ChainLadder-package {ChainLadder} | R Documentation |
The ChainLadder-package grew out of presentations
the author gave at the Stochastic Reserving Seminar at the Institute of Actuaries in November 2007.
This package implements the Mack- and Munich-chain-ladder model using weighted
linear regression, see lm
.
An example spreadsheet of how you might want to use these functions in Excel is available in the installation directory of this package. Usually along the line C:/Programmes/R/R-Version/library/ChainLadder/Excel. You need the RExcel-Addin, from http://sunsite.univie.ac.at/rcom/, in order to use the spreadsheet.
Package: | ChainLadder |
Type: | Package |
Version: | 0.1.2 |
Date: | 2007-12-05 |
License: | GPL version 2 or later |
Markus Gesmann
Maintainer: Markus Gesmann <markus.gesmann@web.de>
Thomas Mack. Distribution-free calculation of the standard error of chain ladder reserve estimates. Astin Bulletin. Vol. 23. No 2. 1993. pp.213:225
Thomas Mack. The standard error of chain ladder reserve estimates: Recursive calculation and inclusion of a tail factor. Astin Bulletin. Vol. 29. No 2. 1999. pp.361:366
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.
data(RAA) RAA MCL=MackChainLadder(RAA) MCL plot(MCL) # Munich Chain Ladder data(MCLpaid) MCLpaid data(MCLincurred) MCLincurred MCL = MunichChainLadder(MCLpaid, MCLincurred) MCL plot(MCL)