ChainLadder v0.2.9

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Statistical Methods and Models for Claims Reserving in General Insurance

Various statistical methods and models which are typically used for the estimation of outstanding claims reserves in general insurance, including those to estimate the claims development result as required under Solvency II.

Readme

ChainLadder

Travis-CI Build Status CRAN\_Status\_Badge downloads

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

David Hindley has created a Shiny App, which provides and interface to many of the ChainLadder package functions to accompany his book on Claims Reserving in General Insurance.

Installation

You can install the stable version from CRAN:

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

To install the current development version from github you need the devtools package and the other packages on which ChainLadder depends and links to:

install.packages(c("actuar", "cplm", "grid", "ggplot2", "knitr", "lattice", "Matrix", "MASS", "rmarkdown", "RUnit", "systemfit",  "statmod", "tweedie"))

To install ChainLadder run:

library(devtools)
install_github("mages/ChainLadder")

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.

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

Functions in ChainLadder

Name Description
ABC Run off triangle of accumulated claims data
Mortgage Run off triangle of accumulated claims data
Mse-methods Methods for Generic Function Mse
Join2Fits Join Two Fitted MultiChainLadder Models
MultiChainLadderSummary-class Class "MultiChainLadderSummary"
MunichChainLadder Munich-chain-ladder Model
JoinFitMse Join Model Fit and Mse Estimation
UKMotor UK motor claims triangle
MW2014 Run-off claims triangle
USAA triangle Example paid and incurred triangle data from CAS web site.
plot.MackChainLadder Plot method for a MackChainLadder object
CDR One year claims development result
CLFMdelta Find "selection consistent" values of delta
plot.MunichChainLadder Plot method for a MunichChainLadder object
MackChainLadder Mack Chain-Ladder Model
LRfunction Calculate the Link Ratio Function
M3IR5 Run off triangle of claims data
triangles-class S4 Class "triangles"
tweedieReserve methods Reserve Risk Capital Report
Table65 Functions to Reproduce Clark's Tables
MultiChainLadderFit-class Class "MultiChainLadderFit", "MCLFit" and "GMCLFit"
ClarkLDF Clark LDF method
MultiChainLadderMse-class Class "MultiChainLadderMse"
triangle S3 Methods Generic functions for triangles
auto Run off triangle of accumulated claim data
as.LongTriangle Convert Triangle from wide to long
chainladder Estimate age-to-age factors
ata Calculate Age-to-Age Factors
plot.clark Plot Clark method residuals
predict.TriangleModel Prediction of a claims triangle
print.ata Print Age-to-Age factors
print.clark Print results of Clark methods
summary-methods Methods for Function summary
summary.BootChainLadder Methods for BootChainLadder objects
vcov.clark Covariance Matrix of Parameter Estimates -- Clark's methods
residCov Generic function for residCov and residCor
residuals.MackChainLadder Extract residuals of a MackChainLadder model
GenIns Run off triangle of claims data.
MCLpaid Run off triangles of accumulated paid and incurred claims data.
MW2008 Run-off claims triangle
Cumulative and incremental triangles Cumulative and incremental triangles
tweedieReserve Tweedie Stochastic Reserving Model
QuantileIFRS17 Quantile estimation for the IFRS 17 Risk Adjustment
RAA Run off triangle of accumulated claims data
coef.ChainLadder Extract residuals of a ChainLadder model
ChainLadder-package Methods and Models for Claims Reserving
ClarkCapeCod Clark Cape Cod method
MultiChainLadder-class Class "MultiChainLadder" of Multivariate Chain-Ladder Results
MultiChainLadder Multivariate Chain-Ladder Models
getLatestCumulative Triangle information for most recent calendar period.
NullNum-class Class "NullNum", "NullChar" and "NullList"
PaidIncurredChain PaidIncurredChain
glmReserve GLM-based Reserving Model
liab Run off triangle of accumulated claim data
plot-MultiChainLadder Methods for Function plot
plot.BootChainLadder Plot method for a BootChainLadder object
summary.ata Summary method for object of class 'ata'
qpaid Quarterly run off triangle of accumulated claims data
quantile.MackChainLadder quantile function for Mack-chain-ladder
summary.clark Summary methods for Clark objects
summary.MackChainLadder Summary and print function for Mack-chain-ladder
summary.MunichChainLadder Summary and print function for Munich-chain-ladder
BootChainLadder Bootstrap-Chain-Ladder Model
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Vignettes of ChainLadder

Name
ChainLadder.Rnw
ChainLadder.bib
NEWS.Rmd
RandDatabases.pdf
ReservePlot.pdf
SpreadsheetTriangle.png
glmReservePlot.png
tweedieReserve.pdf
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Details

Type Package
Date 2018-12-06
VignetteBuilder knitr
License GPL (>= 2)
URL https://github.com/mages/ChainLadder#chainladder
BugReports https://github.com/mages/ChainLadder/issues
LazyLoad yes
LazyData yes
NeedsCompilation no
Packaged 2018-12-06 09:03:32 UTC; mages
Repository CRAN
Date/Publication 2018-12-06 22:40:03 UTC

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