MunichChainLadder {ChainLadder} | R Documentation |
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
.
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, ...)
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 |
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 |
Markus Gesmann markus.gesmann@web.de
Gerhard Quarg and Thomas Mack. Munich Chain Ladder. Blatter DGVFM 26, Munich, 2004.
See also MackChainLadder
data(MCLpaid) MCLpaid data(MCLincurred) MCLincurred MCL = MunichChainLadder(MCLpaid, MCLincurred) MCL plot(MCL)