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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

5,230

Version

0.2.20

License

GPL (>= 2)

Maintainer

Markus Gesmann

Last Published

February 6th, 2025

Functions in ChainLadder (0.2.20)

Run off triangles of accumulated claim data

Run off triangles of accumulated claim data

Run off triangle of accumulated claims data

Join Two Fitted MultiChainLadder Models

Join Model Fit and Mse Estimation

Run off triangle of claims data

Calculate the Link Ratio Function

Run-off claims triangle

Run off triangles of accumulated paid and incurred claims data.

MackChainLadder

Mack Chain-Ladder Model

Run-off claims triangle

PaidIncurredChain

PaidIncurredChain

MunichChainLadder

Munich-chain-ladder Model

MultiChainLadderMse-class

Class "MultiChainLadderMse"

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

Quantile estimation for the IFRS 17 Risk Adjustment

Methods for Generic Function Mse

MultiChainLadder-class

Class "MultiChainLadder" of Multivariate Chain-Ladder Results

MultiChainLadderSummary-class

Class "MultiChainLadderSummary"

MultiChainLadderFit-class

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

MultiChainLadder

Multivariate Chain-Ladder Models

as.LongTriangle

Convert Triangle from wide to long

Example paid and incurred triangle data from CAS web site.

Run off triangle of accumulated claim data

Calculate Age-to-Age Factors

Estimate age-to-age factors

checkTriangleInflation

Check Y-o-Y Triangle Inflation Rates

Functions to Reproduce Clark's Tables

Run off triangle of accumulated claim data

Run off triangle of accumulated claims data

coef.ChainLadder

Extract residuals of a ChainLadder model

plot-MultiChainLadder

Methods for Function plot

Testing for Calendar Year Effect

triangle S3 Methods

Generic functions for triangles

UK motor claims triangle

GLM-based Reserving Model

inflateTriangle

Inflate a Triangle based on an Inflation Rate

getLatestCumulative

Triangle information for most recent calendar period.

Testing for Correlations between Subsequent Development Factors

plot.BootChainLadder

Plot method for a BootChainLadder object

Plot method for a dfCorTest object

Print Age-to-Age factors

plot.MunichChainLadder

Plot method for a MunichChainLadder object

Print results of Clark methods

print.cyEffTest

Print function for a cyEffTest object

Generic function for residCov and residCor

residuals.MackChainLadder

Extract residuals of a MackChainLadder model

quantile.MackChainLadder

quantile function for Mack-chain-ladder

print.checkTriangleInflation

Print function for a checkTriangleInflation object

summary-methods

Methods for Function summary

predict.TriangleModel

Prediction of a claims triangle

triangles-class

S4 Class "triangles"

Plot method for a cyEffTest object

plot.checkTriangleInflation

Plot method for a checkTriangleInflation object

plot.MackChainLadder

Plot method for a MackChainLadder object

Plot Clark method residuals

Covariance Matrix of Parameter Estimates -- Clark's methods

Summary method for object of class 'ata'

summary.MunichChainLadder

Summary and print function for Munich-chain-ladder

summary.BootChainLadder

Methods for BootChainLadder objects

summary.checkTriangleInflation

Summary function for a checkTriangleInflation object

Quarterly run off triangle of accumulated claims data

print.dfCorTest

Print function for a dfCorTest object

Summary methods for Clark objects

tweedieReserve methods

Reserve Risk Capital Report

summary.MackChainLadder

Summary and print function for Mack-chain-ladder

Cumulative and incremental triangles

Cumulative and incremental triangles

Tweedie Stochastic Reserving Model

summary.dfCorTest

Summary function for a dfCorTest object

summary.cyEffTest

Summary function for a cyEffTest object

One year claims development result

BootChainLadder

Bootstrap-Chain-Ladder Model

ChainLadder-package

Methods and Models for Claims Reserving

Berquist-Sherman Paid Claim Development Adjustment

Clark LDF method

Run off triangle of accumulated claims data

Run off triangle of claims data.

Find "selection consistent" values of delta

Clark Cape Cod method