Cumulative and incremental triangles

Cumulative and incremental triangles

Run off triangle of accumulated claim data

Calculate the Link Ratio Function

quantile.MackChainLadder

quantile function for Mack-chain-ladder

plot.BootChainLadder

Plot method for a BootChainLadder object

Tweedie Stochastic Reserving Model

Generic function for residCov and residCor

plot.MackChainLadder

Plot method for a MackChainLadder object

Print Age-to-Age factors

print.checkTriangleInflation

Print function for a checkTriangleInflation object

summary.MunichChainLadder

Summary and print function for Munich-chain-ladder

summary.checkTriangleInflation

Summary function for a checkTriangleInflation object

Summary method for object of class 'ata'

Summary methods for Clark objects