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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

For a Python claims reserving package visit chainladder-python.

Installation

You can install the stable version from CRAN:

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

You can also install the package via the Github repository:

# install.package("remotes") # In case you have not installed it.
remotes::install_github("mages/ChainLadder", dependencies = TRUE)

Get started

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

0.2.17

License

GPL (>= 2)

Maintainer

Markus Gesmann

Last Published

January 12th, 2023

Functions in ChainLadder (0.2.17)

BootChainLadder

Bootstrap-Chain-Ladder Model

Run off triangle of accumulated claims data

ChainLadder-package

Methods and Models for Claims Reserving

One year claims development result

Berquist-Sherman Paid Claim Development Adjustment

Clark Cape Cod method

Clark LDF method

Run off triangle of claims data.

Find "selection consistent" values of delta

Run off triangles of accumulated claim data

Run off triangles of accumulated paid and incurred claims data.

Run off triangles of accumulated claim data

Join Two Fitted MultiChainLadder Models

Join Model Fit and Mse Estimation

Calculate the Link Ratio Function

Run off triangle of accumulated claims data

Run-off claims triangle

MackChainLadder

Mack Chain-Ladder Model

Run off triangle of claims data

Run-off claims triangle

MunichChainLadder

Munich-chain-ladder Model

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

Methods for Generic Function Mse

Quantile estimation for the IFRS 17 Risk Adjustment

PaidIncurredChain

PaidIncurredChain

MultiChainLadder

Multivariate Chain-Ladder Models

MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results

MultiChainLadderMse-class

Class "MultiChainLadderMse"

MultiChainLadderFit-class

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

Run off triangle of accumulated claims data

UK motor claims triangle

Calculate Age-to-Age Factors

Estimate age-to-age factors

triangle S3 Methods

Generic functions for triangles

checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates

Functions to Reproduce Clark's Tables

Run off triangle of accumulated claim data

as.LongTriangle

Convert Triangle from wide to long

Example paid and incurred triangle data from CAS web site.

MultiChainLadderSummary-class

Class "MultiChainLadderSummary"

Run off triangle of accumulated claim data

Testing for Correlations between Subsequent Development Factors

coef.ChainLadder

Extract residuals of a ChainLadder model

GLM-based Reserving Model

inflateTriangle

Inflate a Triangle based on an Inflation Rate

Print results of Clark methods

plot.BootChainLadder

Plot method for a BootChainLadder object

getLatestCumulative

Triangle information for most recent calendar period.

print.cyEffTest

Print function for a cyEffTest object

Print Age-to-Age factors

Testing for Calendar Year Effect

print.checkTriangleInflation

Print function for a checkTriangleInflation object

Plot method for a cyEffTest object

Plot Clark method residuals

plot.MackChainLadder

Plot method for a MackChainLadder object

print.dfCorTest

Print function for a dfCorTest object

plot-MultiChainLadder

Methods for Function plot

Plot method for a dfCorTest object

Quarterly run off triangle of accumulated claims data

residuals.MackChainLadder

Extract residuals of a MackChainLadder model

summary-methods

Methods for Function summary

plot.MunichChainLadder

Plot method for a MunichChainLadder object

Cumulative and incremental triangles

Cumulative and incremental triangles

Tweedie Stochastic Reserving Model

tweedieReserve methods

Reserve Risk Capital Report

quantile.MackChainLadder

quantile function for Mack-chain-ladder

triangles-class

S4 Class "triangles"

plot.checkTriangleInflation

Plot method for a checkTriangleInflation object

Generic function for residCov and residCor

summary.checkTriangleInflation

Summary function for a checkTriangleInflation object

predict.TriangleModel

Prediction of a claims triangle

Summary methods for Clark objects

Covariance Matrix of Parameter Estimates -- Clark's methods

summary.MackChainLadder

Summary and print function for Mack-chain-ladder

summary.BootChainLadder

Methods for BootChainLadder objects

summary.MunichChainLadder

Summary and print function for Munich-chain-ladder

summary.cyEffTest

Summary function for a cyEffTest object

Summary method for object of class 'ata'

summary.dfCorTest

Summary function for a dfCorTest object