MunichChainLadder {ChainLadder}R Documentation

Munich-Chain-Ladder Model

Description

Munich-Chain-Ladder model to forecast IBNR claims based on a cumulative paid and incurred claims triangle. The Munich-Chain-Ladder model assumes that the Mack-model is applicable to the paid and incurred claims triangle, see MackChainLadder.

Usage

MunichChainLadder(Paid, Incurred)

## S3 method for class 'MunichChainLadder':
print(x, ...)

## S3 method for class 'MunichChainLadder':
plot(x,  mfrow=c(2,2), title=NULL, ...)

## S3 method for class 'MunichChainLadder':
summary(object, ...)

Arguments

Paid cumulative paid claims triangle. A quadratic (nxn)-matrix P_{ik} which is filled for k <=q n+1-i, i=1,...,n
Incurred cumulative incurred claims triangle. A quadratic (nxn)-matrix I_{ik} which is filled for k <=q n+1-i, i=1,...,n
x, object an object of class "MunichChainLadder"
mfrow see par
title see title
... not in use

Value

MunichChainLadder returns a list with the following values

Paid input paid triangle
Incurred input incurred triangle
MCLPaid Munich-chain-ladder forecasted full triangle on paid data
MCLIncurred Munich-chain-ladder forecasted full triangle on incurred data
SCLPaid standard-chain-ladder forecasted full triangle on paid data
SCLIncurred standard-chain-ladder forecasted full triangle on Incurred data
PaidResiduals paid residuals
IncurredResiduals incurred residuals
QResiduals paid/incurred residuals
QinverseResiduals incurred/paid residuals
lambdaP dependency coefficient between paid chain ladder ratios and incurred/paid ratios
lambdaI dependency coefficient between incurred chain ladder ratios and paid/incurred ratios

Author(s)

Markus Gesmann markus.gesmann@web.de

References

Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.

See Also

See also MackChainLadder

Examples


data(MCLpaid)
MCLpaid
data(MCLincurred)
MCLincurred

MCL = MunichChainLadder(MCLpaid, MCLincurred)
MCL
plot(MCL)

[Package ChainLadder version 0.1.1-3 Index]